Method and a system for improved trading of combinations and baits generated thereof
View Patent ↗In automated exchange system, a single matching unit is supplemented with a calculation unit and a global memory accessible by both the calculation unit and the matching unit. Such a computer architecture will make it possible to perform some of the calculations related to the volume and/or prices of the baits needed in the matching to be performed in advance. The matching process is able to use the values resulting from the pre-calculation when needed, and since no or few calculations are done in one of the most critical parts of the system, i.e. the matching unit, the process of matching combination contracts can be performed at a much higher rate. Hereby the performance of the matching process will be significantly increased. The provision of one or several calculation units will make it possible to perform even very complex calculations can be performed since most calculations need not be performed in real time.
1. An automated exchange for trading financial instruments arranged to receive combination orders to be matched, comprising:
a first computer entity associated with a first computer processor and configured to match the received combination orders;
a second computer entity, associated with a second processor configured to, locally at the automated exchange and independently of received combination orders, pre-calculate dynamically non-natural matching data values based on received market data for the financial instruments traded at the automated exchange, of which at least some non-natural matching data values will be required in the matching of a subsequently received combination order requiring a simultaneous trade of multiple sub-contracts for different financial instruments, wherein the pre-calculated non-natural matching data values include a volume and/or prices associated with the sub-contracts in combination orders likely to be received by the automated exchange that relates to one or more derived orders including a covered option, a future basis trade, or a bond switch; and
a shared memory, operatively connected to the first computer entity and the second computer entity, and configured to store the locally pre-calculated non-natural matching data values that relates to one or more derived orders including a covered option, a future basis trade, or a bond switch;
wherein the first computer entity is configured to use some of the pre-calculated, non-natural matching data values in subsequent matching of one of the received combination orders.
2. The automated exchange according to claim 1 , wherein the first computer entity and the second computer entity are located in the same computer server.
3. The automated exchange according to claim 1 , further comprising multiple computer processors for calculating pre-calculated matching data values.
4. The automated exchange according to claim 1 , wherein the pre-calculated matching data values to be calculated by the second computer entity are based on a prediction model.
5. A method of matching combination orders in an automated exchange system for trading financial instruments, comprising:
receiving, via an interface of the automated exchange, combination orders;
a first computer entity including a first computer processor matching received combination orders;
a second computer entity including a second processor dynamically pre-calculating, locally at the automated exchange system and independently of received combination orders, non-natural matching data values of which at least some non-natural matching data values will be required in the matching of a subsequently received combination order requiring a simultaneous trade of multiple sub-contracts for different instruments in a second computer processor, wherein the pre-calculated, non-natural matching data values include a volume and/or prices associated with the sub-contracts in combination orders likely to be received by the automated exchange system that relate to one or more derived orders including a covered option, a future basis trade, or a bond switch;
locally storing the pre-calculated, non-natural matching data values that relate to one or more derived orders including a covered option, a future basis trade, or a bond switch in a shared memory operatively connected to the first computer entity and the second computer processor entity; and
the first computer entity using some of the pre-calculated, non-natural matching data values in subsequent matching of one of the received combination orders.
6. A method according to claim 5 , wherein the matching and pre-calculations are performed within different partitions in the same computer server.
7. A method according to claim 5 , wherein the pre-calculated matching data values are determined based on a prediction model.
8. A computer program product including program instructions stored on a non-transitory storage medium, which when executed on one or more computer entities, performs a method of matching combination orders in a matching unit of an automated exchange system for trading financial instruments, comprising the steps of:
receiving, via an interface of the automated exchange, combination orders input to the automated exchange system;
a first computer entity within the matching unit and including a first computer processor matching received combination orders;
a second computer entity within the matching unit and including a second processor dynamically pre-calculating, locally at the automated exchange system and independently of received combination orders, non-natural matching data values of which at least some non-natural matching data values will be required in the matching of a subsequently received combination order requiring a simultaneous trade of multiple sub-contracts for different instruments in a second computer processor, wherein the pre-calculated, non-natural matching data values include are related to a volume and/or prices associated with the sub-contracts in the combination order orders likely to be received by the automated exchange system that relate to one or more derived orders including a covered option, a future basis trade, or a bond switch;
locally storing the pre-calculated, non-natural matching data values that relate to one or more derived orders including a covered option, a future basis trade, or a bond switch calculated by the second computer entity in a shared memory operatively connected to the first computer entity and the second computer processor entity; and
the first computer entity using some of the pre-calculated, non-natural matching data values in subsequent matching of the one of the received combination orders.
9. The automated exchange in claim 1 , wherein the pre-calculated, non-natural data values are related to a volume and/or prices associated with baits derived from the received combination orders.
10. The automated exchange in claim 1 , wherein the second computer entity is configured to pre-calculate the non-natural data values using one or more of the following: an iterative goal seeking formula, a price-to-yield formula, a yield-to-price formula, a contract duration formula, or a Black and Scholes option pricing formula.
11. The method in claim 5 , wherein the pre-calculated, non-natural data values are related to a volume and/or prices associated with baits derived from the combination order.
12. The method in claim 5 , wherein the pre-calculated, non-natural data values are pre-calculated using one or more of the following: an iterative goal seeking formula, a price-to-yield formula, a yield-to-price formula, a contract duration formula, or a Black and Scholes option pricing formula.