Method and apparatus for improved electronic trading

Abstract

A method and apparatus for outputting data that represents the change in value of an options premium that would have resulted if the options traded in a direct linear volume relationship with its underlying security is provided. Input values utilized include a delta value, a gamma value, a value-weighted average price of an underlying stock, a reference price of the underlying stock, and an original order premium value.

1 - 18 . (canceled) 
     
     
         19 . An automated electronic matching system for automatically matching electronic records based on a benchmark generated from external input data, said automated electronic matching system being separate from and coupled to an electronic exchange via an electronic data network, said automated electronic matching system comprising:
 a communications module electronically in communication with said electronic data network, coupled to at least one electronic exchange, and to a plurality of electronic trading interfaces, configured to send and receive communications thereto and therefrom via an electronic communications protocol;   an input module coupled with said communications module so as to receive input data from said at least one electronic exchange and said plurality of electronic trading interfaces;   an order module coupled with said communications module so as to receive order data from said at least one electronic exchange and said plurality of electronic trading interfaces;   a calculation module coupled with said input module and configured to execute an algorithm for determining a first matching parameter;   a matching module coupled with said order module, said input module and said calculation module, said matching module being configured to execute a matching algorithm to match a maximum number of electronic order records based on said input data and said first matching parameter; and   an output module coupled with matching module and said communications module, configured to output, via said communications module, execution data to said at least one electronic exchange, said execution data being based on the results of executing said matching algorithm.   
     
     
         20 . The automated electronic matching system according to  claim 19 , wherein the input data includes a first delta value, a gamma value, a value-weighted average price value of an underlying stock, a reference price value of the underlying stock, and an original order premium value, the first delta value is a measure of the rate of change in an option's theoretical value for a one-unit change in the price of the underlying stock, the gamma value is a measure of the rate of change in an option's first delta value for a one-unit change in the price of the underlying stock, and the original order premium value is a value set for the order with corresponding values based on the first delta value, gamma value, and reference price value;
 wherein said calculations module performs calculations, including:
 calculating a master rate of change value based on the value-weighted average price and the reference price values; 
 calculating an adjusted delta value based on the first delta value, the master rate of change value, and the gamma value; and 
 calculating a gamma-weighted average price value based on the original order premium value, the master rate of change value, and the adjusted delta value; and 
   wherein, the first matching parameter is based on the gamma-weighted average price value.   
     
     
         21 . The automated electronic matching system according to  claim 19 , wherein the order module is further configured to receive order data only during a first time period, to store said order data;
 wherein said matching module executes the matching algorithm during a second time period that begins after the first time period ends;   wherein said input module receives real-time market data during a third time period that begins after the second time period ends;   wherein said calculation module calculates a gamma-weighted average price value based on the received real-time market data, the gamma-weighted average price being based on an original order premium value, a master rate of change value, and an adjusted delta value; and   wherein said output module is configured to use said the gamma-weighted average price value as an estimate of a trading price for each match.   
     
     
         22 . The automated electronic matching system according to  claim 19 , wherein the communications module is configured to communicate electronically via a FIX protocol. 
     
     
         23 . The automated electronic matching system according to  claim 19 , wherein the communications module is configured to communicate electronically with an automated options exchange via a FIX protocol. 
     
     
         24 . The automated electronic matching system according to  claim 19 , wherein the order data comprises order data relating to derivative instruments being electronically traded on said at least one electronic exchange. 
     
     
         25 . The automated electronic matching system according to  claim 21 , wherein the order data comprises order data relating to derivative instruments being electronically traded on said at least one exchange, said first time period is during a time when said at least one electronic exchange is closed and said third time period is during a time when said at least one electronic exchange is open. 
     
     
         26 . A system for automatically matching electronic records based on a benchmark generated from input data, said said system comprising:
 a plurality of electronic trading terminals coupled with an electronic data network and configured to send and receive electronic communications according to an electronic communications protocol; and   an automated electronic matching system being separate from at least one electronic exchange, said automated electronic matching system comprising a communications module electronically in communication with said electronic data network, to said at least one electronic exchange, and to said plurality of electronic trading interfaces and being configured to send and receive communications thereto and therefrom via an electronic communications protocol, an input module coupled with said communications module so as to receive input data from said at least one electronic exchange and said plurality of electronic trading interfaces, an order module coupled with said communications module so as to receive order data from said at least one electronic exchange and said plurality of electronic trading interfaces, a calculation module coupled with said input module and configured to execute an algorithm for determining a first matching parameter, a matching module coupled with said order module, said input module and said calculation module, said matching module configured to execute a matching algorithm to match a maximum number of order records based on said input data and said first matching parameter, and an output module coupled with matching module and said communications module, configured to output, via said communications module, execution data to said at least one electronic exchange, said execution data being based on the results of executing said matching algorithm.   
     
     
         27 . The system according to  claim 26 , wherein the input data includes a first delta value, a gamma value, a value-weighted average price value of an underlying stock, a reference price value of the underlying stock, and an original order premium value, the first delta value is a measure of the rate of change in an option's theoretical value for a one-unit change in the price of the underlying stock, the gamma value is a measure of the rate of change in an option's first delta value for a one-unit change in the price of the underlying stock, and the original order premium value is a value set for the order with corresponding values based on the first delta value, gamma value, and reference price value;
 wherein said calculations module performs calculations, including:
 calculating a master rate of change value based on the value-weighted average price and the reference price values; 
 calculating an adjusted delta value based on the first delta value, the master rate of change value, and the gamma value; and 
 calculating a gamma-weighted average price value based on the original order premium value, the master rate of change value, and the adjusted delta value; and 
   wherein, the first matching parameter is based on the gamma-weighted average price value.   
     
     
         28 . The system according to  claim 27 , wherein the order module is further configured to receive order data only during a first time period, to store said order data;
 wherein said matching module executes the matching algorithm during a second time period that begins after the first time period ends;   wherein said input module receives real-time market data during a third time period from said at least one electronic exchange, that begins after the second time period ends;   wherein said calculation module calculates a gamma-weighted average price value based on the received real-time market data, the gamma-weighted average price being based on an original order premium value, a master rate of change value, and an adjusted delta value; and   wherein said output module is configured to use said the gamma-weighted average price value as an estimate of a trading price for each match.   
     
     
         29 . The system according to  claim 26 , wherein the communications module is configured to communicate electronically via a FIX protocol. 
     
     
         30 . The system according to  claim 26 , wherein the communications module is configured to communicate electronically with an automated options exchange via a FIX protocol. 
     
     
         31 . The system according to  claim 26 , wherein the order data comprises order data relating to derivative instruments being electronically traded on said at least one electronic exchange. 
     
     
         32 . The system according to  claim 28 , wherein the order data comprises order data relating to derivative instruments being electronically traded on said at least one exchange, said first time period is during a time when said at least one electronic exchange is closed and said third time period is during a time when said at least one electronic exchange is open. 
     
     
         33 . The system according to  claim 26 , wherein said plurality of electronic trading terminals include options trading interfaces. 
     
     
         34 . The system according to  claim 26 , wherein said plurality of electronic trading terminals include order management systems.