Utilizing a Trigger Order with Multiple Counterparties in Implied Market Trading

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. Calculating tradable combinations or cycles for certain strategies becomes complex. Strategies that utilize legs having different volume ratios may form tradable combinations that will traverse a trigger order more than one time.

We claim: 
     
         1 . A computer implemented method of computing implied orders in an electronic trading system, the method comprising:
 receiving a first real order;   receiving a second real order;   calculating an implied order from at least a portion of the first real order and at least a portion of the second real order;   outputting the implied order to the electronic trading system;   receiving a third real order associated with the implied order;   identifying, by an automated programmed computer, a tradable combination including at least the first real order, the second real order, and the third real order, wherein the third real order is matched two or more times in the tradable combination, and   executing a trade associated with the tradable combination using the electronic trading system.   
     
     
         2 . The computer implemented method of  claim 1 , wherein at least one of the first real order and the second real order comprises a plurality of legs at different volume ratios. 
     
     
         3 . The computer implemented method of  claim 1 , further comprising:
 determining whether an initial tradable combination can be formed including at least the first real order and the second real order; and   executing the initial tradable combination using the electronic trading system.   
     
     
         4 . The computer implemented method of  claim 3 , further comprising:
 adjusting, if the initial tradable combination can be formed, at least one property of the first real order or the second real order.   
     
     
         5 . The computer implemented method of  claim 4 , wherein the at least one property comprises trade volume. 
     
     
         6 . The computer implemented method of  claim 1 , further comprising:
 generating an execution report including at least the tradable combination.   
     
     
         7 . The computer implemented method of  claim 1 , further comprising:
 translating data associated with at least one of the first real order, the second real order, and the third real order according to syntactic mapping of a modeling language.   
     
     
         8 . The computer implemented method of  claim 7 , wherein the modeling language represents tradable instruments with nodes and edges in a graph and the tradable combination is associated with the calculation of cycles in the graph. 
     
     
         9 . The computer implemented method of  claim 1 , wherein the calculating of the implied order includes calculation of one or more shortest path trees including one or more nodes. 
     
     
         10 . The computer implemented method of  claim 1 , wherein a representation of the implied order appears on a display. 
     
     
         11 . The computer implemented method of  claim 1 , wherein the first real order is selected from the group consisting of a butterfly spread, a double butterfly spread, a crack spread, a crush spread, or a ratio spread. 
     
     
         12 . An apparatus comprising:
 a memory configured to store at least a first real order and a second real order; and   a processor configured to calculate an implied order based on the first real order and the second real order and calculate a tradable combination including the first real order, the second real order, and a trigger order tradable with the implied order, wherein at least one of the first real order, the second real order, and the trigger order is used two or more times in the tradable combination.   
     
     
         13 . The apparatus of  claim 12 , wherein the first real order is selected from the group consisting of a butterfly spread, a double butterfly spread, a crack spread, a crush spread, or a ratio spread. 
     
     
         14 . The apparatus of  claim 13 , wherein the processor is further configured to identify a second tradable combination including the first real order and the second real order and output an adjusted property of at least one of the first real order and the second real order. 
     
     
         15 . The apparatus of  claim 12 , wherein the processor is further configured to translate data associated with at least one of the first real order and the second real order according to syntactic mapping of a modeling language. 
     
     
         16 . The apparatus of  claim 15 , wherein the modeling language represents tradable instruments with nodes and edges in a graph and the calculating of tradable combinations of orders in these instruments is associated with the calculation of cycles in the graph. 
     
     
         17 . The apparatus of  claim 12 , wherein the processor is configured to calculate implied orders from one or more shortest path trees including one or more nodes. 
     
     
         18 . The apparatus of  claim 12 , further comprising:
 a display in communication with the processor and configured to output a representation of the implied order.   
     
     
         19 . An apparatus comprising:
 a memory configured to store at least a first real order and a second real order; and   a processor configured to translate data associated with at least one of the first real order and the second real order according to syntactic mapping of a modeling language to calculate an implied order based on the first real order and the second real order, wherein the syntactic mapping provides a tradeable combination including the first real order, the second real order, and a trigger order based on the implied order, and wherein at least one of the first real order, the second real order, and the trigger order is used two or more times in the tradable combination.   
     
     
         20 . The apparatus of  claim 19 , wherein the modeling language represents tradable instruments with nodes and edges in a graph and the tradable combination is associated with a geometric cycle in the graph.