System and method for automated trading of financial interests
A derived order gives a participant simultaneous access to liquidity across multiple books, destinations, or marketplaces. The derived order can be placed and anchored in one trading venue and simultaneously replicated in another trading venue. A participant can place the derived order in the lit book as an anchor book and replicate the order in the hybrid book and/or the dark book, or alternatively, the participant can place the derived order in the hybrid book as an anchor book and replicate the order in the dark book. A trading engine can be configured to replicate an order in different books and guarantee that each order is only executed once. When an order is replicated, the trading engine can check the stored record to see where the order was placed, and then adjust or cancel an order in one book when it is being fulfilled in a different book.
1. A system comprising:
a trading engine processor configured to execute an instruction in an electronic trading venue; and
an order entry processing gateway system communicatively coupled to the trading engine processor, wherein the order entry processing gateway system is configured to:
receive a plurality of messages from a plurality of participant computer systems, each message of the plurality of messages comprising a participant identifier for a corresponding participant and an instruction relating to an identified instrument for execution by the trading engine processor;
for each message, determine, using the participant identifier, whether the message was received from a participant in a first group of participants or a participant in a second group of participants;
when the message is determined to have been received from the first group, transmit the message to the trading engine processor for execution, without applying latency to the message;
when the message is determined to have been received from the second group, apply a latency to the message by holding the message in a queue for a delay period, then transmitting the message to the trading engine processor for execution, the delay period being determined as a randomly selected time value within a range of time values.
2. The system according to claim 1 , wherein the second group comprises participants that self-identify with the second group.
3. The system according to claim 1 , wherein the second group comprises participants determined to be associated with the second group based on at least one of:
a historical message to instruction execution ratio associated with the corresponding participant;
a physical proximity of the participant computer system associated with the participant to the engine processor;
a message attribute or type;
an instrument type; and
an instruction type.
4. The system according to claim 1 , wherein the second group comprises participants determined to be associated with the second group based on a historical message to instruction execution ratio associated with the corresponding participant.
5. The system according to claim 1 , wherein the second group comprises participants determined to be associated with the second group based on a physical proximity of the participant computer system associated with the participant to the engine processor.
6. The system according to claim 1 , wherein the second group comprises participants determined to be associated with the second group based on a message attribute or type, an instrument type, or an instruction type.
7. The system according to claim 1 , wherein the second group comprises participants determined to be associated with the second group based on a historical message to instruction execution ratio associated with the corresponding participant, a physical proximity of the participant computer system associated with the participant to the engine processor, and either a message attribute or type, an instrument type, or an instruction type.