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System and Method for Monitoring Trades Outside of a No-Bust Range in an Electronic Trading System
System and Method for Monitoring Trades Outside of a No-Bust Range in an Electronic Trading System
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机译:在电子交易系统中监视无交易范围之外的交易的系统和方法
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摘要
An alert system that notifies an Exchange's staff of a trade appearing to be outside an expected market range of prices includes determination logic which derives, based on data received from an input device, a theoretical no-bust range of prices, i.e. prices above and below a synthesized market price, within which an erroneous trade cannot be cancelled. Evaluation logic monitors trades and compares them to the theoretical no-bust range of prices. Alert logic notifies the Exchange's staff when the evaluation logic identifies a potentially erroneous trade that lies outside the theoretical no-bust range of prices. A method of notifying the Exchange of a trade that potentially lies outside of an expected range of prices includes monitoring an input range of prices, deriving the theoretical no-bust range of prices, comparing transactions prices to the theoretical no-bust range of prices and notifying the Exchange when a potentially erroneous trade can be cancelled.
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