Smart Trade Template Based Matching
AssigneeChicago Mercantile Exchange Inc.
InventorsJosé Antonio Acuña-Rohter, Pearce Peck-Walden, Dileep Konduru
Life of this patent
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Abstract
Systems and methods for matching orders are provided. One or more trade templates are created. The trade templates define groups of orders for financial instruments that may be combined such that all of the orders are matched. A collection of tradable price levels is also created for each template. New orders and resting orders are analyzed using one or more trade templates and tradable price levels to determine whether a combination of orders satisfies all of the elements of a trade template with a required price level. When all of the elements of a trade template are satisfied and an order with a tradable price level is received, the corresponding orders may be matched contemporaneously.
Claims22
A method of matching orders for financial instruments, the method comprising:
- (a) generating an acceptable trade template that is based on more than two component financial instruments;
- (b) generating a collection of tradable price levels for each of the component financial instruments based on a collection of resting orders;
- (c) receiving a new order for one of the component financial instruments, the new order having a new order price level;
- (d) comparing at a processor the new order price level to a tradable price level for a corresponding financial instrument in the collection of tradable price levels;
- and
- (e) when the new order price level meets the tradable price level, attempting to match the component financial instruments.
A system that matches orders for financial instruments, the system comprising:
- a collection of acceptable trade templates each based on more than two component financial instruments;
- a collection of needed orders that each when combined with one or more existing orders meet the requirements of one of the acceptable trade templates;
- a collection of tradable price levels for each one of the needed orders;
- a match engine programmed with computer-executable instructions to:
- compare a new order to the needed orders in the collection of needed orders;
- when the new order corresponds to one of the needed orders, compare a price level of the new order to a price level in the collection of tradable price levels;
- and
- when the new order corresponds to one of the needed orders and the new order price level meets a corresponding tradable price level, attempting to match the component financial instruments of a trade template.
A tangible computer-readable medium containing computer-executable instructions for causing a match system to perform the steps comprising:
- (a) generating an acceptable trade template that is based on more than two component financial instruments;
- (b) generating a collection of tradable price levels for each of the component financial instruments based on a collection of resting orders;
- (c) receiving a new order for one of the component financial instruments, the new order having a new order price level;
- (d) comparing the new order price level to a tradable price level for a corresponding financial instrument in the collection of tradable price levels;
- and
- (e) when the new order price level meets the tradable price level, attempting to match the component financial instruments.
Dependencies are inferred from the claim text.