Complex order leg synchronization
A system is provided for trading complex orders for financial instruments, including complex orders that include legs that are to be executed on different markets. The legs of the order are optionally specified to be executed in a particular ratio, at net price, and/or at a range of net prices. The system halts trading for all legs in one market, determines a quantity and price to execute a second leg of the order on the other market to achieve a specified ratio or net price and then submits the second leg for execution on the other market if the second leg remains marketable on the other market. If an execution is received from the other market, then the legs in the first market are executed and the series unfrozen. If the other market has not responded after a predetermined time, then the legs in the first market are unfrozen and trading continues.
1. A method for executing a financial transaction to trade a complex order comprising the steps of:
providing an interface;
providing a processor connected with the interface;
providing an instruction memory connected with the processor for storing processing instructions;
receiving a complex order via the interface, the complex order including a first order to purchase or sell a first quantity of a first financial instrument and a second order to purchase or sell a second quantity of a second financial instrument;
identifying a first market on which to purchase or sell the first instrument;
identifying a second market on which to purchase or sell the second instrument;
halting trading of the first instrument on the first market using the processor executing the processing instructions;
transmitting the second order via the interface to the second market for execution while trading of the first instrument on the first market is halted;
determining that the whole of the second quantity of the second instrument was purchased or sold using the processor executing the processing instructions; and
executing the purchase or sale for the first quantity of the first instrument on the first market using the processor executing the processing instructions, wherein the first quantity and the second quantity represent a predetermined ratio.
2. The method of claim 1 , further comprising the steps of:
determining that less than the whole of the second quantity was purchased or sold using the processor executing the processing instructions; and
executing the purchase or sale of a portion of the first quantity of the first instrument on the first market using the processor executing the processing instructions, wherein the portion of the first quantity and the portion of the second quantity represent the predetermined ratio.
3. The method of claim 1 , further comprising the step of determining a cost to purchase or sell the first and second quantities of the first and second instruments based on prices for the instruments on the first and second markets while trading of the first instrument is halted on the first market using the processor executing the processing instructions.
4. The method of claim 1 , further comprising the steps of:
determining a time that trading of the first instrument on the first market has been halted using the processor executing the processing instructions;
determining that the time has exceeded a predetermined maximum market halt period using the processor executing the processing instructions; and
cancelling the first second orders if the step of executing has not occurred using the processor executing the processing instructions.
5. The method of claim 1 , wherein the first order is for the purchase or sale of a derivative security and the second order is for the purchase or sale of the underlying instrument of the derivative security.
6. The method of claim 1 , wherein the first order is for the purchase or sale of stock options contracts and the second order is for the purchase or sale of the stock underlying the options contracts.
7. The method of claim 1 , wherein the step of executing the first order of the complex order is contingent on the execution of the second order on the second market.
8. The method of claim 3 , wherein the complex order further comprises a net price and wherein the method further comprises the steps of
determining that the cost of the complex order exceeds the net price; and
canceling the first and second orders.
9. The method of claim 1 , wherein at least one of the first and second financial instruments includes at least one options contract.
10. The method of claim 1 , wherein at least one of the first and second financial instruments includes at least one futures contract.
11. The method of claim 10 , wherein at least one of the first and second financial instruments includes an amount of a commodity underlying the at least one futures contract.
12. The method of claim 1 , further comprising the steps of
implementing an arrival delay timer for determining an arrival delay period using the processor executing the processing instructions; and
delaying the steps of halting, transmitting, determining and executing for the arrival delay period after receiving the complex order using the processor executing the processing instructions.
13. The method of claim 3 , further comprising the steps of:
determining that the cost is greater than a net price using the processor executing the processing instructions;
postponing the steps of halting, transmitting, determining, and executing using the processor executing the processing instructions;
monitoring prices on the first and second markets using the processor executing the processing instructions; and
resuming the steps of halting, transmitting, determining; and executing when the cost is less than or equal to the net price using the processor executing the processing instructions.
14. The method of claim 9 , wherein at least one of the first and second financial instruments includes at least one order to purchase or sell stock underlying the at least one options contract.
15. A method for executing a financial transaction to trade a complex order comprising the steps of:
providing an interface;
providing a processor connected with the interface;
providing an instruction memory connected with the processor for storing processing instructions;
receiving a complex order via the interface, the complex order including a first order to purchase or sell a first quantity of a first financial instrument, a second order to purchase or sell a second quantity of a second financial instrument, and a net price to execute the complex order;
identifying a first market on which to purchase or sell the first instrument;
identifying a second market on which to purchase or sell the second instrument;
halting trading of the first instrument on the first market using the processor executing the processing instructions;
determining the net execution price to execute the complex order while trading of the first instrument on the first market, is halted using the processor executing the processing instructions;
determining that the net execution price is less than or equal to the net price using the processor executing the processing instructions;
transmitting the second order via the interface to the second market for execution while trading of the first instrument on the first market is halted; and
executing the purchase or sale for the first quantity of the first instrument on the first market using the processor executing the processing instructions.
16. The method of claim 15 , further comprising the steps of:
determining that the net execution price is greater than the net price using the processor executing the processing instructions;
monitoring prices on the second market; and
transmitting the second order via the interface to the second market for execution when the price to purchase or sell the second order is such that the net execution price is less than the net price.