Generating implied orders based on electronic requests for quotes

Abstract

Systems and methods for determining implied spreads are provided. More particularly, implied spread financial transactions are generated using information from requests for quotes (RFQs). An RFQ processor module may focus the calculations performed by an implied spread determination module. A financial instrument associated with an RFQ may be provided to the implied spread determination module to trigger the determination of whether implied orders exist related to that particular financial instrument.

1 . A system comprising:
 a processor configured to execute computer-executable instructions stored in a memory coupled therewith that when executed cause the processor to:
 receive, from a requestor, an electronic non-actionable non-binding request for interest in a transaction of a financial instrument and communicate the request to a plurality of market participants so as to solicit a response therefrom to be communicated to the requestor; 
 cause, upon receipt of the request, a timer component coupled with the processor to measure elapse of a pre-determined period of time, the timer component ceasing prior to the elapse of the pre-determined period of time upon receipt of a response from one of the plurality of market participants; 
 determine that the request has not solicited any responses from the plurality of market participants before the pre-determined time period has elapsed, and based thereon, cause an implied spread determination module, coupled with the processor, to determine, via execution of a first processing thread, that a set of orders related to the financial instrument have been previously received and are not yet satisfied and all of the orders of the set may be satisfied in combination, and communicate an electronic notification thereof to an electronic match engine which, based thereon, executes a second processing thread in parallel with the first processing thread to contemporaneously execute each of orders of the set without preventing the electronic match engine from processing other incoming orders; and 
 generate, based on the execution of the orders of the set, a synthesized electronic response to the electronic non-actionable non-binding request for interest comprising data indicative of the execution of the orders of the set. 
   
     
     
         2 . The system of  claim 1 , wherein the set of orders is one of a plurality of sets of orders related to different financial instruments which have been previously received and are not yet satisfied and wherein all of the orders of the set may be satisfied in combination, each of which requires computational resources to identify. 
     
     
         3 . The system of  claim 1 , wherein at least one of the set of orders is for a transaction for at least or portion of the financial instrument. 
     
     
         4 . The system of  claim 1 , wherein the electronic notification comprises an order book identifier. 
     
     
         5 . The system of  claim 1 , wherein the synthesized electronic response includes information resulting from the execution of each of the orders of the set. 
     
     
         6 . The system of  claim 1 , further comprising, prior to the determination of the set of orders, the processor is operative to determine, based on the determination that the request has not solicited any responses from the plurality of market participants before the pre-determined time period has elapsed, that the financial instrument is one of a plurality of financial instruments to be monitored, and based thereon, determine the set of orders, wherein the data indicating that the plurality of financial instruments are to be monitored comprises a search list stored in the memory. 
     
     
         7 . The system of  claim 6 , wherein the execution of the computer-executable instructions further causes the processor to update the plurality of financial instruments to be monitored based on the determination by the implied spread determination module that the set of orders related to the financial instrument has been previously received and are not yet satisfied and all of the orders of the set may be satisfied in combination. 
     
     
         8 . The system of  claim 1 , wherein the financial instrument is one of a futures contract or an options contract. 
     
     
         9 . The system of  claim 1 , wherein the implied spread determination module has a limited amount of time to determine that a set of orders related to the financial instrument have been previously received and are not yet satisfied and all of the orders of the set may be satisfied in combination. 
     
     
         10 . The system of  claim 1 , wherein the implied spread determination module is communicatively coupled over a computer network with the electronic match engine, and the electronic notification is communicated over the computer network. 
     
     
         11 . A computer implemented method comprising:
 receiving, by a processor from a requestor, an electronic non-actionable non-binding request for interest in a transaction of a financial instrument and communicate the request to a plurality of market participants so as to solicit a response therefrom to be communicated to the requestor;   causing, by the processor upon receipt of the request, a timer component coupled with the processor to measure elapse of a pre-determined period of time, the timer component ceasing prior to the elapse of the pre-determined period of time upon receipt of a response from one of the plurality of market participants;   determining, by the processor, that the request has not solicited any responses from the plurality of market participants before the pre-determined time period has elapsed, and based thereon, causing an implied spread determination module, coupled with the processor, to determine, via execution of a first processing thread, that a set of orders related to the financial instrument have been previously received and are not yet satisfied and all of the orders of the set may be satisfied in combination, and communicate an electronic notification thereof to an electronic match engine which, based thereon, executes a second processing thread in parallel with the first processing thread to contemporaneously execute each of orders of the set without preventing the electronic match engine from processing other incoming orders; and   generating, by the processor based on the execution of the orders of the set, a synthesized electronic response to the electronic non-actionable non-binding request for interest comprising data indicative of the execution of the orders of the set.   
     
     
         12 . The computer implemented method of  claim 11 , wherein the set of orders is one of a plurality of sets of orders related to different financial instruments which have been previously received and are not yet satisfied and wherein all of the orders of the set may be satisfied in combination, each of which requires computational resources to identify. 
     
     
         13 . The computer implemented method of  claim 11 , wherein at least one of the set of orders is for a transaction for at least or portion of the financial instrument. 
     
     
         14 . The computer implemented method of  claim 11 , wherein the execution of each of the orders of the set occurs with no slippage risk. 
     
     
         15 . The computer implemented method of  claim 11 , wherein the electronic notification comprises an order book identifier. 
     
     
         16 . The computer implemented method of  claim 11 , wherein the synthesized electronic response includes information resulting from the execution of each of the orders of the set. 
     
     
         17 . The computer implemented method of  claim 11 , further comprising, prior to the determination of the set of orders, determining, by the processor based on the determination that the request has not solicited any responses from the plurality of market participants before the pre-determined time period has elapsed, that the financial instrument is one of a plurality of financial instruments to be monitored, and based thereon, determining the set of orders, wherein the data indicating that the plurality of financial instruments are to be monitored comprises a search list stored in the memory. 
     
     
         18 . The computer implemented method of  claim 17 , further comprising updating the plurality of financial instruments to be monitored based on the determination by the implied spread determination module that the set of orders related to the financial instrument has been previously received and are not yet satisfied and all of the orders of the set may be satisfied in combination. 
     
     
         19 . The computer implemented method of  claim 11 , wherein the financial instrument is one of a futures contract or an options contract. 
     
     
         20 . A tangible computer-readable medium storing computer-executable instructions that when executed by a processor cause a computing device to perform steps comprising:
 receiving, from a requestor, an electronic non-actionable non-binding request for interest in a transaction of a financial instrument and communicate the request to a plurality of market participants so as to solicit a response therefrom to be communicated to the requestor;   causing, upon receipt of the request, a timer component coupled with the processor to measure elapse of a pre-determined period of time, the timer component ceasing prior to the elapse of the pre-determined period of time upon receipt of a response from one of the plurality of market participants;   determining that the request has not solicited any responses from the plurality of market participants before the pre-determined time period has elapsed, and based thereon, causing an implied spread determination module, coupled with the processor, to determine, via execution of a first processing thread, that a set of orders related to the financial instrument have been previously received and are not yet satisfied and all of the orders of the set may be satisfied in combination, and communicate an electronic notification thereof to an electronic match engine which, based thereon, executes a second processing thread in parallel with the first processing thread to contemporaneously execute each of orders of the set without preventing the electronic match engine from processing other incoming orders; and   generating, based on the execution of the orders of the set, a synthesized electronic response to the electronic non-actionable non-binding request for interest comprising data indicative of the execution of the orders of the set.