Transformation of a multi-leg security definition for calculation of implied orders in an electronic trading system
US8266030B2 · kind B2 · utility
12Cited by
34References
29Claims
0Family size
Assignee
Inventors
Key dates
| Filing date | Sep 15, 2009 |
| Grant date | Sep 11, 2012 |
| Priority date | — |
| Expiry date | Aug 17, 2030 |
Classification
- Technology area (CPC G)Physics
- CPC primaryG06Q40/06
- WIPO fieldIT methods for management
- WIPO sectorElectrical engineering
Abstract
An electronic trading system utilizes a Match Engine that receives orders, stores them internally, calculates tradable combinations and advertises the availability of real and implied orders in the form of market data. New tradable items defined as combinations of other tradable items may be included in the calculation of tradable combinations. A technique is disclosed for transforming a combination or strategy contract with an arbitrary number of buy and sell legs with an arbitrary volume ratio for each leg into a form that can be used for rapid implied order calculations.
Source: USPTO / EPO open patent data. Objective bibliographic and citation counts.