Combination LEG price generation
View Patent ↗A method of calculating leg prices in trading of a combination order on a market having set price rules is provided. The combination order comprises a combination of instruments of at least two different kinds that are traded for a single net price and each kind of instrument is associated with a respective leg price. The method comprises the following steps: a) assigning seed price values to all leg prices but a last leg price; b) calculating the last leg price by means of the assigned seed price values and a net price for the combination order; c) checking whether the last leg price complies with the price rules; d) if the last leg price does not comply with the price rules, modifying the seed price values; and repeating steps c) and d) until the last leg price complies with current price rules or for a predetermined number of times. This attains compliance with the tick step rules and in turn avoids the use of secondary price algorithms, which may lead to costly and time-consuming manual re-booking.
1. A method implemented in a trade matching system, comprising:
a) the trade matching system calculating leg prices in trading of a combination order that has been matched in the trade matching system on a market having set price rules, wherein said combination order comprises a combination of instruments of at least two different kinds that are traded for a single net price, and wherein each kind of instrument is associated with a respective leg price, the method comprising the following further steps:
b) for said matched combination order, the trade matching system assigning seed price values to all leg prices but a last leg price;
c) calculating said last leg price based on said assigned seed price values and a net price for the combination order;
d) checking whether said last leg price complies with the price rules;
e) determining that said last leg price does not comply with the price rules, and based on that determination, the trade matching system modifying one or more of said seed price values; and
f) the trade matching system repeating steps c)-d) with the modified one or more seed price values until said last leg price complies with the price rules or for a predetermined number of times.
2. The method according to claim 1 , wherein the price rules include tick size or tick spread rules, and wherein, in step e), said seed price values are modified by a number of tick steps away from said seed price values assigned in step b).
3. The method according to claim 2 , wherein, in step e), said seed price values are modified by +/−1 tick step away from said seed price values assigned in step b).
4. The method according to claim 3 , wherein, in step e), said seed price values are modified by +/−2 tick steps away from said seed price values assigned in step b).
5. The method according to claim 1 , comprising the additional step of returning to a first solution found if steps c)-e) have been repeated the predetermined number of times.
6. The method according to claim 1 , wherein said predetermined number of times is 2.
7. The method according to claim 1 , wherein said predetermined number of times is 4.
8. The method according to claim 1 , wherein, in step b), seed price values are assigned based on a bid value.
9. The method according to claim 8 , wherein, in step b), seed price values are assigned to a bid value+1 tick step.
10. The method according to claim 9 , wherein, in step e), said seed price values are modified in the following order:
seed price assigned in step a) +1 tick step, but only if not bigger than an ask side; and
seed price assigned in step a) +2 tick steps, but only if not bigger than an ask side.
11. The method according to claim 1 , wherein, in step b), seed price values are assigned based on an ask value.
12. The method according to claim 11 , wherein, in step b), seed price values are assigned to an ask value−1 tick step.
13. The method according to claim 12 , wherein, in step e), said seed price values are modified in the following order:
seed price assigned in step b) −1 tick step, but only if not smaller than a bid side; and
seed price assigned in step b) −2 tick steps, but only if not smaller than a bid side.
14. The method according to claim 1 , wherein, in step b), seed price values are assigned based on either of a theoretical value or a last paid value.
15. The method according to claim 14 , wherein, in step e), said seed price values are modified in the following order:
seed price assigned in step b) +1 tick step;
seed price assigned in step b) −1 tick step;
seed price assigned in step b) +2 tick steps; and
seed price assigned in step b) −2 tick steps.
16. The method according to claim 1 , wherein in step c) said last leg price is calculated by summing the leg price times a number of that kind of instrument and dividing the result by the number of instruments not assigned a seed price.
17. The method according to claim 1 , wherein said price rules comprises rules regarding a number of decimals used or the tick step for different value ranges.
18. An automatic trade matching system, said automatic trade matching system including a data processor and a memory arranged to perform the following steps for a combination order matched on a market having set price rules:
a) calculating at the trade matching system leg prices for the matched combination order, wherein said combination order comprises a combination of instruments of at least two different kinds that are traded for a single net price, and wherein each kind of instrument is associated with a respective leg price, the data processor and a memory further arranged to perform the following steps for said matched combination order:
b) assigning seed price values at the trade matching system to all leg prices but a last leg price;
c) calculating said last leg price based on said assigned seed price values and a net price for the combination order;
d) checking whether said last leg price complies with the price rules;
e) determining that said last leg price does not comply with the price rules, and based on that determination, modifying one or more of said seed price values; and
f) repeating steps c)-e) with the modified one or more seed price values until said last leg price complies with the price rules or for a predetermined number of times.
19. A computer program product loadable into the internal memory of a computer, said product having software code portions which when executed cause the computer to perform the following steps for a combination order matched on a market having set price rules:
a) calculating leg prices for the matched combination order, wherein the matched combination order includes a combination of instruments of at least two different kinds that are traded for a single net price, and wherein each kind of instrument is associated with a respective leg price;
b) assigning seed price values at the trade matching system to all leg prices but a last leg price;
c) calculating said last leg price based on said assigned seed price values and a net price for the combination order;
d) checking whether said last leg price complies with the price rules;
e) determining that said last leg price does not comply with the price rules, and based on that determination, modifying one or more of said seed price values; and
f) repeating steps c)-e) with the modified one or more seed price values until said last leg price complies with the price rules or for a predetermined number of times.
20. The automatic trade matching system in claim 18 , wherein the price rules include tick size or tick spread rules.
21. The automatic trade matching system in claim 18 , wherein the price rules include tick size or tick spread rules.