Trading of combinations and baits generated thereof in an automated trading exchange system

A method of matching combination orders in an automated exchange for trading financial instruments, comprising:

• receiving, via an interface of the automated exchange, combination orders;
• matching, locally at the automated exchange by a first computer entity including a first computer processor, received combination orders;
• dynamically pre-calculating, locally at the automated exchange by a second computer entity including a second processor and independently of received combination orders, non-natural matching data values of which at least some non-natural matching data values will be required in the matching of a subsequently received combination order requiring a simultaneous trade of multiple sub-contracts for different instruments, wherein the pre-calculated, non-natural matching data values include a volume and/or prices associated with the sub-contracts in combination orders likely to be received by the automated exchange;
• locally storing the pre-calculated, non-natural matching data values in a shared memory operatively connected to the first computer entity and the second computer entity;
• and
• matching, by the first computer entity, using some of the pre-calculated non-natural matching data values, one of the received combination orders.

A computer program product including program instructions for facilitating trading of financial instruments stored on a non-transitory storage medium, which program instructions when executed on a computer system having one or more processors configures:

• an interface of the computer system to receive combination orders;
• a first computer processing means to match received combination orders;
• and
• a second computer processing means to dynamically pre-calculate, locally at the computer system and independently of received combination orders, non-natural matching data values based on received market data for the financial instruments of which at least some non-natural matching data values will be required in the matching of a subsequently received combination order requiring a simultaneous trade of multiple sub-contracts for different instruments, wherein the pre-calculated, non-natural matching data values include a volume and/or prices associated with the sub-contracts in the combination order orders likely to be received by the computer system;
• wherein the non-transitory storage medium further comprises program instructions, which when executed on the computer system configures:
• the second computer processing means to locally store the pre-calculated, non-natural matching data values calculated by the second computer processing means in a shared memory operatively connected to the first computer processing means and the second computer processing means;
• and
• the first computer processing means to use some of the pre-calculated, non-natural matching data values in subsequent matching of the one of the received combination orders.