Rule based vector space model for creating implied trade templates

摘要

A match engine is utilized by either a market participant or an electronic trading system. The match engine receives orders, stores them internally, calculates tradable combinations and displays or otherwise publishes the tradable combinations or the order(s) needed to complete tradable combinations. The match engine operates under a set of rules that may be customized to provide only the tradable combinations that are likely to be executed and contribute to total trading volume. At least some tradeable combinations that are not likely to be traded are not calculated, which frees up the computing capacity of the electronic trading system.