Leg Pricer

Abstract

An electronic trading system utilises 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. The tradable combinations may include spread orders where one leg of the spread has a different tick size than the other or where the tick of the spread contract is different from the tick size in one or both legs. A method and system for calculating on tick leg prices in an equitable and predictable manner is provided.

1 . An apparatus comprising:
 a memory configured to store a table of a plurality of rounding scenarios for a tradeable combination including a first spread order and a second spread order, wherein entries in the table represent a set of directional rounding for leg prices of the first spread order and the second spread order; and   a processor configured to calculate scenario variances for the respective entries in the table of the plurality of rounding scenarios and select a lowest scenario variance for the tradeable combination.   
     
     
         2 . The apparatus of  claim 1 , wherein the first spread order includes a first price increment, the second spread order includes a second price increment, and the first price increment is different than the second price increment. 
     
     
         3 . The apparatus of  claim 1 , wherein the processor is configured to calculate leg prices for the first roundable spread order and the second roundable spread order based on the lowest scenario variance. 
     
     
         4 . The apparatus of  claim 1 , wherein the scenario variances for the respective entries in the table of the plurality of rounding scenarios are a sum of squares of differences between leg prices. 
     
     
         5 . The apparatus of  claim 4 , wherein the processor is configured to store intermediate calculations in the sum of squares of differences between leg prices in a first entry in the table for use in intermediate calculations in the sum of squares of differences between leg prices in a second entry in the table. 
     
     
         6 . The apparatus of  claim 1 , wherein the processor is operable to determine an anchor leg and an anchor price from which other leg prices are calculated by addition and subtraction of the prices of the other orders in the tradable combination including the first roundable spread order and the second roundable spread order. 
     
     
         7 . The apparatus of  claim 1 , wherein the processor is operable to identify the tradable combination including the first roundable spread order, second roundable spread order, and at least one other spread order. 
     
     
         8 . The apparatus of  claim 1 , wherein when the processor identifies that more than one rounding scenario results in the lowest scenario variance, selecting an earlier entry in the table of the plurality of rounding scenarios as the lowest scenario variance. 
     
     
         9 . The apparatus of  claim 1 , wherein the plurality of rounding scenarios are indexed in the table with a binary sequence that represents upward rounding or downward rounding for each leg with a single bit. 
     
     
         10 . A computer implemented method comprising:
 storing, in a memory, a table of a plurality of rounding scenarios for a tradeable combination including a first spread order and a second spread order, wherein entries in the table represent a set of directional rounding for the legs of the first spread order and the second spread order;   calculating, at a processor, scenario variances for the respective entries in the table of the plurality of rounding scenarios;   performing, at the processor, a comparison of the scenario variances for the respective entries in the table of the plurality of rounding scenarios; and   selecting a lowest scenario variance based on the comparison of the scenario variances for the respective entries in the table of the plurality of rounding scenarios.   
     
     
         11 . The computer implemented method of  claim 10 , wherein the first spread order includes a first price increment, the second spread order includes a second price increment, and the first price increment is different than the second price increment. 
     
     
         12 . The computer implemented method of  claim 11 , wherein the first price increment is neither a factor nor a multiple of the second price increment. 
     
     
         13 . The computer implemented method of  claim 11 , further comprising: calculating leg prices for the first spread order and the second spread order based on the lowest scenario variance. 
     
     
         14 . The computer implemented method of  claim 11 , wherein the scenario variances for the respective entries in the table of the plurality of rounding scenarios are a sum of squares of differences between leg prices. 
     
     
         15 . The computer implemented method of  claim 11 , further comprising: identifying an anchor leg and an anchor price from which other leg prices are calculated by addition and subtraction of the prices of the other orders in a tradable combination including the first spread order and the second spread order. 
     
     
         16 . The computer implemented method of  claim 11 , further comprising: identifying a tradable combination including the first spread order, the second spread order, and a third spread order. 
     
     
         17 . The computer implemented method of  claim 11 , wherein the plurality of rounding scenarios are indexed in the table with a binary sequence that represents upward rounding or downward rounding for each leg with a bit. 
     
     
         18 . An apparatus comprising:
 means for storing a table of a plurality of rounding scenarios for a tradable combination between a first spread order and a second spread order, wherein entries in the table represent a set of directional rounding for the legs of the first spread order and the second spread order;   means for calculating scenario variances for respective entries in the table of the plurality of rounding scenarios; and   means for determining an optimal rounding scenario for rounding leg prices of the first spread order and the second spread order based on the scenario variances for the respective entries in the table of the plurality of rounding scenarios.   
     
     
         19 . The apparatus of  claim 18 , wherein the first spread order includes a first price increment, the second spread order includes a second price increment, a remainder of the first price increment divided by the second price increment is greater than zero, and a remainder of the second price increment divided by the first price increment is greater than zero. 
     
     
         20 . The apparatus of  claim 18 , wherein the scenario variances for the respective entries in the table of the plurality of rounding scenarios are a sum of squares of differences between leg prices.