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 system for automatically repricing electronic orders, the system comprising:
a processor operatively coupled to memory storing code, which when executed by the processor, causes the processor to
generate one or more processing engines configured to:
receive quotation data disseminated from one or more away market center systems and store the received quotation data in an away market best bid and offer book;
retrieve contra-side order data that is stored in an order book, the away market best bid and offer book separate from the order book and a market maker quote book configured to store orders associated with a respective options series;
determine that an away market quote from among the received quotation data has moved into or away from a price of a contra-side order retrieved from among the contra-side order data; and
automatically reprice at least a portion of the contra-side order based on an extent to which said away market quote has moved into or away from the price of the contra-side order.
2. The system of claim 1 , wherein the one or more processing engines are further configured to:
temporarily combine the retrieved contra-side order data with the received quotation data into a single consolidated list; and
rank the repriced contra-side order within the single consolidated list,
wherein said rank dictates a sequence of execution.
3. The system of claim 2 , wherein the one or more processing engines are further configured to:
execute a transaction involving the at least portion of the contra-side order after it is repriced;
cancel a remaining portion of said repriced contra-side order; and
delete said single consolidated list after the transaction is executed.
4. The system of claim 1 , wherein the away market quote is associated with a specified option series maintained on the system, and wherein the contra-side order comprises an automatically repriceable order that is also associated with said specified option series.
5. The system of claim 1 , wherein the contra-side order comprises a stand-your-ground inside limit order.
6. The system of claim 5 , wherein the one or more processing engines are further configured to:
initiate at least one of a lead market maker guarantee entitlement process, a display order process, a working order process, and a routing process; and
attempt to execute a transaction involving the stand-your-ground inside limit order via at least one of 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.
7. The system of claim 1 , wherein the contra-side order comprises a sweep limit order.
8. The system of claim 1 , wherein the one or more processing engines are further configured to:
initiate at least one of a lead market maker guarantee entitlement process, a display order process, a working order process, and a routing process; and
attempt to execute a transaction involving the sweep limit order via at least one of 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.
9. The system of claim 1 , wherein the contra-side order comprises an intermarket sweep limit order.
10. The system of claim 9 , wherein the one or more processing engines are further configured to:
initiate at least one of a lead market maker guarantee entitlement process, a display order process, a working order process, and a routing process; and
attempt to execute a transaction involving the intermarket sweep limit order via at least one of 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 intermarket sweep limit order is posted to the order book at its repriced price.
11. The system of claim 1 , wherein the contra-side order comprises a reprice-and-ship inside limit order.
12. The system of claim 11 , wherein the one or more processing engines are further configured to:
initiate a lead market maker guarantee entitlement process, wherein the one or more processing engines determine that the away market quote has moved into the price of the contra-side order; and
attempt to execute a transaction involving the reprice-and-ship inside limit order via the lead market maker guarantee entitlement process and then routes to the away market quote that moved into its display price.
13. The system of claim 1 , wherein:
if the one or more processing engines determine 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 one or more processing engines determine that the away market quote has moved into the price of the contra-side order, the one or more processing engines determine 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, reprice said contra-side order to have less aggressive price.
14. A computer-implemented method for automatically repricing electronic orders, the method comprising:
providing a system comprising a processor operatively coupled to a memory storing code, which when executed by the processor, generate one or more processing engines that perform the steps of:
receiving quotation data disseminated from one or more away market center systems and storing the received quotation data in an away market best bid and offer book;
retrieving contra-side order data that is stored in an order book, the away market best bid and offer book separate from the order book and a market maker quote book configured to store orders associated with a respective options series;
determining that an away market quote from among the received quotation data has moved into or away from a price of a contra-side order retrieved from among the contra-side order data; and
automatically repricing at least a portion of the contra-side order based on an extent to which said away market quote has moved into or away from the price of the contra-side order.
15. The method of claim 14 , further comprising:
temporarily combining the retrieved contra-side order data with the received quotation data into a single consolidated list; and
ranking the repriced contra-side order within the single consolidated list,
wherein said ranking dictates a sequence of execution.
16. The method of claim 15 , further comprising:
executing a transaction involving the at least portion of the contra-side order after it is repriced;
cancelling a remaining portion of said repriced contra-side order; and
deleting said single consolidated list after the transaction is executed.
17. The method of claim 14 , wherein the away market quote is associated with a specified option series maintained on the system, and wherein the contra-side order comprises an automatically repriceable order that is also associated with said specified option series.
18. The method of claim 14 , wherein the contra-side order comprises a stand-your-ground inside limit order.
19. The method of claim 18 , further comprising:
initiating, by the one or more processing engines, at least one of a lead market maker guarantee entitlement process, a display order process, a working order process, and a routing process;
executing, by the one or more processing engines, a transaction involving the stand-your-ground inside limit order via at least one of the lead market maker guarantee entitlement process, the display order process, the working order process, and the routing process; and
posting, by the one or more processing engines, any remaining portion of the stand-your-ground inside limit order to the order book at its repriced price.
20. The method of claim 14 , wherein the contra-side order comprises a sweep limit order.
21. The method of claim 14 , further comprising:
initiating, by the one or more processing engines, at least one of a lead market maker guarantee entitlement process, a display order process, a working order process, and a routing process;
executing, by the one or more processing engines, a transaction involving the sweep limit order via at least one of the lead market maker guarantee entitlement process, the display order process, the working order process, and the routing process; and
posting, by the one or more processing engines, any remaining portion of the sweep limit order to the order book at its repriced price.
22. The method of claim 14 , wherein the contra-side order comprises an intermarket sweep limit order.
23. The method of claim 22 , further comprising:
initiating, by the one or more processing engines, at least one of a lead market maker guarantee entitlement process, a display order process, a working order process, and a routing process;
executing, by the one or more processing engines, a transaction involving the intermarket sweep limit order via at least one of the lead market maker guarantee entitlement process, the display order process, the working order process, and the routing process; and
posting, by the one or more processing engines, any remaining portion of the intermarket sweep limit order to the order book at its repriced price.
24. The method of claim 14 , wherein the contra-side order comprises a reprice-and-ship inside limit order.
25. The method of claim 24 , further comprising:
initiating, by the one or more processing engines, a lead market maker guarantee entitlement process;
determining, by the one or more processing engines, that the away market quote has moved into the price of the contra-side order;
executing, by the one or more processing engines, a transaction involving the reprice-and-ship inside limit order via the lead market maker guarantee entitlement process; and
routing, by the one or more processing engines, the reprice-and-ship inside limit order to the away market quote that moved into its display price.
26. The method of claim 14 , wherein:
if the one or more processing engines determine 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 one or more processing engines determine that the away market quote has moved into the price of the contra-side order, the one or more processing engines determine 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, reprice said contra-side order to have less aggressive price.