Electronic completion of cash versus futures basis trades

Abstract

An electronic trading system is described herein. More specifically, the electronic trading system may relate to the substantially simultaneous trading of cash instruments and their related futures contract for interest-rate related instruments. The electronic trading system may also be used to allow a user (such as a market maker or other suitable participant) to gauge his chance of success at completing both sides of a basis trade within a preferably pre-determined or pre-set interval, while knowing in advance the specific weighting algorithm that will be applied to the basis trade. The electronic trading system may also be used to allow a user to predetermine the exact weighting algorithm to be used on such a basis trade, and to adjust those preferences where necessary or desired.

1 . An apparatus for implementing an electronic trading system, the apparatus comprising:
 a plurality of workstations, each of the workstations comprising:   a workstation storage device;   a workstation processor connected to the workstation storage device, the workstation storage device storing a workstation program for controlling the workstation processor; and   the workstation processor operative with the workstation program to receive bids and offers on at least one item, and to display the bids and offers; and   a server operative to communicate with the plurality of workstations and receive the bids and offers for at least one item, the server comprising:   a server storage device;   a server processor connected to the server storage device, the server storage device storing a server program for controlling the server processor;   the server processor operative with the server program to determine a measure of availability of a pre-determined quantity of a derivative instrument, the derivative instrument being based on the item, the measure of availability being based on bids and offers for the derivative instrument, a risk size that defines the pre-determined quantity of the derivative instrument, a risk factor that defines an excess amount of the derivative instrument over which availability is tested, and a risk tick that further tests whether the risk size plus the excess amount is obtainable within a threshold number of ticks from the best available bid/offer for the derivative instrument.