Selective suppression of implied contract generation

Patent metadata

Field	Value
Publication number	US-11526939-B2
Application number	US-201916241403-A
Country	US
Kind code	B2
Filing date	Jan 7, 2019
Priority date	Aug 11, 2011
Publication date	Dec 13, 2022
Grant date	Dec 13, 2022

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 suppression of the calculation and/or subsequent listing of an implied order when the order is either undesired or unnecessary in the market therefore.

First claim

What is claimed is:

1. A computer implemented method comprising:
receiving, by a processor from at least one market participant, a first order for a first instrument and a second order for a second instrument, the first and second orders having a relationship therebetween from which at least a third order for a third instrument may be implied;
determining, based on a calculation by the processor using at least the first order and the second order, liquidity of the third instrument as being illiquid;
generating, by the processor, the implied third order from the first and second orders in response to determining that the third instrument is illiquid based on the calculation using at least the first order and the second order;
subsequent to the implied third order being generated, listing, by the processor, the generated implied third order and making the generated implied third order available in a market for the third instrument for trading by a plurality of market participants;
receiving, by the processor from at least another market participant, a fourth order for a fourth instrument and a fifth order for a fifth instrument, the fourth and fifth orders having a relationship therebetween from which at least a sixth order for a sixth instrument may be implied;
determining, based on a calculation by the processor using at least the fourth order and the fifth order, liquidity of the sixth instrument as being liquid;
not generating the implied sixth order in response to determining that the sixth instrument is liquid; and
not subsequently listing the not generated implied sixth order.

2. The computer implemented method of claim 1 , further comprising:
determining the liquidity of the third instrument based on how many price ticks that a best bid price in the market for the third instrument is within a best ask price in the market for the third instrument, a delivery month of the third instrument, a likelihood of receiving an order, at a better price with respect to a resting counter order thereto, for the third instrument satisfying the relationship between the first and second orders from one of the plurality of market participants, and/or whether the implied third order will not improve a spread between a best bid price and a best ask price in the market for the third instrument; and
determining the liquidity of the sixth instrument based on how many price ticks that a best bid price in the market for the sixth instrument is within a best ask price in the market for the sixth instrument, a delivery month of the sixth instrument, a likelihood of receiving an order, at a better price with respect to a resting counter order thereto, for the sixth instrument satisfying the relationship between the fourth and fifth orders from one of the plurality of market participants, and/or whether the implied sixth order will not improve a spread between a best bid price and a best ask price in the market for the sixth instrument.

3. The computer implemented method of claim 2 ,
wherein the sixth instrument is determined to be liquid when the best bid price in the market for the sixth instrument is within a threshold number of price ticks of the best ask price in the market for the sixth instrument, when the delivery month of the sixth instrument is a defined delivery month, when the delivery month for the sixth instrument is the current month, when the likelihood of receiving an order, at a better price with respect to a resting counter order thereto, for the sixth instrument satisfying the relationship between the fourth and fifth orders from one of the plurality of market participants exceeds a threshold, and/or when the implied sixth order will not improve a spread between the best bid price and the best ask price in the market for the sixth instrument, and
wherein the third instrument is determined to be illiquid when the best bid price in the market for the third instrument is not within a threshold number of price ticks of the best ask price in the market for the third instrument, when the delivery month of the third instrument is not the defined delivery month, when the delivery month for the third instrument is not the current month, when the likelihood of receiving an order, at a better price with respect to a resting counter order thereto, for the third instrument satisfying the relationship between the first and second orders from one of the plurality of market participants does not exceed the threshold, and/or when the implied third order will improve the spread between the best bid price and the best ask price in the market for the third instrument.

4. The computer implemented method of claim 3 wherein the threshold comprises two price ticks.

5. The computer implemented method of claim 1 ,
wherein the first and second orders each comprise component instruments of a spread order, and the third order comprises the spread order, and
wherein the fourth and fifth orders each comprise component instruments of another spread order, and the sixth order comprises the other spread order.

6. The computer implemented method of claim 1 ,
wherein the first order comprises a first component instrument of a spread order, the spread order being based on first and second component instruments, the second order comprises the spread order and the third order comprises the second component instrument of the spread order, and
wherein the fourth order comprises a fourth component instrument of another spread order, the other spread order being based on fourth and fifth component instruments, the fourth order comprises the other spread order and the sixth order comprises the fifth component instrument of the other spread order.

7. The computer implemented method of claim 1 ,
wherein the first order comprises an order for a back-month contract and the second order comprises an order for a spread between the back-month contract and a front-month contract, the third order comprising an order for the front-month contract, and
wherein the fourth order comprises another order for the back-month contract and the fifth order comprises another order for another spread between the back-month contract and the front-month contract, the sixth order comprising another order for the front-month contract.

8. The computer implemented method of claim 1 ,
wherein the market for the third instrument is characterized by a best ask price and a best bid price within 1 price tick thereof,
wherein the market for the sixth instrument is characterized by another best ask price and another best bid price within 1 price tick thereof.

9. The computer implemented method of claim 1 , wherein not generating and listing the implied sixth order further comprises determining whether preventing the making available of the implied sixth order will result in the market for the sixth instrument being crossed and generating and subsequently listing the implied sixth order if the not generating and listing the implied sixth order will result in the market for the sixth instrument being crossed.

10. A computer system comprising:
a processor;
a non-transitory memory coupled with the processor, the non-transitory memory containing computer-executable instructions that when executed by the processor cause the processor to implement:
an order receiver which receives from at least one market participant, a first order for a first instrument and a second order for a second instrument, the first and second orders having a relationship therebetween from which at least a third order for a third instrument may be implied; and
an implied order generator which determines, based on a calculation using at least the first order and the second order, liquidity of the third instrume

Assignees

• Chicago Mercantile Exchange Inc

Inventors

• Wolf Brian M
• Curran John F
• Farrell James W
• Callaway Paul J
• Galster Barry
• Milne Andrew
• Scimeca Giuseppe
• Peck-Walden Pearce
• Wilcox James

Classifications

• G06Q40/04 Primary

  Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange · CPC title

• G06Q40/043

  Tools or interfaces specially adapted for trading or brokering · CPC title

• G06Q40/045 Primary

  Accepting or processing orders in an exchange · CPC title