Controlling price cascade movements in an electronic trading system
AssigneeLIFFE Administration and Management
InventorsRobert James Fuller, Steven John Katesmark, Christopher Roy Harrison
Life of this patent
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Abstract
A disclosed system, method and computer readable storage medium includes mechanism for controlling cascade price movements in an electronic trading system. Price limits control the prices at which traders can place orders. An upper price limit prevents traders from placing orders above the upper limit and a lower price limit prevents traders from placing orders below the lower limit. The gap between the upper limit and the indicative marked price as well as the gap between lower limit and the indicative market price is controlled so as to cause a breaking effect on very rapidly changing market price.
Claims18
A system comprising:
- one or more processors executing computer program instructions, said computer program instructions defining a spiking price limit mechanism, the system configured to:
- monitor, by the one or more processors, market information of a trading market, the market information comprises an indicative market price (IMP);
- initialize, by the one or more processors, an initial interval comprising a first price limit and a second price limit, the initial interval having a first gap between the IMP and the first price limit and a second gap between the IMP and the second price limit, the initial interval configured such that a value of the first gap is equal to a value of the second gap;
- detect, by the one or more processors, a change in the market information that is indicative of a price cascade, wherein the change comprises detecting the IMP hitting the first price limit a predetermined number of times within a predetermined time period;
- engage, by the one or more processors, the spiking price limit mechanism, responsive to the detected change, the spiking price limit mechanism comprising one or more configuration parameters for controlling the price cascade;
- apply, by the spiking price limit mechanism, a breaking motion in a direction of the price cascade by:
- repeatedly adjusting the first price limit each time the IMP hits the first price limit, to incrementally reduce the value of the first gap in the direction of the price cascade until the value of the first gap reaches zero, while continually monitoring the market information, wherein the one or more configuration parameters automatically control a rate at which the price cascade is electronically slowed down;
- and
- disengage the spiking price limit mechanism once the one or more processors determine that the value of the first gap in the direction of the price cascade reaches zero and the IMP is detected as reaching the second price limit.
Dependencies are inferred from the claim text.