Patent Publication Number: US-2011066543-A1

Title: Systems and methods for linking orders in electronic trading systems

Description:
CROSS REFERENCE TO RELATED APPLICATION 
     This application claims the benefit of U.S. Provisional Patent Application No. 60/146,971, filed Aug. 3, 1999, entitled AUTOMATED LINKED ORDER PROCESSOR, which is hereby incorporated by reference herein in its entirety. 
    
    
     BACKGROUND OF THE INVENTION 
     The present invention relates to systems and methods for linking orders in electronic trading systems. More particularly, the present invention relates to systems and methods which enable traders to link trading of goods, services, financial instruments, and commodities in electronic trading systems. 
     In recent years, electronic trading systems have gained wide spread acceptance for trading of a wide variety of goods, services, financial instruments, and commodities. For example, electronic trading systems have been created which facilitate the trading of financial instruments and commodities such as stocks, bonds, currency, futures, oil, gold, pork bellies, etc. As another example, online auctions on the Internet have become popular markets for the exchange of services and both new and used goods. In one embodiment of systems for electronic trading of financial instruments, for example, a first trader may submit a “bid” to buy a particular number of 30 Year U.S. Treasury bonds at a given price. In response to such a bid, a second trader may submit a “hit” in response to the bid in order to indicate a willingness to sell bonds to the first trader at the given price. Alternatively, the second trader may submit an “offer” to sell the particular number of the bonds at the given price, and then the first trader may submit a “take” or “lift” in response to the offer to indicate a willingness to buy bonds from the second trader at the given price. In such trading systems, the bid, the offer, the hit, and the take (or lift) are collectively know as “orders”. Thus, when a trader submits a bid, the trader is said to be submitting an order. 
     Modern day trading includes not only the buying and selling of a single type of item, but also more complex transactions involving exchanges of a combination of the same or different types of items. For example, in a typical spread transaction, one bond may be sold and another bond may be purchased as part of a single transaction. The trading of combinations of items in this way facilitates arbitrage, hedging, and speculation. 
     However, because such combinations of items may have very complex relationships, there is a need to automate the trading of combinations of items. Thus, it is an object of the present invention to provide systems and methods for linking orders in electronic trading systems. 
     SUMMARY OF THE INVENTION 
     In accordance with this and other objects of the invention, systems and methods for linking orders in electronic trading systems are provided. Preferred systems and methods in accordance with the present invention enable a trader to select two or more items that are to be linked and specify linking parameters for those items. Any desired set of items may be linked, and the linking parameters may include price adjustments, order sequencing instructions, automatic/manual execution controls, execution delays commands, and update frequency limits. Upon detecting a bid or offer for a linked item, the systems and methods may then determine a size and a price for each linked item based upon the size and the price of the bid or offer for the first linked item. In this way, the sizes and the prices for the other linked items may be propagated from the size and the price for the first item. Once the size and the price for each item is determined, the systems and methods may submit orders for the items in accordance with the linking parameters. In the case where orders for linked items may only be submitted in designated lot sizes, the systems and methods may round the sizes of the orders to the designated lot sizes, and then submit remainder orders to make up for the rounding. 
    
    
     
       BRIEF DESCRIPTION OF THE DRAWINGS 
       Further features of the invention, its nature and various advantages will become more apparent from the following detailed description of the invention, taken in conjunction with the accompanying drawings, in which like reference characters refer to like parts throughout, and in which: 
         FIG. 1  is block diagram of hardware that may be used to implement one embodiment of the present invention; 
         FIGS. 2A-2C  are flow diagrams illustrating a linking process in accordance with one embodiment of the present invention; 
         FIG. 3  is a flow diagram of an item selection process in accordance with one embodiment of the present invention; 
         FIG. 4  is an illustration of an item selection display in accordance with one embodiment of the present invention; and 
         FIG. 5  is an illustration of a linking parameter specification interface in accordance with one embodiment of the present invention. 
     
    
    
     DETAILED DESCRIPTION OF THE INVENTION 
     As stated above, the present invention provides systems and methods for linking orders in electronic trading systems. More particularly, the present invention provides systems and methods that enable traders to link two or more items for trading and specify parameters for controlling placement of orders for those items, and that automatically monitor bids and offers placed for those items, generate sizes and prices for orders related to those items, and place the corresponding orders for those items. 
     Although the present invention is described herein as being used by “traders,” it should be apparent that the term “trader” is meant to broadly apply to any user of a trading system, whether that user is an agent acting on behalf of a principal, a principal, an individual, a legal entity (such as a corporation), etc., or any machine or mechanism that is capable of placing and/or responding to orders in a trading system. 
     Preferred embodiments of the systems and methods of the present invention are now described in greater detail in connection with  FIGS. 1-6 . In the examples which follow, trading of U.S. Treasury bonds, notes, and bond futures contracts, and their derivatives (e.g., spreads and basis), are used to illustrate various aspects of the present invention. Trading of these instruments is typically accomplished at a given price for a given size. 
     Notwithstanding that the present invention is illustrated with respect to trading of bonds, notes, and bond futures, and their derivatives, it should be noted that the systems and methods of the present invention are equally applicable to the trading of any type of goods, services, financial instruments, commodities, etc. 
     Turning first to  FIG. 1 , an example of hardware  100  that may be used to implement one embodiment of the present invention is shown. As illustrated, hardware  100  may include one or more local workstations  102  and one or more remote workstations  104  that may be used by traders to view trading data and enter trading commands. Workstations  102  and  104  may be any suitable means for presenting data and, in preferred embodiments of this invention, accepting input. For example, workstations  102  and  104  may be personal computers, laptop computers, mainframe computers, dumb terminals, data displays, Internet browsers, Personal Digital Assistants (PDAs), two-way pagers, wireless terminals, portable telephones, etc., or any combination of the same. 
     To orchestrate trading between traders using workstations  102  and  104 , the workstations preferably submit commands to, and receive data to be displayed from, a processor  106 . In alternative embodiments, however, workstations may communicate with additional processors, or include processors to orchestrate trading in a distributed fashion without requiring processor  106 . Processor  106 , and any additional processors, may be any suitable circuitry or devices capable of processing data such as microprocessors, personal computers, network servers, mainframe computers, dedicated computer systems, etc. 
     As shown, processor  106  may be connected to workstations  102  and  104  by networks  108  and  110 , respectively. Each of networks  108  and  110  may be any suitable data network for communicating data between workstations  102  and  104  and processor  106 , such as a local area network, a wide area network, the Internet, an Intranet, a wireless network, a hard wired connection, a dial-up network, etc., or any combination of the same. In an arrangement of hardware  100  without processor  106 , workstations  102  and  104  may be linked together by networks  108  and  110  directly. 
     As also shown in  FIG. 1 , a telephone network  120  may be provided that comprises a local telephone  122  and a remote telephone  124  connected by a telephone line  126 . Telephone network  120  may be used to enable a trader at a remote location to communicate with an operator at a workstation  102  or  104 . This may be useful when the trader does not have access to a workstation  102  or  104  or when the trader only has access to a display-only workstation  102  or  104 . Obviously, telephone network  120  may be implemented as a private telephone network, a public telephone network, a wireless telephone network, or any suitable combination of the same. 
     In order to communicate with external trading systems  130 , hardware  100  may include a network interface  128  that connects processor  106  to external trading systems  130 . Network interface  128  may be any suitable interface and/or computer network that facilitates communication between processor  106  and external trading systems  130 . 
     When used to implement a bid/offer, hit/take trading system as described above, hardware  100  may enable a trader to submit a bid to buy, or an offer to sell, an item at one of workstations  102  and  104 . This bid or offer may then be communicated to processor  106 , where the bid or offer can be ranked and stored in a bid-offer queue. The ranking may be based upon time of submission, price, or any other suitable criterion. The bid or offer may then be presented to other traders via other workstations  102  and  104  dependent upon its ranking in the bid-offer queue. Once displayed, the bid or offer can then be hit or taken by one or more of the other traders so that a trade of the item can proceed to execution. Alternatively, hardware  100  may be configured so that it does not operate as a trading system, but instead facilitates communication between traders and external trading systems  103 , and performs the order linking functions described herein. 
     Turning to  FIGS. 2A-2C , one embodiment of a linking process  200  that may be executed in processor  106  in accordance with the present invention is illustrated. As shown in  FIG. 2A , once process  200  has begun, the process enables traders to select items to be linked at step  202 . The linking of items may occur in the same market (e.g., only in the bond market) or in different markets (e.g., one in the bond market and another in the futures market) whether or not those different markets are related in any way. Similarly, items that are traded in different trading systems may be linked. 
     One embodiment of an instrument linking process  300  that may be executed at step  202  in accordance with the present invention is illustrated in  FIG. 3 . As shown, process  300  initially allows a trader to identify a first item to be linked in the trading system at step  302 . The trader may identify that the item is to be linked in any suitable fashion. For example, the trader may enter keystrokes on a workstation  102  or  104  ( FIG. 1 ) which indicate that the trader would like to link a 10-year treasury bond. Alternatively, the trader may select the item from a graphical user interface that presents a menu of available items to be linked. 
     Next, at step  304 , process  300  determines the identity of other instruments to which the first item identified at step  302  can be linked. This determination may be made by searching a database of items that are related to the first item, or in any other suitable manner. In the case where a trader has selected to link a 10-year treasury bond, for example, such a search may reveal that there are three different types of related futures contracts which are traded in two different markets (e.g., an 8% notional bond contract that is traded on the Chicago Board of Trade, an 8% notional bond contract that is traded on the Cantor Exchange, and a 6% notional bond contract that is traded on the Cantor Exchange). A possible linked trade involving such items could include buying the basis of the bond, that is, buying the bond on the cash market and selling an equivalent amount of futures contracts. 
     Once process  300  has identified other items that can be linked to the first item at step  304 , process  300  creates a display listing the related instruments at step  306 . An example of such a display  400  is illustrated in  FIG. 4 . Because the trader in the example underlying display  400  has selected to link a 10-year treasury bond, display  400  indicates two ways in which this bond can be linked—i.e., for basis trades and for spread trades (as indicated by rows  412  and  414 ). As stated above, a basis trade is one in which the trader buys a bond and sells a corresponding futures contract. A spread trade, on the other hand, is one in which the trader buys one bond and sells another. 
     As shown, display  400  contains five columns  402 ,  404 ,  406 ,  408 , and  410  identifying the different items that can be linked. In the case of the exemplary 10-year treasury bond, this bond is available on the cash market as indicated by column  404 , and three corresponding future contracts are available on the Chicago Board of Trade (CBOT 8%) and on the Cantor Exchange (CX 8% and CX 6%) as indicated by columns  406 ,  408 , and  410 . Because display  400  indicates that the bond can be linked for basis trades and spread trades, the display also indicates that the basis and the spread for this bond can be purchased on the direct market by column  402 . 
     Referring back to  FIG. 3 , at step  308 , process  300  next enables the trader to select the items that the trader wants to link. As shown in  FIG. 4 , this may be accomplished by placing “X&#39;s” in the grid formed by columns  402 ,  404 ,  406 ,  408 , and  410  and rows  412  and  414 . In the example illustrated in  FIG. 4 , the trader has linked the cash market for the bond with the direct market for the basis of the bond and the CX 6% market. The trader has also linked the cash market for the bond with the direct market for the spread of the bond. 
     Because the trader in this case has linked the direct market for the basis of the bond with the cash market for the bond and has linked the direct market for the spread of the bond with the cash market for the bond, preferred embodiments of the invention also transitively link the direct market for the basis of the bond to the direct market for the spread of the bond through the cash market for the bond. 
     Alternatively to determining items that can be linked to a first item and to displaying and selecting items that can be linked to the first item through an interface, as shown in steps  304 ,  306 , and  308  of  FIG. 3  and display  400  of  FIG. 4 , the present invention may be implemented in any other suitable fashion to enable a trader to specify items to be traded. For example, a trader may be permitted to specify particular items to be linked on a pair basis. Then to enable three items to be linked, the trader could simply link each of a first item and a second item with a third item. Because of the transitive linking aspect of the invention, the three items would then be linked. One way in which such a linking specification may be made is through the use of a command line entry mechanism wherein the trader may specify an identifier for a first bond and an identifier for a second bond to indicate the pair to be linked. 
     Referring back to  FIG. 2A , once a trader has selected items to be linked at step  202 , the trader is then permitted to select linking parameters for the linked items at step  204 . In preferred embodiments of the invention, the trader is preferably permitted to select parameters that adjust the pricing of those items, sequence the placement of orders (i.e., bids, offers, hits, and takes) related to those items, indicate whether orders are to be placed automatically or manually, indicate whether there is to be a delay in the placement of orders for those items, and indicate the maximum frequency at which updates to orders for those items are to be placed. 
     An example of an interface  500  for enabling a trader to make these settings is illustrated in  FIG. 5 . As shown, interface  500  indicates three items  502 ,  504 , and  506 . The number of items indicated in interface  500  may be any number and is preferably all of the items in a set of linked items. For the indicated items, interface  500  enables a trader to specify price adjustments, sequencing requirements, execution methods, order placement delays, and maximum update frequencies as indicated by rows  508 ,  510 ,  512 ,  514 , and  515 . 
     Price adjustments may be configured in interface  500  by specifying a number in fields  516 ,  518 , or  520  that is to be added to the price of the corresponding item that may otherwise be determined by the linking engine as explained below. For example, if the trader is linking a bond and a futures contract for a basis trade, the trader may want to offer the futures contract at a higher price than the market value for that futures contract as calculated from the market value for the bond. In this case, the trader would indicate the increase in the offer price of the futures contract over market in the corresponding one of fields  516 ,  518 , and  520 . 
     Sequencing may be configured in interface  500  by first selecting one of a “fixed” radio button  522  and a “variable” radio button  524 . Then, if radio button  522  is selected, the sequencing settings may be completed by filling in the numerical sequence of placement of orders in fields  526 ,  528 , and  530 . For example, in order to cause orders for item  2  to always be placed before orders for item  1 , and orders for item  1  to always be placed before orders for item N, the numbers “1,” “2,” and “3” would be placed in fields  528 ,  526 , and  530 , respectively. Alternatively, if radio button  524  is selected, the sequencing settings may be completed by filling in the numerical sequence of priority in sorting that is to be performed in fields  532 ,  534 ,  536 ,  538 ,  540 , and  542 . For example, in order to cause placement orders to be based upon priority of age and size, a “1” would be placed in field  534  and a “2” would be placed in field  538 . In this way, the items would be sorted first by age and then by size to determine sequence of order placement. By not filling in some of fields  532 ,  534 ,  536 ,  538 ,  540 , and  542 , sorting may be reserved to corresponding categories in the completed fields. Although particular categories to control variable sequencing are shown in  FIG. 5  for the sake of illustration, any suitable categories may be used in accordance with the present invention. 
     In order to control whether orders are placed automatically or manually, the trader may select any of check boxes  544 ,  546 , and  548  for the corresponding item  502 ,  504 , and  506 . For example, to cause item  502  to be executed automatically and item  504  and item  506  to be executed manually, the trader would select check box  544  and clear check boxes  546  and  548 . 
     To set the delay to be applied to the placement of orders for items  502 ,  504 , and  506 , the trader may fill in fields  550 ,  552 , and  554  with the appropriated delay period (e.g., 10 seconds). For example, if the trader wanted to cause the placement of orders for item  504  to be delayed by 1 minute, but orders for items  502  and  506  to be placed without delay, the trader would enter “60” in field  552  and leave fields  550  and  554  blank (or enter “0”). 
     Finally, in order to indicate the maximum frequency at which updates to orders for items may be placed, a trader may fill in the maximum frequency for order updates in desired ones of fields  556 ,  558 , and  560  for corresponding items  502 ,  504 , and  506 . For example, in order to limit order updates to once every ten seconds for item  504 , the trader may enter “6” in field  558  to indicate a maximum of six updates per minute. 
     Although particular linking parameters are illustrated and discussed in connection with  FIG. 5 , any suitable set of linking parameters may be used in accordance with the present invention. Moreover, the linking parameters that are available may change dynamically as a function of the items that are selected to be linked. For example, when linking bonds to a corresponding futures contracts, hedge ratio linking parameters may be made available for specification by traders. 
     Turning back to  FIG. 2A , once linking parameters have been specified at step  204 , process  200  allows the trader to select a trigger event to be used to trigger linking of the linked items. Until the trigger event occurs, linking of the items is preferably not performed in accordance with the present invention. The trigger event may be the occurrence of a linked item having a certain price, size, yield, or any other characteristic, or rate of change of the same. Similarly, the trigger event may be the occurrence of two or more linked items having an average, a difference, a ratio, or any other suitable relationship in price, size, yield, rate of change of the same, etc. As yet another possibility, the trigger event may be only peripherally related or completely unrelated to any of the linked items. For example, the trigger event could be a market index reaching a certain value, a certain date having occurred, a certain business transaction closing, or an unlinked item in having a certain price, size, yield, etc. Naturally, any suitable interface may be utilized to enable the trader to select the trigger event. 
     Next, process  200  determines at step  206  if a trader wants to change or add items to be linked or linking parameters. If so, process  200  loops back to step  202 . Otherwise, process  200  determines whether an on-hold order is ready to be submitted at step  208 . An order may be on-hold if, for example, a delay was specified for submission of an order through interface  500  ( FIG. 5 ). Similarly, an order may be on-hold if the sequencing parameter for the order (as configured in interface  500  ( FIG. 5 )) indicates that the order has not come up in the sequence for submission, if the order is to be manually submitted, or if the maximum update frequency for the corresponding item has been reached. If an on-hold order is ready to be submitted, process  200  then proceeds through links  210  and  256  ( FIG. 2C ) to step  248  ( FIG. 2C ). Otherwise, process  200  determines at step  212  whether a bid or offer for a linked item has been received. If not, process  200  loops back to step  206 . Otherwise, process  200  proceeds through links  214  and  218  ( FIG. 2B ) to step  220  ( FIG. 2B ). 
     Turning to  FIG. 2B , it can be seen that at step  220 , process  200  next determines whether the received bid or offer is too old to support linking. Whether a bid or offer is too old may be based upon any suitable determination. For example, a system parameter may indicate that a bid or offer is too old to support linking when it has been outstanding for a given period of time. Alternatively, traders may be permitted to designate at what point a bid or offer becomes too old to support linking through an interface like interface  500  ( FIG. 5 ). If the bid or offer is too old, then process  200 , at step  222 , clears the sizes and prices of other linked items that are based upon that bid or offer, and alerts traders that selected links involving the item corresponding to that bid or offer. Once the traders have been alerted at step  222 , process  200  loops back to step  206  ( FIG. 2A ) via links  226  and  216  ( FIG. 2A ). 
     If the bid or offer is determined not to be too old at step  220 , however, then process  200  determines at step  223  whether the item corresponding to the bid or offer has priority. Priority may be based on a test of which bid or offer in a set of linked items was bid or offered last, a test of the type of item (e.g., futures contract versus bond), or a test of the activity status of the item (e.g., active or inactive). Which of these tests determines whether an item has priority may be selected by a trader in a manner similar to selecting the sequencing order in interface  500  ( FIG. 5 ). If the item does not have priority, process  200  loops back to step  206  ( FIG. 2A ) via links  226  and  216  ( FIG. 2A ). 
     If the bid or offer is determined to have priority at step  223 , however, then process  200  determines at step  224  whether the trigger event has occurred for the linked items. As described above, any suitable trigger event may be used in accordance with the present invention. Naturally, process  200  must be able determine whether the trigger event did in fact occur, so suitable data is preferably provided to process  200  for this purpose. If the event is determined not to have occurred, then process  200  loops back to step  206  ( FIG. 2A ) via links  226  and  216  ( FIG. 2A ). 
     If the trigger event is determined to have occurred at step  224 , however, then process  200  selects the next linked item (i.e., the item linked to the item corresponding to the bid or offer) as the current item at step  225  and retrieves formulas for linking the current item with the previous item (i.e., the item corresponding to the bid or offer) at step  228 . For many pairs of items, there are known formulas for translating a size and a price of one item to a size and a price of another item. Any suitable formula, relationship, or mechanism for translating size and price of one item into that of another item may be used in accordance with the present invention. For example, when trading basis, the price of a bond may be related to the price of a futures contract using the following formula: 
     
       
         
           
             
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                 Conversion 
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                 Factor 
               
             
           
         
       
     
     Alternatively, a price of one item may be calculated based upon a yield of another item. Similarly, when trading basis, the size of a bond bid or offer is related to the size of a futures contract bid or offer typically using the following formula: 
     
       
         
           
             
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     While conversion factors are published by the exchanges and data vendors, they need to be updated dynamically as issues mature and new contracts become open to trading. Process  200  dynamically updates these conversion factors at step  230  so that any financial instrument, including instruments that are not eligible for delivery, have current conversion factors for generating appropriate market accepted weightings for combination bidding and offering and buying and selling. 
     In the case where there are no standard formulas for translating the size and the price of an order for one item into a size and a price for order for another item, the trader may be permitted to specify a relationship through a suitable interface, or the trading system may use historical data relating to the items to estimate a relationship. 
     Next, process  200  determines the price of the order for the current item at step  232  and the size of the order for the current item at step  234  using the retrieved formulas. In addition to calculating the size of the order using a formula, due to restrictions on trading of certain items that require that those items be traded in specified minimum lot sizes (or a multiple thereof), process  200  may also round the size of the order for the item to a corresponding lot size (or a multiple thereof) at step  236 . For example, US treasuries are typically traded in sizes that are multiples of one million dollars. In the event that a sizing formula indicates that a bid size for a bond should be $1.1 million based upon another trader&#39;s available bid for a linked futures contract, the bid size for the bond may be rounded to $1 million to conform to the lot size requirements. Once step  236  has been performed, process  200  proceeds from step  236  through links  238  and  240  ( FIG. 2C ) to step  242  ( FIG. 2C ). 
     Alternatively, a trader may be permitted to specify absolute values for the price and size of an item when linking items rather than specifying a formula or formulas relating the item to another item. In such a case steps  228  and  230  of process  200  may be skipped. 
     As shown in  FIG. 2C , at step  242 , process  200  determines if the order for the current item is ready to be submitted. An order may not be ready to be submitted if an order submission delay was specified through interface  500  ( FIG. 5 ). Similarly, an order may be not be ready to be submitted if the sequencing parameter for the order (as configured in interface  500  ( FIG. 5 )) indicates that the order has not come up in the sequence for submission, if the order is to be manually submitted, or if the maximum update frequency for the corresponding item has been reached. In the event that an order is not ready to be submitted, process  200  then puts the order and subsequent orders for items that are linked to the current item on hold at step  244 . Once the orders have been put on hold, process  200  loops back to step  206  ( FIG. 2A ) through links  246  and  216  ( FIG. 2A ). 
     If the order is ready to be submitted, however, process  200  then submits the order to a trading system at step  248 . As explained above in connection with  FIG. 1 , this trading system may be implemented as part of hardware  100  or may be implemented in an external trading system  130  connected to hardware  100 . 
     In preferred embodiments of the present invention, trading systems may enable process  200  to briefly lock the trading systems so that all of the orders for a set of linked items can be submitted without interference from external sources in response to a new bid or offer. 
     After process  200  has submitted the order, the process determines at step  249  if there are more linked items in the set of linked items containing the item corresponding to the received bid or offer. If so, then process  200  loops back to step  225  ( FIG. 2B ) via links  251  and  237  ( FIG. 2B ). 
     Using formulas, relationships, or mechanisms between transitively linked items, sizing and pricing of items can propagate through a chain of linked items in order to price one item from an otherwise un-associated item. For example, assume that an item A is linked to an item B, and the item B is linked to an item Z. If a size and a price are available for item A, that size and that price may be used to determine a size and a price for item B. Then using the determined size and the determined price for item B, a size and a price may be determined for item Z. This chaining of links could be used for any number of linked items. 
     If process  200  determines that there are no more linked items in a set of linked items at step  249 , process  200  then proceeds to step  250  to determine if there is any remainder size from the rounding of the order sizes at step  236  ( FIG. 2B ). For example, in connection with the example given above where an order for a bond is rounded from a size of $1.1 million to $1 million, a remainder order may have a size of $0.1 million. Similarly, if a size is rounded up, there may be a remainder size for the over-order. For example, if a hit order is rounded up from $0.9 million to $1.0 million, a bid or lift remainder order may need to be submitted for the $0.1 remainder size. 
     If there is remainder size, process  500  then bunches the remainder sizes for separate trading at step  252  and submits the remainder orders to a suitable trading system for trading the remainder size at step  254 . Once the remainder orders have been submitted, or if there is no remainder size, then process  200  loops back to step  206  ( FIG. 2A ) via links  246  and  216  ( FIG. 2A ). 
     Those skilled in the art will appreciate that the present invention can be practiced by other than the described embodiments, which are presented for purposes of illustration and not of limitation, and the present invention is limited only by the claims.