STRATEGY LEG PRICE CALCULATION FOR INTERNAL MARKET FILLS

摘要

An internal market system for determining strategy leg prices and leg quantities based on a defined strategy parameter, thus allowing for the matching of standard strategies or pre-defined strategies. An application platform derives strategy leg prices and leg quantities based on a strategy head price, a reference exchange price of individual legs, leg price ratio, and number of legs. As a result, whenever two strategy orders are crossed in an internal market system, a leg trade transaction is generated with prices and quantities that correspond to head strategy order trades. The internal market trade transactions are available to upstream processes for consumption within, for example, an order management system platform. Transactions are also reported to downstream processes for consumption by back-office and middle-office solutions for reporting and allocation purposes.