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 method comprising:
receiving, by a smart order router, an order message containing an instruction for a transaction and an identification of a participant;
determining, by the smart order router, that the identification of the participant is associated with a first group of participants based on a participant type of the participant;
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 of the instruction of the order message until after expiration of a delay; and
routing, by the smart order router, the instruction of the order message for execution by a venue, wherein execution is performed after the expiration of the delay when the participant is associated with the first group of participants; 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 for execution by the venue without delay.
2. The method of claim 1 , further comprising validating the instruction when the order message is received at the smart order router.
3. The method of claim 1 , wherein the venue is selected from an order book, a securities trading venue, a marketplace, or an exchange.
4. The method of claim 1 , wherein the identification for each participant is unique to each venue.
5. The method 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.
6. The method of claim 1 , wherein the delay is dynamically adjusted during a day.
7. The method 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.
8. The method of claim 7 , wherein the minimum value is a millisecond.
9. The method 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.
10. A non-transitory machine-readable storage medium having computer-executable instructions stored thereon that, when executed by one or more processors, cause the one or more processors to perform operations comprising:
receiving an order message containing an instruction for a transaction and an identification of a participant;
determining that the identification of the participant is associated with a first group of participants based on a participant type of the participant;
in response to the instruction having the identification of the participant associated with a first group of participants,
generating a latency instruction to hold execution of the instruction of the order message until after expiration of a delay; and
routing the instruction of the order message for execution by a venue, wherein execution is performed after the expiration of the delay when the participant is associated with the first group of participants; and
in response to the instruction having the identification of the participant with a second group of participants, routing the instruction for execution by the venue without delay.
11. The non-transitory machine-readable storage medium of claim 10 , wherein the venue is selected from an order book, a securities trading venue, a marketplace, or an exchange.
12. The non-transitory machine-readable storage medium of claim 10 , wherein the identification for each participant is unique to each venue.
13. The non-transitory machine-readable storage medium of claim 10 , further comprising validating the instruction when the order message is received.
14. The non-transitory machine-readable storage medium of claim 10 , 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.
15. The non-transitory machine-readable storage medium of claim 10 , further comprising dynamically adjusting the delay during a day.
16. The non-transitory machine-readable storage medium of claim 10 , wherein the delay is based on a random value of a period of time between a minimum value and a maximum value.
17. The non-transitory machine-readable storage medium of claim 16 , wherein the minimum value is a millisecond.
18. The non-transitory machine-readable storage medium of claim 10 , wherein the first group of participants and the second group of participants are based on a parameter of a historical order to trade ratio.
19. A system comprising:
a smart order router comprising a least one processor configured to:
receive an order message containing an instruction for a transaction and an identification of a participant;
determine that the identification of the participant is associated with a first group of participants based on a participant type of the participant;
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 of the instruction of the order message until after expiration of a delay; and
route the instruction of the order message for execution by a venue, wherein execution is performed after the expiration of the delay when the participant is associated with the first group of participants; and
in response to the instruction having the identification of the participant with a second group of participants, route the instruction for execution by the venue without delay.
20. The system of claim 19 , wherein the delay is based on a random value of a period of time between a minimum value and a maximum value.
21. The system of claim 19 , wherein the first group of participants and the second group of participants are based on a parameter of a historical order to trade ratio.