System and method for processing composite trading orders

Abstract

A system for processing a composite trading order comprises a memory operable to store market data received from one or more market centers. The system further comprises a processor operable to generate a composite value based at least in part on the market data. The processor is further operable to receive a composite trading order associated with at least a portion of the composite value. The processor is further operable to generate a plurality of constituent trading orders that, when filled, combine to satisfy the composite trading order.

1 . A system for processing a composite trading order, the system comprising:
 at least one processor; and   a memory having instructions stored thereon which, when executed by the at least one processor direct the at least one processor to:
 generate a composite value based at least in part on market data received from one or more market centers; 
 receive a composite trading order associated with at least a portion of the composite value; and 
 generate a plurality of constituent trading orders that, when filled, combine to satisfy the composite trading order. 
   
     
     
         2 . (canceled) 
     
     
         3 . The system of  claim 1 , wherein the market data represents trading conditions in one or more market centers, and wherein the composite value represents a weighted quantity of a plurality of related trading products, the weighted quantity being substantially equivalent to a particular quantity of a particular trading product. 
     
     
         4 . (canceled) 
     
     
         5 . The system of  claim 3 , wherein at least one of the plurality of constituent trading orders is based at least in part on one or more preferences associated with a trader, and wherein the one or more preferences comprise a criterion, value, and/or formula, and wherein the instructions, when executed by the at least one processor, further direct the at least one processor to perform at least one of the following:
 determine the composite value;   determine at least one of the plurality of constituent trading orders; and   identify at least one of the plurality of related trading products.   
     
     
         6 . The system of  claim 1 , wherein the instructions, when executed by the at least one processor, direct the at least one processor to generate the composite value by:
 determining a first quantity of a first trading product;   determining one or more weighted quantities associated with one or more other trading products; and   summing the first quantity and the one or more weighted quantities,   and wherein the one or more other trading products are related to the first trading product based at least in part on relationship data.   
     
     
         7 . (canceled) 
     
     
         8 . The system of  claim 6 , wherein the first quantity is determined based at least in part on a particular quantity of the first trading product, the particular quantity being available for trade in at least one market center, and wherein the instructions, when executed by the at least one processor, further direct the at least one processor to identify the one or more other trading products based at least in part on one or more preferences associated with a trader. 
     
     
         9 . (canceled) 
     
     
         10 . The system of  claim 6 , wherein the one or more other trading products comply with at least one preference associated with a trader, the at least one preference specifying that the one or more other trading products be associated with a yield spread that satisfies a configurable threshold. 
     
     
         11 . The system of  claim 6 , wherein:
 the first trading product is a note associated with a first maturity; and   the one or more other trading products comprise a note associated with a second maturity.   
     
     
         12 . The system of  claim 6 , wherein:
 the first trading product is a particular currency; and   the one or more other trading products comprise one or more futures contracts associated with the particular currency.   
     
     
         13 . The system of  claim 6 , wherein:
 the first trading product is a particular note; and   the one or more other trading products comprise one or more futures contracts associated with the particular note.   
     
     
         14 . The system of  claim 1 , wherein the instructions, when executed by the at least one processor, further direct the at least one processor to:
 determine whether a portion of the plurality of constituent trading orders is unfilled after a configurable interval of time; and   if the portion of the plurality of constituent trading orders is unfilled after the configurable interval of time, generate one or more new constituent trading orders that are substantially equivalent to the unfilled portion of the plurality of constituent trading orders.   
     
     
         15 . The system of  claim 14 , wherein:
 the at least one processor is further operable to receive updated market data; and   the one or more new constituent trading orders are based at least in part on the updated market data.   
     
     
         16 . The system of  claim 1 , wherein the instructions, when executed by the at least one processor, further direct the at least one processor to transmit, substantially simultaneously, the plurality of constituent trading orders to the one or more market centers for execution. 
     
     
         17 . The system of  claim 1 , wherein the instructions, when executed by the at least one processor, further direct the at least one processor to, prior to generating the composite value:
 receive a trading order associated with a particular trading product;   determine a particular quantity of the particular trading product, the particular quantity being available for trade in one or more market centers; and   determine that the particular quantity is insufficient to fill the trading order.   
     
     
         18 . A method for processing a composite trading order, comprising:
 receiving market data from one or more market centers;   generating a composite value based at least in part on the market data;   receiving a composite trading order associated with at least a portion of the composite value; and   generating a plurality of constituent trading orders that, when filled, combine to satisfy the composite trading order.   
     
     
         19 - 51 . (canceled) 
     
     
         52 . A method for processing a composite trading order, comprising:
 receiving, by at least one processor, market data from one or more market centers;   generating, by the at least one processor, a composite value based at least in part on the market data;   receiving, by the at least one processor, a composite trading order associated with at least a portion of the composite value; and   generating, by the at least one processor, one or more constituent trading orders that, when filled, combine to satisfy the composite trading order.   
     
     
         53 . (canceled) 
     
     
         54 . The method of  claim 52 , wherein the composite value represents a weighted quantity of a plurality of related trading products, the weighted quantity being substantially equivalent to a particular quantity of a particular trading product, and wherein generating a composite value comprises: determining a first quantity of a first trading product;
 determining one or more weighted quantities associated with one or more other trading products;   and summing the first quantity and the one or more weighted quantities.   
     
     
         55 . The method of  claim 54 , wherein: the first trading product is a note associated with a first maturity; and the one or more other trading products comprise a note associated with a second maturity. 
     
     
         56 . The method of  claim 54 , wherein: the first trading product is a particular currency; and the one or more other trading products comprise one or more futures contracts associated with the particular currency. 
     
     
         57 . The method of  claim 54 , wherein: the first trading product is a particular note; and the one or more other trading products comprise one or more futures contracts associated with the particular note. 
     
     
         58 . The method of  claim 52 , further comprising:
 determining whether a portion of the one or more constituent trading orders is unfilled after a configurable interval of time, in which the act of determining whether a portion of the one or more constituent trading orders is unfilled after the configurable interval of time comprises determining that a portion of the one or more constituent trading orders is unfilled after the configurable interval of time;   responsive to determining that a portion of the one or more constituent trading orders is unfilled after the configurable interval of time, generating one or more new constituent trading orders that are substantially equivalent to the unfilled portion of the one or more constituent trading orders; and   receiving updated market data, wherein the one or more new constituent trading orders are based at least in part on the updated market data.   
     
     
         59 . (canceled)