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:
an order entry gateway configured to receive an instruction for a transaction from a participant computing device and transmit an order message containing the instruction for the transaction, wherein the instruction comprises an identification of a participant;
a smart order router configured to:
receive the order message containing the instruction from the order entry gateway;
in response to the instruction having the identification of the participant associated with a first group of participants, generate a latency instruction to hold execution until after expiration of a delay; and
in response to the instruction having the identification of the participant with a second group of participants, route the instruction without delay; and
a trading engine processor configured to receive the order message from the smart order router and request execution of the instruction by a communicatively coupled processor of a venue, wherein the trading engine processor holds the instruction before executing after the expiration of the delay when the participant is associated with the first group of participants.
2. The system of claim 1 , further comprising a segmentation processor configured to validate the instruction received at the smart order router.
3. The system of claim 1 , wherein the venue is selected from an order book, a securities trading venue, a marketplace, or an exchange.
4. The system of claim 1 , further comprising a trading engine comprising the smart order router and the trading engine processor.
5. The system of claim 1 , wherein an exchange hosts the trading engine processor.
6. The system of claim 1 , wherein the identification for each participant is unique to each venue.
7. The system of claim 1 , wherein the order message comprises a plurality of instructions for a plurality of participants and transactions, and wherein the smart order router is configured to apply the latency to only a subset of the plurality of participants of the order message.
8. The system of claim 1 , wherein the delay is dynamically adjusted during a day.
9. The system of claim 1 , wherein the delay is based on a random value of a period of time between a minimum value and a maximum value.
10. The system of claim 9 , wherein the minimum value is a millisecond.
11. The system of claim 1 , wherein the first group of participants and the second group of participants are based on a parameter of a historical order to trade ratio.
12. A method comprising:
receiving, by an order entry gateway an instruction for a transaction from a participant computing device;
transmitting, by the order entry gateway, an order message containing the instruction for the transaction, wherein the instruction comprises an identification of a participant;
receiving, by a smart order router, the order message containing the instruction from the order entry gateway;
in response to the instruction having the identification of the participant associated with a first group of participants, generating, by the smart order router, a latency instruction to hold execution until after expiration of a delay; and
in response to the instruction having the identification of the participant with a second group of participants, routing, by the smart order router, the instruction without delay;
receiving, by a trading engine processor, the order message from the smart order router;
requesting, by the trading engine processor, execution of the instruction by a communicatively coupled processor of a venue, wherein the trading engine processor holds the instruction before executing after the expiration of the delay when the participant is associated with the first group of participants.
13. The method of claim 11 , further comprising validating, by a segmentation processor, the instruction received at the smart order router.
14. The method of claim 11 , wherein the venue is selected from an order book, a securities trading venue, a marketplace, or an exchange.
15. The method of claim 11 , wherein a trading engine comprising the smart order router and the trading engine processor.
16. The method of claim 11 , wherein an exchange hosts the trading engine processor.
17. The method of claim 11 , wherein the identification for each participant is unique to each venue.
18. The method of claim 11 , wherein the order message comprises a plurality of instructions for a plurality of participants and transactions, and wherein the smart order router is configured to apply the latency to only a subset of the plurality of participants of the order message.
19. The method of claim 11 , wherein the delay is dynamically adjusted during a day.
20. The method of claim 19 , wherein the minimum value is a millisecond.
21. The method of claim 11 , wherein the delay is based on a random value of a period of time between a minimum value and a maximum value.
22. The method of claim 11 , wherein the first group of participants and the second group of participants are based on a parameter of a historical order to trade ratio.