Diverse options order types in an electronic guaranteed entitlement environment
An enhanced system and method for handling, matching and executing a diverse group of limit-priced orders in an electronic options environment is disclosed. Most of the order types disclosed are automatically repriced and reposted as the NBBO changes to increase their execution opportunities. Market maker entitlements are integrated with the order processing, so that the market maker is guaranteed an allocation of the trade if the market maker is at the NBBO when an order priced at or better than the NBBO is received. Once posted to the order book, the displayed price of an order may be eligible for preferential execution in a market maker entitlement process, regardless of whether the displayed price is original or has been automatically repriced.
1. A computing system for automatically repricing orders to enhance execution opportunities, the computing system comprising:
an order matching engine configured to maintain an order book and a market maker quote book, each storing orders associated with a respective option series;
an away market quote engine configured to maintain an away market best bid and offer book that is separate from the order book and the market maker quote book;
one or more interfaces configured to receive orders and quotes from one or more away market center systems;
a memory storing code; and
a processor interacting with the one or more interfaces and the engines and executing the code, wherein the code, when executed, causes the computing system to:
receive, via the one or more interfaces, an away market quote from an away market center system;
store, by the away market quote engine, the away market quote in the away market best bid and offer book;
analyze, by the away market quote engine, the received quote and determine whether the away market quote has moved into or away from a price of a contra-side order stored in the order book;
notify, by the away market quote engine, the order matching engine that the away market quote has moved into or away from the price of the contra-side order;
evaluate, by the order matching engine, the contra-side order to determine whether said contra-side order can be repriced; and
reprice, by the order matching engine, the contra-side order upon determining that the contra-side order can be repriced.
2. The computing system of claim 1 , wherein the received away market quote is for a specified option series maintained on the computing system, and wherein the contra-side order comprises an automatically repriceable order that also pertains to said specified option series, said automatically repriceable order being stored in the order book.
3. The computing system of claim 1 , wherein the contra-side order comprises a stand-your-ground inside limit order.
4. The computing system of claim 3 , further comprising a lead market maker guarantee entitlement process, a display order process, a working order process, and a routing process, wherein the stand-your-ground inside limit order attempts to execute in the lead market maker guarantee entitlement process, the display order process, the working order process, and the routing process, and any remaining portion of the stand-your-ground inside limit order is posted to the order book at its repriced price.
5. The computing system of claim 1 , wherein the contra-side order comprises a sweep limit order.
6. The computing system of claim 5 , further comprising a lead market maker guarantee entitlement process, a display order process, a working order process, and a routing process, wherein the sweep limit order attempts to execute in the lead market maker guarantee entitlement process, the display order process, the working order process, and the routing process, and any remaining portion of the sweep limit order is posted to the order book at its repriced price.
7. The computing system of claim 1 , wherein the contra-side order comprises an intermarket sweep limit order.
8. The computing system of claim 7 , further comprising a lead market maker guarantee entitlement process, a display order process, a working order process, and a routing process, wherein the intermarket sweep limit order attempts to execute in the lead market maker guarantee entitlement process, the display order process, the working order process, and the routing process, and any remaining portion is posted to the order book at its repriced price.
9. The computing system of claim 1 , wherein the contra-side order comprises a reprice-and-ship inside limit order.
10. The computing system of claim 9 , further comprising a lead market maker guarantee entitlement process, wherein the away market quote engine determines that the away market quote has moved into the price of the contra-side order, and wherein the reprice-and-ship inside limit order attempts to execute in the lead market maker guarantee entitlement process and then routes to the away market quote that moved into its display price.
11. The computing system of claim 1 , wherein:
if the away market quote engine determines that the away market quote has moved away from the price of the contra-side order, the reprice comprises a price that is more aggressive than the price of the contra-side order, and
if the away market quote engine determines that the away market quote has moved into the price of the contra-side order, the order matching engine determines whether the contra-side order needs to be priced less aggressively, and upon determining that the contra-side order does need to be priced less aggressively, reprices said contra-side order to have less aggressive price.
12. A computer-implemented method for automatically repricing orders to enhance execution opportunities, the method comprising:
providing a computing system comprising:
an order matching engine configured to maintain an order book and a market maker quote book, each storing orders associated with a respective option series,
an away market quote engine configured to maintain an away market best bid and offer book that is separate from the order book and the market maker quote book,
one or more interfaces configured to receive orders and quotes from one or more away market center systems,
a memory storing code, and
a processor interacting with the one or more interfaces and the engines and executing the code, thereby causing the computing system to perform the steps of:
receiving, via the one or more interfaces, an away market quote from an away market center system;
storing, by the away market quote engine, the away market quote in the away market best bid and offer book;
analyzing, by the away market quote engine, the received quote and determine whether the away market quote has moved into or away from a price of a contra-side order stored in the order book;
notifying, by the away market quote engine, the order matching engine that the away market quote has moved into or away from the price of the contra-side order;
evaluating, by the order matching engine, the contra-side order and determining whether said contra-side order can be repriced; and
repricing, by the order matching engine, the contra-side order upon determining that the contra-side order can be repriced.
13. The method of claim 12 , wherein the received away market quote is for a specified option series maintained on the computing system, and wherein the contra-side order comprises an automatically repriceable order that also pertains to said specified option series, said automatically repriceable order being stored in the order book.
14. The method of claim 12 , wherein the contra-side order comprises a stand-your-ground inside limit order.
15. The method of claim 14 , further comprising:
executing, by the computing system, the stand-your-ground inside limit order via at least one of a lead market maker guarantee entitlement process, a display order process, a working order process and a routing process; and
posting, by the computing system following said executing, any remaining portion of the stand-your-ground inside limit order to the order book at its repriced price.
16. The method of claim 12 , wherein the contra-side order comprises a sweep limit order.
17. The method of claim 16 , further comprising:
executing, by the computing system, the sweep limit order attempts via at least one of a lead market maker guarantee entitlement process, a display order process, a working order process, and a routing process; and
posting, by the computing system following said executing, any remaining portion of the sweep limit order to the order book at its repriced price.
18. The method of claim 12 , wherein the contra-side order comprises an intermarket sweep limit order.
19. The method of claim 18 , further comprising:
executing, by the computing system, the intermarket sweep limit order via at least one of a lead market maker guarantee entitlement process, a display order process, a working order process and a routing process; and
posting, by the computing system following said executing, any remaining portion of the intermarket sweep limit order to the order book at its repriced price.
20. The method of claim 12 , wherein the contra-side order comprises a reprice-and-ship inside limit order.
21. The method of claim 20 , wherein the away market quote engine determines that the away market quote has moved into the price of the contra-side order, the method further comprising:
executing, by the computing system, the reprice-and-ship inside limit order via a lead market maker guarantee entitlement process; and
routing, by the computing system following said executing, the reprice-and-ship inside limit order to the away market quote that moved into its display price.
22. The method of claim 12 , wherein the away market quote engine refrains from notifying the order matching engine when the away market quote engine determines that the away market quote has not moved into or away from the price of the contra-side order.
23. The method of claim 12 , wherein:
if the away market quote engine determines that the away market quote has moved away from the price of the contra-side order, the method comprises repricing the contra-side order to have a more aggressive price, and
if the away market quote engine determines that the away market quote has moved into the price of the contra-side order, the method further comprises:
determining, by the order matching engine, whether the contra-side order needs to be priced less aggressively; and
upon determining that the contra-side order does need to be priced less aggressively, repricing, by the order matching engine, said contra-side order to have less aggressive price.