System and method for creating parity on close orders
View Patent ↗An automated system for creating parity on close orders in an exchange configured for trading securities or derivatives is disclosed including an electronic trade engine operative to receive an order for a security or derivative at the exchange, the trade engine further operative to disseminate a request for a price message to a plurality of market makers quoting a class in response to receiving the order, wherein the request for a price message includes a parity amount for the order; an electronic book in communication with the electronic trade engine, the electronic book operative to store at least one order received by the electronic trade engine; and wherein, in response to the request for a price message, the electronic trade engine receives at least one price message that includes a fee in addition to the parity amount.
1. An automated system for creating parity on close orders in an exchange configured for trading securities or derivatives comprising:
an electronic trade engine having a processor operative to receive a parity on close order from a customer for a physically settled call option expiring on a day of receipt of the order at the exchange, the parity on close order corresponding to an order of a quantity of the call option for a fee above a parity amount calculated at a close of the day of receipt of the order, wherein the parity amount comprises an amount of a closing price of an underlying of the call option that is greater than a strike price for the call option;
wherein the processor is further operative to disseminate a request for price message to a plurality of market makers quoting a class of securities or derivatives corresponding to the order in response to receiving the order, wherein the request for price message includes the parity amount for the order;
a storage device having a database in communication with the processor, the database operative to store at least one order received by the processor; and
wherein, in response to the request for price message, the processor receives at least one response message that includes a fee in addition to the parity amount.
2. A method for creating parity on close orders in an exchange, the method comprising:
receiving a parity on close order from a customer for a physically settled call option expiring on a day of receipt of the order at the exchange, the parity on close order corresponding to an order of a quantity of the call option for a fee above a parity amount calculated at a close of the day of receipt of the order, wherein the parity amount comprises an amount of a closing price of an underlying of the call option greater than a strike price for the call option;
routing the order to a processor of an electronic trade engine;
the processor of the electronic trade engine disseminating a request for price message to a plurality of market makers quoting a class of securities or derivatives corresponding to the order, wherein the request for price message includes the parity amount for the order;
receiving at least one response message at the processor of the electronic trade engine that includes a fee in addition to the parity amount; and
the processor of the electronic trade engine allocating at least a portion of the order to a sender of the at least one response message.