Central limit order book automatic triangulation system

Abstract

The disclosed embodiments relate to systems and methods for triangulation of options and futures. An exchange receives a volatility quoted order. The system attempts to match the order within a volatility order book. If there is a match, the system attempts to mitigate the risk of the order by implying an order into the futures market. If there is not a match, the system implies an order into a premium quoted option order book. The exchange automatically maintains the order based on changes in the underlying futures market and a stored quoting model.

What is claimed is: 
     
         1 . A computer implemented method comprising:
 receiving, by an order processor via an electronic communications network, a first electronic data transaction request message comprising data indicative of a first order for a first product specifying a first value characterized by a first convention;   determining, based on the first value by a hardware matching processor coupled with the order processor and with a first order book data structure stored in the memory which stores data indicative of previously received but unsatisfied orders each having a value characterized by the first convention, that the first order is not fully satisfied by any of the previously received but unsatisfied orders, and based thereon:
 preventing, by the order processor, modifications to the first order book data structure; 
 determining, subsequent to the preventing, by the order processor, a current value of the condition and generating, based thereon using a model unique to a sender of the first electronic data transaction request message and which enables conversion, as a function of a condition to be determined subsequent to the retrieval of the model, the first value to a plurality of second values characterized by a second convention related to the first convention, a plurality of first implied orders for a second product, based on the unsatisfied remainder of the first order, each specifying one of the plurality of second values; 
 matching, by the hardware matching processor, one or more of the plurality of first implied orders with one or more previously received but unsatisfied orders counter thereto stored in a second order book data structure based on the second value, both the satisfied portion of the first order and any of the previously received but unsatisfied orders for the second product which matched any of the plurality of first implied orders being thereby completed, the second order book data structure being updated to store data indicative of any of the plurality of first implied orders which thereafter remain unsatisfied; and 
 enabling, subsequent to the matching, by the order processor, the first order book data structure to be modified. 
   
     
     
         2 . The computer implemented method of  claim 1 , wherein the first convention comprises a volatility, the second convention comprises a premium, the method further comprising:
 generating, automatically by the order processor based on the completion of the first order, a second implied order for a third product having a third value in a third order book data structure, the third product related to the first product, the second implied order, when completed, being characterized by a risk value wherein a net of the risk value and a risk value of the first order is less than the risk value of the first order; and,   wherein the second implied order is a futures order.   
     
     
         3 . The computer implemented method of  claim 2 , wherein the first order and the second implied order comprise a delta-neutral option-future combination. 
     
     
         4 . The computer implemented method of  claim 3 , wherein the amount of the first order completed is limited to a size of the second implied order completed in order to comprise the delta-neutral option-future combination. 
     
     
         5 . The computer implemented method of  claim 4 , wherein the unsatisfied portion of the first order resulting from the unsatisfied portion of the plurality of first implied orders is left as a resting order on the first order book data structure, and the second implied order is based on the unsatisfied portion of the first order. 
     
     
         6 . The computer implemented method of  claim 1 , further comprising:
 determining, automatically periodically by the order processor, whether the condition has changed and, based thereon:
 preventing, by the order processor, modifications to the first order book data structure; 
 determining, subsequent to the preventing by the order processor, the current value of the condition and updating, based thereon using the model, the second values any of the plurality of first implied orders stored in the second order book data structure; and 
 enabling, subsequent to the determining by the order processor, the first order book data structure to be modified. 
   
     
     
         7 . The computer implemented method of  claim 1 , wherein the wherein the model comprises an options pricing model including Whaley, Black, or Bjerksund. 
     
     
         8 . A system comprising:
 a processor and a memory coupled therewith, the memory storing computer executable instructions that when executed by the processor cause the processor to:
 receive, via an electronic communications network, a first electronic data transaction request message comprising data indicative of a first order for a first product specifying a first value characterized by a first convention; 
 receive, from a hardware matching processor coupled with the processor and with a first order book data structure stored in the memory which stores data indicative of previously received but unsatisfied orders each having a value characterized by the first convention, a determination, based on the first value, that the first order is not fully satisfied by any of the previously received but unsatisfied orders, and based thereon:
 prevent modifications to the first order book data structure; 
 determine, subsequent to the preventing, a current value of the condition and generating, based thereon using a model unique to a sender of the first electronic data transaction request message and which enables conversion, as a function of a condition to be determined subsequent to the retrieval of the model, the first value to a plurality of second values characterized by a second convention related to the first convention, a plurality of first implied orders for a second product, based on the unsatisfied remainder of the first order, each specifying one of the plurality of second values; 
 enable the hardware matching processor to match one or more of the plurality of first implied orders with one or more previously received but unsatisfied orders counter thereto stored in a second order book data structure based on the second value, both the satisfied portion of the first order and any of the previously received but unsatisfied orders for the second product which matched any of the plurality of first implied orders being thereby completed, the second order book data structure being updated to store data indicative of any of the plurality of first implied orders which thereafter remain unsatisfied; and 
 enable, subsequent to the matching, by the order processor, the first order book data structure to be modified. 
 
   
     
     
         9 . The system of  claim 8 , wherein the first convention comprises a volatility, the second convention comprises a premium, the computer executable instructions being further operative to cause the processor to:
 generate, automatically based on the completion of the first order, a second implied order for a third product having a third value in a third order book data structure, the third product related to the first product, the second implied order, when completed, being characterized by a second risk value wherein a net of the risk value and a risk value of the first order is less than the risk value of the first order; and,   wherein the second implied order is a futures order.   
     
     
         10 . The system of  claim 9 , wherein the first order and the second implied order comprise a delta-neutral option-future combination. 
     
     
         11 . The system of  claim 10 , wherein the amount of the first order completed is limited to a size of the second implied order completed in order to comprise the delta-neutral option-future combination. 
     
     
         12 . The system of  claim 11 , wherein the unsatisfied portion of the first order resulting from the unsatisfied portion of the plurality of first implied orders is left as a resting order on the first order book data structure, and the second implied order is based on the unsatisfied portion of the first order. 
     
     
         13 . The system of  claim 8 , wherein the computer executable instructions are further operative to cause the processor to:
 determine, automatically periodically, whether the condition has changed and, based thereon:
 prevent modifications to the first order book data structure; 
 determine, subsequent to the preventing, the current value of the condition and update, based thereon use the model, the second values any of the plurality of first implied orders stored in the second order book data structure; and 
 enable, subsequent to the determination, the first order book data structure to be modified. 
   
     
     
         14 . The system of  claim 8 , wherein the wherein the model comprises an options pricing model including Whaley, Black, or Bjerksund. 
     
     
         15 . A system comprising:
 means for receiving, via an electronic communications network, a first electronic data transaction request message comprising data indicative of a first order for a first product specifying a first value characterized by a first convention;   means for determining, based on the first value a first order book data structure stored in a memory which stores data indicative of previously received but unsatisfied orders each having a value characterized by the first convention, that the first order is not fully satisfied by any of the previously received but unsatisfied orders, and based thereon:
 means for preventing modifications to the first order book data structure; 
 means for determining, subsequent to the preventing a current value of the condition and generating, based thereon using a model unique to a sender of the first electronic data transaction request message and which enables conversion, as a function of a condition to be determined subsequent to the retrieval of the model, the first value to a plurality of second values characterized by a second convention related to the first convention, a plurality of first implied orders for a second product, based on the unsatisfied remainder of the first order, each specifying one of the plurality of second values; 
 means for matching one or more of the plurality of first implied orders with one or more previously received but unsatisfied orders counter thereto stored in a second order book data structure based on the second value, both the satisfied portion of the first order and any of the previously received but unsatisfied orders for the second product which matched any of the plurality of first implied orders being thereby completed, the second order book data structure being updated to store data indicative of any of the plurality of first implied orders which thereafter remain unsatisfied; and 
 means for enabling, subsequent to the matching, the first order book data structure to be modified. 
   
     
     
         16 . The system of  claim 15 , wherein the first convention comprises a volatility, the second convention comprises a premium, the system further comprising:
 means for generating, automatically based on the completion of the first order, a second implied order for a third product having a third value in a third order book data structure, the third product related to the first product, the second implied order, when completed, being characterized by a risk value wherein a net of the risk value and a risk value of the first order is less than the risk value of the first order; and,   wherein the second implied order is a futures order.   
     
     
         17 . The system of  claim 16 , wherein the first order and the second implied order comprise a delta-neutral option-future combination. 
     
     
         18 . The system of  claim 17 , wherein the amount of the first order completed is limited to a size of the second implied order completed in order to comprise the delta-neutral option-future combination. 
     
     
         19 . The system of  claim 18 , wherein the unsatisfied portion of the first order resulting from the unsatisfied portion of the plurality of first implied orders is left as a resting order on the first order book data structure, and the second implied order is based on the unsatisfied portion of the first order. 
     
     
         20 . The system of  claim 15 , further comprising:
 means for determining, automatically periodically, whether the condition has changed and, based thereon:
 means for preventing modifications to the first order book data structure; 
 means for determining, subsequent to the preventing, the current value of the condition and updating, based thereon using the model, the second values any of the plurality of first implied orders stored in the second order book data structure; and 
 means for enabling, subsequent to the determining, the first order book data structure to be modified.