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.
Claims20
A method comprising:
- generating, by one or more processors, one or more configuration parameters based on conditions of a trading market, wherein computer program instructions define a trading engine that operates in accordance with the one or more configuration parameters;
- changing, by the one or more processors, at least one of the one or more configuration parameters one or more of automatically during randomized times and periodically during certain predetermined times;
- initializing, by the one or more processors, an initial interval comprising an initial upper price limit and an initial lower price limit;
- monitoring, by the one or more processors, market information of the trading market during the initial interval;
- detecting, by the one or more processors, a change in the market information that is indicative of a price cascade;
- and
- initializing, by the one or more processors, a second interval to prevent the price cascade, the second interval comprising a second upper price limit and a second lower price limit generated by adjusting the initial upper price limit and the initial lower price limit in accordance with the one or more configuration parameters.
A system comprising:
- one or more computer processors;
- and
- computer-readable storage medium storing computer program instructions,
- the computer program instructions, when executed by said one or more computer processors, cause the system to:
- generate one or more configuration parameters based on conditions of a trading market,
- define a trading engine that operates in accordance with the one or more configuration parameters,
- change at least one of the one or more configuration parameters one or more of automatically during randomized times and periodically during certain predetermined times,
- initialize an initial interval comprising an initial upper price limit and an initial lower price limit,
- monitor market information of the trading market during the initial interval,
- detect a change in the market information that is indicative of a price cascade, and
- initialize a second interval to prevent the price cascade, the second interval comprising a second upper price limit and a second lower price limit generated by adjusting the initial upper price limit and the initial lower price limit in accordance with the one or more configuration parameters.
Dependencies are inferred from the claim text.