Smart Trade Template Based Matching

Abstract

Systems and methods for matching orders are provided. One or more trade templates are created. The trade templates define groups of orders for financial instruments that may be combined such that all of the orders are matched. A collection of tradable price levels is also created for each template. New orders and resting orders are analyzed using one or more trade templates and tradable price levels to determine whether a combination of orders satisfies all of the elements of a trade template with a required price level. When all of the elements of a trade template are satisfied and an order with a tradable price level is received, the corresponding orders may be matched contemporaneously.

1 . A method of matching orders for financial instruments, the method comprising:
 (a) receiving at a processor an acceptable trade template that is based on more than two component financial instruments;   (b) receiving at a processor a collection of tradable price levels for each of the component financial instruments of the acceptable trade template based on a collection of resting orders;   (c) receiving a new order for one of the component financial instruments, the new order having a new order price level;   (d) comparing at a processor the new order price level to a tradable price level for a corresponding financial instrument in the collection of tradable price levels; and   (e) when the new order price level meets the tradable price level, attempting to match the component financial instruments at a processor.   
     
     
         2 . The method of  claim 1 , further including:
 when the new order price level does not meet the tradable price level, determining if the new order price level is the best price available; and   regenerating the collection of tradable price levels for each of the component financial instruments based on the collection of resting orders, trade templates, and the new order.   
     
     
         3 . The method of  claim 1 , wherein the collection of tradable price levels is stored in a processor memory. 
     
     
         4 . The method of  claim 1 , wherein at least one of the component financial instruments comprise a spread product. 
     
     
         5 . The method of  claim 4 , wherein the spread product comprises an implied spread product. 
     
     
         6 . The method of  claim 4 , wherein the spread product comprises a butterfly spread product. 
     
     
         7 . The method of  claim 4 , wherein the spread product comprises a crack spread product. 
     
     
         8 . The method of  claim 1 , wherein at least two of the component financial instruments comprise spread products. 
     
     
         9 . The method of  claim 1 , wherein (a) comprises using more than one algorithm to generate the acceptable trade template. 
     
     
         10 . The method of  claim 1 , wherein (e) comprises attempting to match the component financial instruments contemporaneously. 
     
     
         11 . A system that matches orders for financial instruments, the system comprising:
 a collection of acceptable trade templates each based on more than two component financial instruments;   a collection of needed orders that each when combined with one or more existing orders meet the requirements of one of the acceptable trade templates;   a match engine programmed with computer-executable instructions to:   compare a new order to the needed orders in the collection of needed orders; and   when the new order corresponds to one of the needed orders, compare a price level of the new order to a tradable price level.   
     
     
         12 . The system of  claim 11 , wherein the match engine comprises a microprocessor having a memory. 
     
     
         13 . The system of  claim 12 , wherein the collection of needed orders is stored in the microprocessor memory. 
     
     
         14 . The system of  claim 13 , wherein the microprocessor memory includes a collection of tradable price levels. 
     
     
         15 . The system of  claim 14 , wherein the match engine is further programmed with computer-executable instructions to perform the steps comprising:
 when the new order price level does not meet a price level in the collection of tradable price levels, determining if the new order price level is the best price available; and   regenerating the collection of tradable price levels for each of the component financial instruments of at least one trade template based on the collection of resting orders and the new order.   
     
     
         16 . The system of  claim 11 , further including a plurality of order books connected to the match engine. 
     
     
         17 . The system of  claim 15 , further including a computer device programmed with computer-executable instructions to analyze orders resting in a plurality of order books and suggest new templates that would result in the matching of groups of orders. 
     
     
         18 . A tangible computer-readable medium containing computer-executable instructions for causing a match system to perform the steps comprising:
 (a) receiving an acceptable trade template that is based on more than two component financial instruments;   (b) receiving a collection of tradable price levels for each of the component financial instruments of the acceptable trade template based on a collection of resting orders;   (c) receiving a new order for one of the component financial instruments, the new order having a new order price level;   (d) comparing the new order price level to a tradable price level for a corresponding financial instrument in the collection of tradable price levels; and   (e) when the new order price level meets the tradable price level, attempting to match the component financial instruments.   
     
     
         19 . The computer-readable medium of  claim 18 , wherein the trade template includes at least one spread product. 
     
     
         20 . The computer-readable medium of  claim 19 , wherein the at least one spread product comprises an implied spread product.