Patent ID: 7469229

Claim:
A method for operating an automatic trade system comprising: establishing in a memory space multiple order books for trading different instruments; receiving bids and offers in different instruments; entering any received bids and offers for the same instrument into the order book established in memory for that instrument; establishing in a memory space multiple order books for trading different combination orders, each combination order including multiple different leg orders, where each leg order corresponds to an order for an individual instrument; performing a trade in an instrument when, for a certain number of that instrument, a bid price for that instrument entered in that instrument's order book matches an ask price for that instrument entered in that instrument's order book; storing a latest bid price and a latest ask price for individual instruments in a latest price memory space separate from the memory space storing the order books; receiving bids and offers for combination orders; entering any received bid and offer for the same combination order into an order book established in memory for that combination order; performing a trade in a combination order for different instruments when a bid price for that combination order entered in the order book corresponding to that combination order matches an ask price for that combination order entered in the corresponding combination order book; when there is a combination order match in the corresponding combination order book, generating estimated prices of instruments in the matched combination order in accordance with the following steps: determining there is no order book bid price for an instrument corresponding to one of the legs in the matched combination order; and generating an estimated price for the leg instrument for which there is no order book bid price based on one of the prices stored in the latest price memory space.