Patent ID: 8630941

Claim:
A method comprising: receiving variable defined derivative product order data at a match system, wherein the match system comprises a processor configured to control operation of the match system, and wherein the received data identifies an order pricing formula; calculating, by the match system, an order price based on the order pricing formula; accessing limit data stored by the match system, the limit data setting upper and lower bounds on at least one variable; identifying, by the match system, a matching order for an order associated with the calculated order price; determining, by the match system, whether execution of a transaction based on the identified matching order will cause one of the upper or lower bounds to be exceeded; performing, based at least in part on the determination and by the match system, one of executing the transaction or canceling the transaction; wherein the variable defined derivative product order data corresponds to an option and an underlying contract, and wherein the at least one variable comprises at least one of (a) a rate of change in a theoretical value of the option for a one-unit change in a price of the underlying contract, (b) a rate of change in (a) for a one-unit change in the price of the underlying contract, and (c) a rate of change in a theoretical value of the option for a one-unit change in a volatility of the underlying contract.