Method and System for Internal Matching

Abstract

A system and method for internal matching of electronic trading orders is provided. Orders for electronic trading are reviewed for potential matches in an internal order book of an internal matching system. If no potential matches are available, the order is listed on both the internal order book for the internal matching system and on the book of orders for the electronic exchange. If a potential match is available, the order is tentatively matched with a resting order on the internal order book. A message is sent to the electronic exchange to cancel the resting order on the book of exchange order book. If the deletion is successful, the order and the resting order are matched. If the deletion is unsuccessful, the internal order book on the internal matching system is checked again for a potential match.

1 . (canceled) 
     
     
         2 . A method including:
 receiving an order message from a client device specifying a quantity and a price for a tradeable object traded at an electronic exchange, wherein the client device is in communication with the electronic exchange;   determining, in response to receiving the order message from the client device, an internal order match between the received order message and a resting order stored in an exchange order book at the electronic exchange, wherein the match is based on the specified price and the specified quantity, wherein the internal order match is reflected in an internal order book, and wherein the internal order match is for an internal order quantity;   determining, in response to determining the internal order match, a trade quantity based on the specified quantity and the internal order quantity, wherein the trade quantity is the lesser of the specified quantity and the internal order quantity;   designating, in response to determining the internal order match, the internal order match as a pending fill in the internal order book;   sending, in response to designating the internal order match, an order update message to the electronic exchange, wherein the order update message identifies the resting order stored in the exchange order book and specifies a quantity of the resting order be reduced by the trade quantity;   receiving, after sending the order update message to the electronic exchange, a confirmation message identifying the quantity by which the resting order was reduced;   designate, in response to receiving the confirmation message, the internal order match as matched in the internal order book; and   sending, in response to designating the internal order match as matched, a notification message to the client device indicating the internal order match for the trade quantity.   
     
     
         3 . The method of  claim 2 , wherein the order message is for one of: a market order and a limit order. 
     
     
         4 . The method of  claim 2 , wherein the internal order match includes a plurality of internal orders, wherein each internal order match corresponds to a resting order in the exchange order book at the electronic exchange, wherein the internal order quantity is the sum of the quantities of the plurality of internal orders. 
     
     
         5 . The method of  claim 2 , further including:
 determining a trade price based on the specified price and the internal order book, wherein the internal order match is determined based on the trade price.   
     
     
         6 . The method of  claim 2 , further including:
 determining that a better match for the order message is not available at the electronic exchange, wherein the internal order match is designated as a pending fill in response to determining that the better match is not available.   
     
     
         7 . The method of  claim 2 , wherein the order update message is one of: a delete message and a cancel/replace message. 
     
     
         8 . The method of  claim 2 ,
 determining, in response to designating the internal order match as matched, a second internal order match for the order message based on the price and a remaining quantity, wherein the second internal order match is in the internal order book, wherein the second internal order match corresponds to a second resting order for the tradeable object in the exchange order book at the electronic exchange, wherein the second internal order match reflects a second internal order quantity, wherein the remaining quantity is the specified quantity minus the trade quantity;   determining a second trade quantity based on the remaining quantity and the second internal order quantity, wherein the second trade quantity is the lesser of the remaining quantity and the second internal order quantity;   designating the second matching internal order as a pending fill in the internal order book;   sending a second order update message to the electronic exchange, wherein the second order update message identifies the second resting order corresponding to the second internal order match, wherein the second order update message specifies a quantity of the second resting order be reduced by the second trade quantity;   receiving a second confirmation message for the second order update message from the electronic exchange, wherein the second confirmation message indicates that the quantity of the second resting order was reduced in response to the request in the second order update message;   designating the second matching internal order as matched in the internal order book; and   sending a second notification message to the client device indicating that the first order message was matched with the second matching internal order for the second trade quantity.   
     
     
         9 . The method of  claim 2 ,
 receiving a second order message from a second client device specifying a second quantity and a second price for the tradeable object, wherein the second client device is in communication with the client device and the electronic exchange over a network; and   determining a second internal order match for the second order message based on the second price and the second quantity, wherein the second internal order match ignores the internal order match after the internal order match is designated as a pending fill.   
     
     
         10 . The method of  claim 9 , wherein the second client device is the client device. 
     
     
         11 . The method of  claim 2 ,
 reducing, in response to designating the internal order match as matched, a quantity for the internal order match by the trade quantity; and   designating the internal order match as available.