Method and a system for trading virtual instruments
View Patent ↗In an automated exchange system, a separate virtual instrument is used in the matching process of the system. The virtual instrument guarantees that both a derivative instrument and its underlying instrument are traded together. The underlying instrument, i.e. the instrument in which derivative instruments are traded, is then preferably displayed together with the virtual instruments. The underlying instrument is presented with a price. The matching of the virtual instrument can take place in a matching module of the automated exchange system. After a trade in a virtual instrument is matched in the matching process of the system, the match is reported to a subsequent deal capture module where the corresponding different trades or deals of the virtual instrument are formed. The trades or deals formed in the deal capture module do not need to be matched because the number of instruments and the price can be deduced from the information relating to the virtual instrument.
1. A method of simultaneous trading of a derivative contract and an underlying instrument in an automated exchange system, the system including a computer-implemented matching module and a computer-implemented deal capture module, the method comprising the steps of:
forming and providing for display a virtual instrument, the virtual instrument guaranteeing a simultaneous trade of both a derivative instrument and its underlying instrument,
receiving bids and offers in said virtual instrument,
the computer-implemented matching module matching the bids and offers in the virtual instrument in the matching module, and
the computer-implemented matching module forwarding data relating to the matching to the computer-implemented deal capture module where a combined deal, including a trade in the derivative contract and a trade in its underlying instrument, is formed in accordance with the data related to the virtual instrument when the virtual instrument is matched.
2. A method according to claim 1 , a delta value associated with the virtual instrument is displayed in the same view as the virtual instrument.
3. A method according to claim 1 , further comprising the step of providing a price feed in the underlying instrument from an external execution point, when the underlying instrument is not traded on the exchange listing the virtual instrument.
4. A method according to claim 1 , wherein the virtual instrument corresponds to a covered option contract.
5. A method according to claim 1 , wherein a number of instruments traded in the underlying instrument is calculated as: (size of virtual instrument)*(delta value)*(nominal underlying instrument)/(nominal virtual instrument).
6. A method according to claim 1 , wherein the price of the underlying instrument is displayed in the same view as the virtual instrument.
7. An automated exchange system for simultaneous trading of a derivative contract or combinations thereof and an underlying instrument, the system comprising:
a computer-implemented matching module,
and a computer-implemented deal capture module,
wherein the computer-implemented matching module includes electronic circuitry configured to:
form and provide for display a virtual instrument, the virtual instrument guaranteeing a simultaneous trade in both a derivative contract and its underlying instrument,
receive bids and offers in said virtual instrument,
match the bids and offers in the virtual instrument, and
forward the data relating to the matching to the deal capture module,
wherein the computer-implemented deal capture module is configured to form a combined deal including one trade in the derivative contract and one trade in its underlying instrument in accordance with the data related to the virtual derivative instrument when there is a match in the virtual instrument.
8. A system according to claim 7 , wherein the price of the underlying instrument and/or a delta value associated with the virtual instrument is displayed in a same view as the virtual instrument.
9. A system according to claim 7 , further comprising means for providing a price feed in the underlying instrument from an external execution point.
10. A system according to claim 7 , wherein the virtual instrument corresponds to a covered option contract.
11. A system according to claim 7 , comprising means for calculating a number of instruments traded in the underlying instrument as: (size of virtual instrument)*(delta value)*(nominal underlying instrument)/(nominal virtual instrument).
12. A system according to claim 7 , wherein the price of the underlying instrument is displayed in a same view as the virtual instrument.
13. An exchange system, the system comprising:
a number of remote input terminals for entering bids and offers in a virtual instrument that guarantees simultaneous trading of a derivative contract and a contract underlying said derivative contract to be matched by the exchange system, the remote terminals being linked to a central computer server hosting an automated matching process of said entered bids and offers,
a matching engine for matching bids and offers in the virtual instrument,
a deal capture module provided to receive data output from a matching engine relating to matched bids and offers for the virtual instrument, the deal capture module being programmed to capture and create a first deal in the derivative contract and a second deal in the contract underlying the derivative contract in accordance with a specification of the matched virtual instrument.
14. A computer program product storing a computer program, comprising:
a computer-useable storage medium having computer code embodied therein, which when executed on a computer, causes the computer to perform the following steps:
forming and displaying a virtual instrument, the virtual instrument guaranteeing a simultaneous trade of both a derivative contract and its underlying instrument,
receiving bids and offers in said virtual instrument,
matching the bids and offers in the virtual instrument in the matching module, and
forwarding data relating to the matching to the deal capture module where a combined deal, including a trade in the derivative contract and a trade in its underlying instrument, is formed in accordance with the data related to the virtual instrument when the virtual instrument is matched.