CHICAGO MERCANTILE EXCHANGE, INC. Patent applications |
Patent application number | Title | Published |
20160028894 | Customer Service Controller - Information about a request from a caller is provided in a customer service call center. In one embodiment, a customer service processor selects an agent based on the type of request and routes the call to the agent. The types of requests including one or more of cancelling all orders by a firm, canceling all orders by a trader, cancelling specific orders by a trader for more than one product, cancelling orders by more than one trader for a specific product, cancelling individual orders, changing the quantity of an individual order, and changing the quantity of a set of orders for a trader or a firm. Statistics may be collected regarding the call and stored for later use in a database. | 01-28-2016 |
20150332393 | Determining Option Strike Price Listing Range - A computer system may calculate an option strike price listing range using a volatility value. The volatility value may be determined based on market value data that corresponds to an optioned transaction type and that include multiple market values. Option class definition data may be generated and stored based on the calculated option strike price listing range. | 11-19-2015 |
20150324911 | DELTA-HEDGED FUTURES CONTRACT - Systems and methods are described for providing a futures product corresponding to a position in a delta-hedged strategy on an underlying financial product may include creating a portfolio including put options and call options, wherein the put options and the call options correspond to a same underlying product. One or more computing devices may determine a position in the underlying product to include in the portfolio. The position in the underlying product may correspond to a volatility of the put options and the call options. In some cases, the one or more computing devices may generate a futures contract based on the portfolio including the put options, the call options and the position in the underlying product. | 11-12-2015 |
20150324910 | Synthetic Series Derivative Contracts - A computer system may process data associated with synthetic series derivative contracts. Those contracts may be settled in cash to an imputed value of a fixed income security. This fixed income security may be coupon bearing. The imputed value of the fixed income security may be based on a calculated value of a series of interest-based derivative contracts. Both that series and the fixed income security may be hypothetical. | 11-12-2015 |
20150178834 | HYBRID INDEX DERIVED USING A KALMAN FILTER - A method of determining a hybrid index may include obtaining, by a computer device, financial transaction information about two or more financial products over a duration. The computer device may be configured to filter the financial transaction information to produce enhanced financial transaction information. The computer device may then determine a financial index value using the financial transaction information and the enhanced financial transaction information. | 06-25-2015 |
20150178833 | VOLATILITY BASED FUTURES PRODUCTS - A method of providing a financial product may include obtaining, by a computer device, pricing information about a financial market over a specified duration, the pricing information including at least a high price and a low price occurring within the duration. The computer device may be configured for determining a volatility associated with the market, the volatility based, at least in part, on the pricing information and determining a settlement price for a cash settled futures product using the volatility of the market over the specified duration. | 06-25-2015 |
20150178832 | DETERMINISTIC AND EFFICIENT MESSAGE PACKET MANAGEMENT - Methods, devices, and systems for facilitation of efficient processing of a plurality of electronic message packets communicated to an application via a network from a plurality of message sources. The facilitation involves receiving each of the plurality of electronic message packets from the network, and storing, upon receipt thereof, each of the received electronic message packets in a single buffer irrespective of which message source of the plurality of message sources each of the received electronic message packets originated from, the single buffer being accessible by the application. | 06-25-2015 |
20150178831 | DETERMINISTIC AND EFFICIENT MESSAGE PACKET MANAGEMENT - Methods, devices, and systems for facilitation of deterministic management of a plurality of electronic message packets communicated to an application via a network from a plurality of message sources. The facilitation involves receiving each of the plurality of electronic message packets from the network, determining an order in which each electronic message packet was received relative to the reception of others of the plurality of electronic message packets, and providing the order to the application. | 06-25-2015 |
20150161727 | EXCHANGE FEED FOR TRADE REPORTING HAVING REDUCED REDUNDANCY - The disclosed embodiments relate to communication of financial messages from an Exchange to market participants whereby messages, or at least a portion of the content thereof, indicative of changes in the market, due to one or more trades between two or more market participants, are structured so as to reduce redundant data therein and prioritize the transmission of that portion of the message which summarizes the event and result thereof. Further, these event reporting messages may further consolidate, or otherwise be combined with, the corresponding directed reporting messages communicated to the particular market participants participating in the reported trade while preserving the anonymity of those market participants to which messages are particularly directed. | 06-11-2015 |
20150154699 | Alternate-Form Options - Option class definition data may indicate a negotiable parameter and a plurality of non-negotiable parameters. The negotiable parameter may be an optioned transaction parameter, a strike price parameter, a put-or-call type parameter, an expiration parameter or an exercise style parameter. Buy order data and sell order data may indicate values for the negotiable parameter. Matching buy orders and sell orders may be identified based on values for the negotiable parameter indicated by the buy order data and the sell order data. | 06-04-2015 |
20150149342 | Customer Service Controller - Information about a caller is provided to an agent, such as a customer service operator in a customer service call center. In one embodiment, the agent may receive detailed account and/or personal information about the caller before being connected to the actual or live call. For example, the agent receives information from a customer database regarding a customer profile and information from an order database regarding order or transaction information. The customer database and the order database are external to the call center. The agent may modify the customer profile and/or the order or transaction information. The customer database and order database are update accordingly and the information may be transferred along with the call to another agent. | 05-28-2015 |
20150149340 | Tandem Options Contracts Providing Fixed Binary Payout - Systems and methods are described where two call options (or two put options) on futures may be bundled, traded, and processed in tandem accordingly. The two options may form a tandem option that may be constructed with strike/exercise prices that are scaled to be one minimum price increment or tick apart in the underlying futures market. The tandem option product provides a payout at expiration that is binary in nature—it will either be zero or a fixed monetary amount. | 05-28-2015 |
20150127516 | Transactionally Deterministic High Speed Financial Exchange Having Improved, Efficiency, Communication, Customization, Performance, Access, Trading Opportunities, Credit Controls, and Fault Tolerance - The disclosed embodiments relate to implementation of a trading system, which may also be referred to as a trading system architecture, having improved performance which further assures transactional determinism under increasing processing transaction loads while providing improved trading opportunities, fault tolerance, low latency processing, high volume capacity, risk mitigation and market protections with minimal impact, as well as improved and equitable access to information and opportunities. | 05-07-2015 |
20150127515 | Transactionally Deterministic High Speed Financial Exchange Having Improved, Efficiency, Communication, Customization, Performance, Access, Trading Opportunities, Credit Controls, and Fault Tolerance - The disclosed embodiments relate to implementation of a trading system, which may also be referred to as a trading system architecture, having improved performance which further assures transactional determinism under increasing processing transaction loads while providing improved trading opportunities, fault tolerance, low latency processing, high volume capacity, risk mitigation and market protections with minimal impact, as well as improved and equitable access to information and opportunities. | 05-07-2015 |
20150127514 | Transactionally Deterministic High Speed Financial Exchange Having Improved, Efficiency, Communication, Customization, Performance, Access, Trading Opportunities, Credit Controls, and Fault Tolerance - The disclosed embodiments relate to implementation of a trading system, which may also be referred to as a trading system architecture, having improved performance which further assures transactional determinism under increasing processing transaction loads while providing improved trading opportunities, fault tolerance, low latency processing, high volume capacity, risk mitigation and market protections with minimal impact, as well as improved and equitable access to information and opportunities. | 05-07-2015 |
20150127513 | Transactionally Deterministic High Speed Financial Exchange Having Improved, Efficiency, Communication, Customization, Performance, Access, Trading Opportunities, Credit Controls, and Fault Tolerance - The disclosed embodiments relate to implementation of a trading system, which may also be referred to as a trading system architecture, having improved performance which further assures transactional determinism under increasing processing transaction loads while providing improved trading opportunities, fault tolerance, low latency processing, high volume capacity, risk mitigation and market protections with minimal impact, as well as improved and equitable access to information and opportunities. | 05-07-2015 |
20150127512 | Transactionally Deterministic High Speed Financial Exchange Having Improved, Efficiency, Communication, Customization, Performance, Access, Trading Opportunities, Credit Controls, and Fault Tolerance - The disclosed embodiments relate to implementation of a trading system, which may also be referred to as a trading system architecture, having improved performance which further assures transactional determinism under increasing processing transaction loads while providing improved trading opportunities, fault tolerance, low latency processing, high volume capacity, risk mitigation and market protections with minimal impact, as well as improved and equitable access to information and opportunities. | 05-07-2015 |
20150127511 | Transactionally Deterministic High Speed Financial Exchange Having Improved, Efficiency, Communication, Customization, Performance, Access, Trading Opportunities, Credit Controls, and Fault Tolerance - The disclosed embodiments relate to implementation of a trading system, which may also be referred to as a trading system architecture, having improved performance which further assures transactional determinism under increasing processing transaction loads while providing improved trading opportunities, fault tolerance, low latency processing, high volume capacity, risk mitigation and market protections with minimal impact, as well as improved and equitable access to information and opportunities. | 05-07-2015 |
20150127510 | Transactionally Deterministic High Speed Financial Exchange Having Improved, Efficiency, Communication, Customization, Performance, Access, Trading Opportunities, Credit Controls, and Fault Tolerance - The disclosed embodiments relate to implementation of a trading system, which may also be referred to as a trading system architecture, having improved performance which further assures transactional determinism under increasing processing transaction loads while providing improved trading opportunities, fault tolerance, low latency processing, high volume capacity, risk mitigation and market protections with minimal impact, as well as improved and equitable access to information and opportunities. | 05-07-2015 |
20150127509 | Transactionally Deterministic High Speed Financial Exchange Having Improved, Efficiency, Communication, Customization, Performance, Access, Trading Opportunities, Credit Controls, and Fault Tolerance - The disclosed embodiments relate to implementation of a trading system, which may also be referred to as a trading system architecture, having improved performance which further assures transactional determinism under increasing processing transaction loads while providing improved trading opportunities, fault tolerance, low latency processing, high volume capacity, risk mitigation and market protections with minimal impact, as well as improved and equitable access to information and opportunities. | 05-07-2015 |
20150112889 | ACHIEVING MARGIN CAPITAL EFFICIENCIES USING LINEAR PROGRAMMING - A minimum margin requirement associated with an account may be determined by calculating, by a computer system, a first margin requirement for each of a plurality of derivatives positions associated with an account, calculating, by the computer system, a second spread margin requirement for each of one or more spread positions corresponding to the plurality of derivatives positions associated with the account, and determining, by the computer system, a minimum account margin requirement for the account using a linear programming technique and based on the first margin requirement for each of the plurality of derivatives positions and the second spread margin requirement for each of the one or more spread positions. | 04-23-2015 |
20150112848 | DISSEMINATING FLOOR QUOTES FROM OPEN OUTCRY MARKETS - One or more methods may be used to disseminate floor quotes from an open outcry financial market, such as via messages posted on a social network. These messages may include additional information for providing “color” to the price quotation. In some cases, a method of disseminating the floor quotes may include receiving, at a computer device, a request from a trader to receive an authenticated user name associated with a financial exchange. The financial exchange may then permit the trader to post one or more messages to a social network using the authenticated user name, where the message includes information about a trade on the financial exchange. | 04-23-2015 |
20150112846 | Futures Contracts Settlement Method with Option to Roll Forward - Systems and methods are provided for processing derivative financial instrument positions. Contracts are structured to include minimum position limits or thresholds as final settlement dates approach. The minimum position limits or thresholds exceed the trading units. Traders who initially hold relatively small positions are required to increase their positions as the settlement date approaches so that the position at settlement corresponds to quantities used in commercial institutional markets. Limits or thresholds are enforced by imposing a fee for non-compliance, forcing cash settlement or requiring a mandatory roll forward of at least some of the positions. The roll forward may include a spread product that includes a first derivative financial instrument having a first settlement date and a second derivative financial instrument having a second settlement date that is different from the first settlement date. The price of the spread product is based on daily settlement values associated with the first and second derivative financial instruments. | 04-23-2015 |
20150112845 | Futures Contracts with Minimum Position Limit Approaching Delivery Period - Systems and methods are provided for processing derivative financial instrument positions. Contracts are structured to include minimum position limits or thresholds as final settlement dates approach. The minimum position limits or thresholds exceed the trading units. Traders who initially hold relatively small positions are required to increase their positions as the settlement date approaches so that the position at settlement corresponds to quantities used in commercial institutional markets. Limits or thresholds are enforced by imposing a fee for non-compliance, forcing cash settlement or requiring a mandatory roll forward of at least some of the positions. The roll forward may include a spread product that includes a first derivative financial instrument having a first settlement date and a second derivative financial instrument having a second settlement date that is different from the first settlement date. The price of the spread product is based on daily settlement values associated with the first and second derivative financial instruments. | 04-23-2015 |
20150112844 | Futures Contracts with Divergent Trading and Delivery Units - Systems and methods are provided for processing derivative financial instrument positions. Contracts are structured to include minimum position limits or thresholds as final settlement dates approach. The minimum position limits or thresholds exceed the trading units. Traders who initially hold relatively small positions are required to increase their positions as the settlement date approaches so that the position at settlement corresponds to quantities used in commercial institutional markets. Limits or thresholds are enforced by imposing a fee for non-compliance, forcing cash settlement or requiring a mandatory roll forward of at least some of the positions. The roll forward may include a spread product that includes a first derivative financial instrument having a first settlement date and a second derivative financial instrument having a second settlement date that is different from the first settlement date. The price of the spread product is based on daily settlement values associated with the first and second derivative financial instruments. | 04-23-2015 |
20150088723 | SECURE EXCHANGE FEED MARKET DATA EMBARGO - Methods, devices, and systems for communicating market data with market participants may involve obfuscating at least a portion of financial messages. Communicating the market data also involves augmenting a financial message with a key configured to remove the obfuscation from the obfuscated portion of the financial messages. The market data is ultimately communicated by transmitting the financial messages to a plurality of participants. The plurality of participants may then use the key from the financial message to remove the obfuscation of the other financial messages. | 03-26-2015 |
20150088720 | Secure Exchange Feed Market Data Embargo - Methods, devices, and systems for communicating market data with market participants involve obfuscating at least a portion of a first financial message. Communicating the market data also involves augmenting a second financial message with a key configured to remove the obfuscation from the obfuscated portion of the first financial message. The market data is ultimately communicated by transmitting the first financial message to a particular participant, and transmitting the second message to a plurality of participants. The particular participant may then use the key from the second financial message to remove the obfuscation of the first financial message. | 03-26-2015 |
20150081622 | DATASET INTERSECTION DETERMINATION - An item is determined to exist in a dataset by arranging the dataset into a plurality of subsets, each bounded by the minimum amount of memory that may be transferred between levels of memory in a memory configuration. The item and the subsets have attributes that allow for a determination of which subset the item would exist in if the item were in the dataset. A singular subset is transferred between levels of memory to determine whether the item exists in the transferred subset. If the item does not exist in the transferred subset, it is determined that the item does not exist in the dataset. | 03-19-2015 |
20150081505 | Detection of Potential Abusive Trading Behavior in Electronic Markets - Methods for detecting potential abusive trading behavior in an electronic market include: (a) querying a database in response to an alert signifying a possible trading irregularity, wherein the database is configured to store data mined from one or a plurality of electronic social media platforms; (b) determining whether the database contains evidence of a news event that explains the trading irregularity and, if so, whether the news event corresponds to fundamental and/or technical market activity; and (c) flagging the trading irregularity as potential abusive trading behavior if the database contains evidence of the news event but it is determined that the news event does not correspond to fundamental and/or technical market activity. Systems for detecting potential abusive trading behavior in an electronic market are described. | 03-19-2015 |
20150081504 | Detection of Abusive Behavior in Electronic Markets - A method for identifying potential abusive behavior in an electronic market includes: (a) determining whether an individual order book associated with a trader comprises an imbalance in relation to a financial instrument for which the trader submitted an order; (b) determining whether an imbalance identified in the individual order book changed after fulfillment of the order; and (c) identifying the order as potential abusive behavior if the individual order book comprises an imbalance that changed after fulfillment of the order. Systems for identifying potential abusive behavior in an electronic market are described. | 03-19-2015 |
20150081503 | Pricing Range-Based Financial Instruments - A method for computing a settlement price of a financial instrument includes: (a) sampling a plurality of high-low range in a market over a period of time; (b) calculating an average of the plurality of high-low range obtained by the sampling; and (c) computing the settlement price of the financial instrument based on the average of the plurality of high-low ranges obtained by the calculating. Systems for computing a settlement price of a financial instrument are described | 03-19-2015 |
20150073963 | Matching with Level Residual Allocation - The disclosed embodiments relate to systems and methods which match/allocate an incoming order to trade with “resting,” i.e. previously received but not yet matched, orders. A primary volume of the aggressor order is allocated to a first subset of orders of the set of previously received orders based on a first matching procedure in partial satisfaction of the aggressor order. A residual volume of the aggressor order remaining after the partial satisfaction of the aggressor order is computed. Unfilled orders of the set of previously received orders are arranged in a ranking based on a second matching procedure independent of order size. A predetermined, level quantity of the aggressor order is allocated to each order in a second subset of the set of previously received orders in accordance with the ranking until the residual volume is exhausted. | 03-12-2015 |
20150073962 | Boundary Constraint-Based Settlement in Spread Markets - A computer implemented method determines a settlement price for a constituent contract of a plurality of spread instruments. The method includes obtaining market data indicative of bid-offer values for the plurality of spread instruments, generating synthetic market data for the constituent contract based on the bid-offer values and based on a respective settlement price for an active contract of each spread instrument of the plurality of spread instruments, determining boundary constraints on the settlement price for the constituent contract based on the synthetic market data, and computing the settlement price for the constituent contract based on the boundary constraints. | 03-12-2015 |
20150058258 | SYSTEM AND METHOD FOR DISPLAYING A COMBINED TRADING AND RISK MANAGEMENT GUI DISPLAY - A graphic user interface is disclosed that combines a traditional trading, bookkeeping system or clearing system window with a detailed margin and/or collateral asset calculation analysis window on a single screen. The disclosed GUI provides the flexibility to analyze any combination of products or instrument classes such as single stock futures, futures (of all types), options (of all types), forward contracts, security options, securities and cash-based assets. Conventional systems merely block entry of orders beyond a predetermined credit limit or display clearing/bookkeeping information on all types of portfolio or accounts. The disclosed GUI, in an automated real-time or manual execution control basis, provide the user useful information (all types of numerical and/or graphical display) concerning which products contribute to and how much each product position contribute to the margin limits on, for example, multiple levels; all types of product level, product period (duration) level, account level and clearing level, etc. In one embodiment, the margin window may include a “what if” Scenario Panel and an “Actuals” Margin Analysis Panel. This Scenario Panel allows the user to experiment with “what-if” scenarios in real time or on an as-needed basis. This allows the user to better assess the changes an “actual” position(s) or “what-if” position(s) may have on the margin requirements on all account level types. Further, the actual panel displays the account's actual positions and the associated contributions each position has to that account's margin requirements. | 02-26-2015 |
20150039530 | PCA-BASED PORTFOLIO MARGINING - A computer implemented method determines a margin requirement for a financial product portfolio. Market conditions for the financial product portfolio are characterized by a zero curve. The method includes producing a plurality of scenario curves, each scenario curve reflecting a principal component analysis (PCA) model of the zero curve with a respective PCA factor of a plurality of PCA factors of the PCA model offset from a corresponding base value for the zero curve, calculating a respective projected value of the financial product portfolio for each scenario curve of the plurality of scenario curves, calculating a loss risk amount for each PCA factor based on the respective projected value and a current value of the financial product portfolio, and determining the margin requirement based on a sum of the loss risk amounts for the plurality of PCA factors. | 02-05-2015 |
20150026033 | EFFICIENT SELF-MATCH PREVENTION IN AN ELECTRONIC MATCH ENGINE - Protections against self-matching trade orders are disclosed which maximize liquidity/efficiency by reducing/minimizing unnecessary cancelations and/or resubmissions. Rather than automatically cancel or modify the incoming and/or self-matching counter orders, those resting counter orders, which would result in the occurrence of a self-match with an incoming order, are placed in a hold state or otherwise set aside such that the incoming order may be matched with other non-self-matching orders. The held orders are subsequently returned to the order book at the same, or different, priority to await a subsequent incoming order. Where the incoming order is not fully satisfied, only self-matching counter orders are identified or the return of held orders would result in a crossed order book, a trader may include instructions with the incoming order directing the system to cancel the self-matching resting orders, cancel the incoming order, decrementing the quantity of the larger of the incoming and self-matching resting orders by the quantity of the smaller thereof, or take some other action. | 01-22-2015 |
20140372281 | STANDARDIZATION AND MANAGEMENT OF OVER-THE-COUNTER FINANCIAL INSTRUMENTS - A method of managing financial products is disclosed. The method includes receiving transaction parameters associated with a financial transaction, determining a standardized financial product, wherein the standardized financial transaction reflects the transaction parameters associated with the financial position, calculating a net present value position between the financial position and the standardized financial product, and clearing the net present value position through a clearing party. | 12-18-2014 |
20140337200 | METHOD AND SYSTEM FOR PROVIDING OPTION SPREAD INDICATIVE QUOTES - A computer network and method for electronically trading combinations of derivatives. One preferred method of trading includes providing quotes information to a central server, and determining indicative quotes for combination trades, and providing the non-binding, indicative quotes to market participants (which typically includes subscribers, but may also include market makers). A participant may then submit an e-RFQ, which is a request for a binding quote for the combination of derivatives. Market Makers may then elect to submit a binding quote for the corresponding derivative combination. Market participants may then elect to enter a binding order. | 11-13-2014 |
20140330702 | SYSTEM AND METHOD FOR USING DIVERSIFICATION SPREADING FOR RISK OFFSET - A computer-implemented method for analyzing a risk offset associated with a portfolio including a plurality of products traded on an exchange is disclosed. The method includes comparing a first market response of a first product in the portfolio with a second market response of a second product in the portfolio where the first and second market responses result from a change in market data, calculating an offsetting effect between the first market response and the second market response where the first and second market responses are substantially different responses to the same change in the market data, determining a diversification spread based on the offsetting effect derived between the first product and the second product, calculating a diversification spread credit based on the determined diversification spread, and adjusting a margin requirement for the portfolio based on the diversification spread credit. | 11-06-2014 |
20140316962 | Post-Order Management of Financial Instruments - Methods for managing a plurality of orders for a financial instrument includes accepting the plurality of orders for clearing; sending a cleared confirmation message indicating that the plurality of orders has been cleared; receiving notification instructions to group the plurality of cleared orders; terminating the plurality of cleared orders and creating a new order; and sending a cleared confirmation message for the new order. Systems for electronically managing a plurality of orders for a financial instrument and computer-readable media are described. | 10-23-2014 |
20140310149 | METHOD AND APPARATUS FOR PUBLISHING MARKET INFORMATION - A method and apparatus for publishing market data for a financial instrument utilizes existing network layer acknowledgement feature to publish market data for the financial instrument to a client device at rates in which the client device is able to process the data. The publishing rate is dynamic, as opposed to being fixed, and is able to adjust “on-the-fly” so as to prevent message queue stagnation. | 10-16-2014 |
20140304138 | System and Method for Matching One or More Incoming Order to a Standing Order Based on Multi-Level Allocation - A method of order allocation is disclosed. The method includes receiving an incoming order, establishing an inner market representing a first portion of an order book which may be defined as a function of an inner market parameter, designating the first portion of the order book as a priority and allocating the first portion of the received incoming order based on the priority, establishing an outer market that represents a second portion of the order book that includes the remainder of the order book not represented by the inner market of the order book, assigning the received incoming order to one of the inner or outer markets as a function of the inner market parameter, allocating a first portion of the incoming order to the inner market utilizing a first-in, first-out (FIFO) algorithm, and allocating a second portion, in excess of the first portion, of the incoming order to the outer market using a pro-rata algorithm. | 10-09-2014 |
20140279377 | Weather Derivative Volatility Surface Estimation - Systems and methods are provided for determining the volatility of weather derivative option contracts. Volatility levels are initially determined with conventional methods. Unreliable volatility levels are then replaced with futures contracts volatility levels. If the futures contracts volatility levels are not available or appear unreliable, meteorological volatility levels are utilized. The data may be reduced to a three dimensional surface and used when determining margin account requirements. | 09-18-2014 |
20140258773 | Match Server for a Financial Exchange Having Fault Tolerant Operation - Fault tolerant operation is disclosed for a primary match server of a financial exchange using an active copy-cat instance, a.k.a. backup match server, that mirrors operations in the primary match server, but only after those operations have successfully completed in the primary match server. Fault tolerant logic monitors inputs and outputs of the primary match server and gates those inputs to the backup match server once a given input has been processed. The outputs of the backup match server are then compared with the outputs of the primary match server to ensure correct operation. The disclosed embodiments further relate to fault tolerant failover mechanism allowing the backup match server to take over for the primary match server in a fault situation wherein the primary and backup match servers are loosely coupled, i.e. they need not be aware that they are operating in a fault tolerant environment. | 09-11-2014 |
20140258074 | Zero Coupon Conversion Factor Calculation - The disclosed embodiments relate to a system which calculates a conversion factor (CF) based upon a zero percent (0%) futures contract standard. The zero percent futures contract standard may be used in the context of futures or forwards based upon coupon bearing debt securities including Treasuries, Treasury Inflation Protected Securities (TIPS), agencies, corporates, municipals, or any fixed income security. The system also facilitates listing, trading, and settlement of an interest rate futures contract that sets forth such a zero percent futures contract standard. The system may be configured for both interest rate futures contracts utilizing a nonzero percent futures contract standard and interest rate futures contract utilizing a zero percent futures contract standard. The system may be configured to calculate an invoice amount for the interest rate futures contract to be paid in exchange for the delivery of the one of the set of eligible interest rate or debt securities and instruments. | 09-11-2014 |
20140258065 | COMMODITY CONTRACTS DELIVERY ALLOCATION - For each of in source locations, a number of commodity contract short positions may be determined. Each of the short positions may correspond to an obligation of a short position holder to make delivery of a commodity within a predefined time period, and may further correspond to one of the in source locations. For each of n destination locations, a number of commodity contract long positions may be determined. Each of the long positions may correspond to an obligation of the long position holder to receive delivery of the commodity within the predefined time period, and may further correspond to one of the n destination locations. Short and long positions may be allocated among each of one or more of the source-destination pairs. | 09-11-2014 |
20140244541 | CONVERSION AND LIQUIDATION OF DEFAULTED POSITIONS - A method of liquidating defaulted positions associated with centrally cleared financial product is disclosed. The method includes identifying a defaulted position associated with a centrally cleared financial product, calculating a value differential between the defaulted position and a standard position, offering the value differential and the standard position to a party such that the value differential and the standard position represent a converted position, and settling the converted position upon acceptance of the offer by the party. | 08-28-2014 |
20140236861 | OPTION PRICING MODEL FOR EVENT DRIVEN CALL AND PUT OPTIONS - Systems and methods are provided for valuing event driven option contracts. A jump diffusion based model, such as a Merton jump diffusion based model, is modified to assume arithmetic movement of an underlying price and a single jump. The arithmetic movement of the underlying price may be modeled with a Bachelier based arithmetic model. Calculated values may be used to determine margin account requirements. | 08-21-2014 |
20140236799 | Out of Band Credit Control - Systems, apparatuses, methods, and computer readable media may be configured for informing a first node of a first fine precision algorithm for calculating a first credit utilization associated with a trading entity, and of whether to use a first coarse precision algorithm instead of the first fine precision algorithm as long as the first credit utilization remains below a first credit threshold, receiving first credit information data from the first node and second credit information data associated with the trading entity from a second node, and determining aggregate credit information data for the trading entity based on the first credit utilization data and the second credit utilization data. | 08-21-2014 |
20140222659 | COLLATERALIZED LENDING USING A CENTRAL COUNTERPARTY - A lending machine can include a communications device to receive a first request relating to a first loan transaction. The first loan transaction can include a long or a short Special Repo Futures (SRF) contract where a supply of the asset is below a supply threshold, otherwise the first loan transaction can include a long or a short General Repo Futures (GRF) contract. The communications device can also be configured to receive a second request for a second loan transaction at least partially counter to the first loan transaction. The lending machine can also include a matching device configured to match the first request with the second request. The lending machine can also include a trader device configured to perform a transaction corresponding to the first and the second request. | 08-07-2014 |
20140222649 | TBA Futures Contracts and Central Counterparty Clearing of TBA - Networks, systems and methods that match orders for TBA futures and settle and clear open positions for TBA futures are disclosed. The TBA futures may include MBS TBA future contracts. A central counterparty clearing firm may net long and short positions and generate delivery instructions to parties having open positions. | 08-07-2014 |
20140222645 | Multiple Coupon Interest Rate Futures Contracts - The disclosed system makes available multiple interest rate futures contracts (“IRFC”) for a given set of interest rate securities, such as US Treasury Notes, which may be used to satisfy the delivery obligation. The terms on which the delivery obligation of each such IRFC are met are governed by an associated conversion factor yield (“CFY”) value which is associated, in turn, with a corresponding set of conversion factors (“CF”), each of which corresponds to one member of the set of securities eligible for delivery, and which may be used at the time of delivery of such eligible interest rate security, to determine the delivery invoice price. Offering different CFY's and corresponding CF's may enable a market participant who seeks to use such futures to acquire or shed financial risk exposure to select from such array of futures contracts the member contract that most closely mirror the participant's intended risk profile. | 08-07-2014 |
20140207650 | System and Method for Determining the Market Risk Margin Requirements Associated with a Credit Default Swap - A system and computer-implemented method for determining a margin requirement associated with a plurality of financial instruments within a portfolio is disclosed. The system and method implement steps and procedures for analyzing the portfolio including the plurality of financial instruments where analyzing further includes determining a first time-series of returns for the plurality of financial instruments, determining a second time-series of returns for the plurality of financial instruments where the second time-series occurs after the first time-series, and calculating the correlation between the first time-series of returns and the second time-series of returns. The system and method implement further steps and procedures for calculating residuals and volatilities for the plurality of financial instruments within the portfolio. | 07-24-2014 |
20140201563 | Match Server for a Financial Exchange Having Fault Tolerant Operation - Fault tolerant operation is disclosed for a primary match server of a financial exchange using an active copy-cat instance, a.k.a. backup match server, that mirrors operations in the primary match server, but only after those operations have successfully completed in the primary match server. Fault tolerant logic monitors inputs and outputs of the primary match server and gates those inputs to the backup match server once a given input has been processed. The outputs of the backup match server are then compared with the outputs of the primary match server to ensure correct operation. The disclosed embodiments further relate to fault tolerant failover mechanism allowing the backup match server to take over for the primary match server in a fault situation wherein the primary and backup match servers are loosely coupled, i.e. they need not be aware that they are operating in a fault tolerant environment. As such, the primary match server need not be specifically designed or programmed to interact with the fault tolerant mechanisms. Instead, the primary match server need only be designed to adhere to specific basic operating guidelines and shut itself down when it cannot do so. By externally controlling the ability of the primary match server to successfully adhere to its operating guidelines, the fault tolerant mechanisms of the disclosed embodiments can recognize error conditions and easily failover from the primary match server to the backup match server. | 07-17-2014 |
20140195409 | System and Method for Making Positions Held by a Trader Fungible - Positions held by a trader are made fungible by selecting a first position in a first futures contract that is deliverable and selecting a second position in a second futures contract, wherein the first and second futures contracts are traded in a first and second market, respectively. Offsetting the first and the second positions eliminates a delivery obligation of the trader. | 07-10-2014 |
20140188764 | BREAKOUT INDEXES - Methods and systems for calculating values for indexes based on breakout currencies are provided. A prospective breakout index may be formed before an entity breaks out of a monetary union. Other aspects relate to calculating an initial index value on a breakout date. An initial exchange rate of the breakout currency may be combined with a breakout value and/or a base value. In one embodiment, the breakout value is the reciprocal of the initial exchange rate. Therefore, in accordance with certain embodiments, the initial index value of the breakout index may be equal to the base value. Further aspects relate to calculating a second index value. A second exchange rate of the breakout currency may be utilized with the fixed base value and the breakout value to calculate the second index value of the breakout index. Further aspects relate to creating a prospective currency unit for a monetary union. | 07-03-2014 |
20140188694 | PROSPECTIVE CURRENCY UNITS - Methods and systems for calculating values for indexes based on breakout currencies are provided. A prospective breakout index may be formed before an entity breaks out of a monetary union. Other aspects relate to calculating an initial index value on a breakout date. An initial exchange rate of the breakout currency may be combined with a breakout value and/or a base value. In one embodiment, the breakout value is the reciprocal of the initial exchange rate. Therefore, in accordance with certain embodiments, the initial index value of the breakout index may be equal to the base value. Further aspects relate to calculating a second index value. A second exchange rate of the breakout currency may be utilized with the fixed base value and the breakout value to calculate the second index value of the breakout index. Further aspects relate to creating a prospective currency unit for a monetary union. | 07-03-2014 |
20140172748 | Liquidity Margin - Systems and methods are provided for determining margin requirements for portfolios that are illiquid or have concentrated positions. Surveys with sample portfolios that include credit default swaps and that ask for liquidity charges are distributed to clearing members. Answers to the surveys are analyzed to develop a liquidity risk model. The liquidity risk model is subsequently used when setting margin requirements. | 06-19-2014 |
20140172746 | Margin Determination for Products Based on Currency Pairs - A performance bond contribution applicable to a holding in one or more products based on a currency pair may be determined, at least in part, based on volatility values and a volatility floor value. A performance bond contribution applicable to a holding in one or more products based on a third currency pair that includes first and third currencies may be determined using a series of rates. That series of rates may be created, at least in part, based on a series of rates applicable to a first currency pair that includes the first currency and a second currency and a series of rates applicable to a second currency pair that includes the third currency and the second currency. A performance bond contribution applicable to a product based on a pegged component currency pair may be determined using hypothetical portfolios. | 06-19-2014 |
20140172674 | SYSTEM AND METHOD FOR ACTIVITY BASED MARGINING - A system and method for factoring in a trader's trading activity into the margin requirements is disclosed. In the securities arena, day traders are assessed different margins than non-day-traders, however, the specific profile of the trader is analyzed (that is, the same rule applies to all day traders). | 06-19-2014 |
20140172664 | Processing of Exercised Options - A computer system may receive exercise instruction data for an option. The exercise instruction data may indicate exercise of an option on which optionor and optionee interests are based. The computer system may access stored option data. The option data may identify multiple optionor interests based on options of the same type as the exercised option. The computer system may select one of the optionor interests. The selecting may be performed in response to the exercise instruction data and without regard to whether the selected optionor interest is based on the exercised option. The computer system may transmit, to a computer system associated with a holder of the selected optionor interest, assignment data indicating assignment of an interest in an optioned contract created as a result of the option exercise. | 06-19-2014 |
20140164286 | Interest Rate Swap Risk Compression - The disclosed embodiments relate to minimization of risk of loss, and thereby minimization of margin and/or guarantee fund requirements, for a portfolio of interest rate swap (“IRS”) positions held by a market participant. The disclosed embodiments identify proposed trades across portfolios wherein execution of the proposed trade would result in a reduction of the risk of loss of the portfolio and the other portfolio, by iteratively testing each of a set of candidate trades between substantially equivalent positions in the portfolio and other portfolio for an effect on the risk of loss of the portfolio, the identified proposed trade comprising a candidate trade which results in a reduction in risk of loss of the portfolio in excess of a threshold. The disclosed embodiments then provide each of the identified proposed trades to at least the market participant who holds the subject portfolio for acceptance thereby. | 06-12-2014 |
20140164209 | Delta Neutral Futures Allocation - A method allocates quantities of an underlying financial product for a plurality of orders, each being for a quantity of a derivative financial product counter to a previously received order for the derivative financial product and characterized by a ratio of the quantity of the derivative financial product to a quantity of the underlying financial product, and includes receiving first and second orders for quantities of the derivative financial product, computing first and second quantities of the underlying financial product, based on the first and second orders to achieve the ratio, rounding the first quantity to determine a first whole number quantity, generating a composite quantity of the underlying financial product based on the first and second quantities, generating a rounded representation of the composite quantity, and determining a second whole number quantity of the underlying financial product based on the rounded representation and the first whole number quantity. | 06-12-2014 |
20140164201 | Price Alignment Interest in Collateralized Financial Instruments - A method for price alignment in a trade of a financial instrument between first and second market participants for whom first and second account records are maintained in a memory, respectively, and in which a mark-to-market loss is incurred and collateralized by the first market participant, includes determining, with a processor, an amount of an interest payment from the first market participant to the second market participant based on the mark-to-market loss, and accessing the memory to modify the first and second account records in accordance with the determined interest payment amount. | 06-12-2014 |
20140156495 | Delta Neutral Futures Allocation - In an Exchange which assigns only a whole number/integer approximate of a computed number of futures contracts to a covered order for one or more option contracts, the disclosed embodiments relate to factoring a residual number of futures contracts, remaining after fulfillment of an incoming covered order counter to a resting covered order for a quantity of options contracts less than the resting quantity and approximation of the computed number of futures contracts assigned thereto, into the approximation of the computed number of futures contracts assigned to fulfillment of a subsequent order from the same trader counter to the same resting order for less than or equal to the remaining resting quantity of options contracts. This may have the effect of increasing or decreasing the number of futures contracts assigned to the subsequent order. | 06-05-2014 |
20140143123 | DETECTION AND MITIGATION OF EFFECTS OF HIGH VELOCITY PRICE CHANGES - The disclosed embodiments relate to mechanisms to rapidly detect and respond to situations where a market is not operating in a fair and balanced manner or otherwise where the market value is not reflective of a true consensus of the value of the traded products among the market participants. In particular, the disclosed embodiments continually scan for, rapidly detect and respond to extreme changes, either up (“spike”) or down (“dip”) in the market, such as a “flash crash,” where a precipitous market move occurs. Generally, the disclosed embodiments determine when a market for a particular product moves too quickly in too short of period of time, e.g. the velocity of the market exceeds a defined threshold limit. | 05-22-2014 |
20140143117 | Systems and Methods for Matching One or More Incoming Order to a Standing Order as a Function of an Inner Market Parameter - A method of order allocation is disclosed. The method includes receiving an incoming order, establishing an inner market representing a first portion of an order book which may be defined as a function of an inner market parameter, designating the first portion of the order book as a priority and allocating the first portion of the received incoming order based on the priority, establishing an outer market that represents a second portion of the order book that includes the remainder of the order book not represented by the inner market of the order book, assigning the received incoming order to one of the inner or outer markets as a function of the inner market parameter, allocating a first portion of the incoming order to the inner market utilizing a first-in, first-out (FIFO) algorithm, and allocating a second portion, in excess of the first portion, of the incoming order to the outer market using a pro-rata algorithm. | 05-22-2014 |
20140136391 | Determination of Banding Start Price for Order Evaluation - A banding start price may be generated using one of multiple subroutines. Each of the subroutines may generate a banding start price using a different algorithm and may have different input data criteria. Each of those subroutines may be ranked based expected accuracy of a price output by the subroutine. The banding start price may be generated by the highest ranking subroutine for which there is input data satisfying relevant criteria. | 05-15-2014 |
20140136389 | Calendar Spread Futures - A calendar spread futures contract is a forward contract on the intermonth spread of futures contracts. The calendar spread futures contract can be independently traded and accounted for independent of the traditional roll periods of the complementary futures contracts. An open interest holder can hedge against price volatility in the related futures contracts that may occur prior to or during the roll period. In other words, the calendar spread futures contract locks in the current spread between the front-month contract and the first-deferred contract. Buying a calendar spread futures control is equivalent to buying the spread difference between the expiring contract and the second expiry. Selling a calendar spread futures contract is equivalent to selling the spread difference between the expiring contract and the second expiry. | 05-15-2014 |
20140136388 | IDENTIFICATION OF ACCOUNTS THAT ARE TOO PROFITABLE OR TOO LOSSY - An electronic surveillance system or method identifies potentially suspect trading activities by determining when day trading accounts are too consistently profitable or too consistently unprofitable (lossy). The electronic surveillance system examines specific futures commodities or other securities over a specified time period (e.g., daily). Accounts that are too consistently profitable or too consistently unprofitable are flagged by the system. In addition, the system may report when a trading account experiences statistically unusually large gains or losses per contract traded and gains or losses or a high percentage of time periods. The day to day profits or losses are displayed to a user in a graphical format that expresses the profit or loss trends intuitively before additional analysis of charts or numbers. The system may also perform the analysis for pairs of accounts where trades opposite to one another of the pair are unusually consistently profitable or unusually consistently lossy. | 05-15-2014 |
20140129416 | CROSS MARGINING OF TRI-PARTY REPO TRANSACTIONS - A computer implemented method for determining a margin requirement for a market participant includes maintaining, by a processor associated with an exchange, an exchange account reflecting an exchange position resulting from a trade executed on the exchange for a product available via the exchange, the exchange account being maintained separately from a custodian bank account associated with a custodian bank, the custodian bank account reflecting a repo position resulting from a repo transaction facilitated by the custodian bank between the market participant and a counterparty to the repo transaction. The method further includes receiving data reflective of the repo position via a communication interface between the exchange account and the custodian bank account, and determining the margin requirement for the market participant based on the received data and the exchange position. | 05-08-2014 |
20140129414 | Order Risk Management for Derivative Products - Systems and methods are provided for processing derivative product orders at an exchange. Traders provide derivative product order risk data to the exchange. The order risk data may include maximum delta, gamma and/or vega utilization values for derivative product contracts based on the same underlying product. Before executing a trade, a match system analyzes the trader's current utilization state and the utilization that would result after the trade. The match system may then execute all or a portion of the trade. | 05-08-2014 |
20140095375 | Trade Matching Platform with Variable Pricing Based on Clearing Relationships - The disclosure describes a regulated trading platform capable of communicating with a plurality of clearing houses. In particular, aspects of the disclosure relate to providing and/or calculating differentiated prices for the same or underlying financial product/instrument capable of being cleared at different clearing houses. The trading platform may allow anonymous counterparties in a multi-clearinghouse environment, and with full transparency and improved liquidity. The trading platform may also allow for non-anonymous counterparties in some situations. | 04-03-2014 |
20140089164 | TRADE ENGINE PROCESSING OF MASS QUOTE MESSAGES AND RESULTING PRODUCTION OF MARKET DATA - Systems and methods are provided for processing mass quote messages and generating market data. A mass quote message is received and individual orders are parsed and processed. Individual market data messages are stored in a market data message buffer. After all orders are processed, the contents of the market data message buffer is distributed as a single market data message. | 03-27-2014 |
20140081831 | Systems and Methods for Using Declining Balance Methodologies to Enhance Clearing of Dividend Futures and Other Instruments - Systems and method are disclosed for quoting, adjusting and settling futures contracts by successively removing the just-realized variables from the quoted futures price to focus the quoted contract value to the remaining unrealized economic variables. Further, such systems and method for quoting, adjusting and settling the futures contracts preserve the underlying economic consideration for the trade when compared with the traditional way of quoting futures based on the same cumulative sum. | 03-20-2014 |
20140081826 | Smart Trade Template Based Matching - Systems and methods for matching orders are provided. One or more trade templates are created. The trade templates define groups of orders for financial instruments that may be combined such that all of the orders are matched. A collection of tradable price levels is also created for each template. New orders and resting orders are analyzed using one or more trade templates and tradable price levels to determine whether a combination of orders satisfies all of the elements of a trade template with a required price level. When all of the elements of a trade template are satisfied and an order with a tradable price level is received, the corresponding orders may be matched contemporaneously. | 03-20-2014 |
20140081819 | Processing Fixed Unit Financial Instruments - Systems and methods are provided for processing fixed unit futures contracts. The initial notional value of a fixed unit futures contract is set to a round number. As the value changes over time, gains and losses are settled and the value of the fixed unit futures contract is returned to the notional value. The value of the fixed unit futures contract may begin each trading session at the notional value. | 03-20-2014 |
20140074686 | METHOD AND SYSTEM FOR GENERATING AND TRADING COMPOSITE CONTRACTS - The disclosed embodiments provide a system and method for automatically generating a composite contract characterized by at least one parameter. A first subset of eligible component contracts is identified from a set of available component contracts wherein each of the available component contracts is characterized by at least one attribute. A second subset of component contracts is then selected from the first subset to generate the composite contract. | 03-13-2014 |
20140067721 | SCANNING BASED SPREADS USING A HEDGE RATIO NON-LINEAR OPTIMIZATION MODEL - The disclosed embodiments utilize hedge ratios to determine the optimal hedge ratio and associated scanning spread. This tells traders what ratios of the quantities of products they should have in their portfolio in order to maintain the status of the portfolios as delta neutral, i.e. be delta hedged, and receive optimal margin credits therefore. | 03-06-2014 |
20140067711 | Liquidity Charge Determination - A liquidity charge may be determined and added to a performance bond value for a portfolio. The resulting sum may then represent an augmented performance bond value that compensates for expected liquidation cost associated with the portfolio. Liquidation charge data may be stored for each of multiple portfolio types. For each of those portfolio types, the stored data may define possible input values for a pre-augmentation performance bond and liquidity charges based on any of the possible input values. That data may then be used to determine a liquidity charge based on the pre-augmentation performance bond value. | 03-06-2014 |
20140058918 | STANDARDIZATION AND MANAGEMENT OF OVER-THE-COUNTER FINANCIAL INSTRUMENTS - A method of managing financial products is disclosed. The method includes receiving transaction parameters associated with a financial transaction, determining a standardized financial product, wherein the standardized financial transaction reflects the transaction parameters associated with the financial position, calculating a net present value position between the financial position and the standardized financial product, and clearing the net present value position through a clearing party. | 02-27-2014 |
20140052597 | DETERMINATION OF BANDING START PRICE FOR ORDER EVALUATION - A banding start price may be generated using one of multiple subroutines. Each of the subroutines may generate a banding start price using a different algorithm and may have different input data criteria. Each of those subroutines may be ranked based expected accuracy of a price output by the subroutine. The banding start price may be generated by the highest ranking subroutine for which there is input data satisfying relevant criteria. | 02-20-2014 |
20140040101 | REAL TIME TRADING - A computer based system for executing transactions involving financial instruments, comprising a central host computer system, and a network of client computer systems including browser-based software which is adapted to present different interfaces to different trading parties, and also adapted to enable the different parties to set permission filters which control the presentation of information relating to their own trading, to other parties. | 02-06-2014 |
20140040062 | Message Processing - Systems and methods are provided for scoring the use of financial market messages. Uses of messages that are efficient and/or improve market liquidity receive positive scores. Traders are charge fees or receive rewards that are dependent upon message quality scores. | 02-06-2014 |
20140032390 | System and Method for Asymmetric Offsets in a Risk Management System - A system and method for using asymmetrical offsets for products in a risk management analysis system are disclosed. Conventional systems assign symmetrical offsets for products, that is, if two products have an 80% correlation they each would be assigned an offset of 80% with respect to each other. However, it is desirable to allow for asymmetrical offsets. In the disclosed system and method, when two products have a correlation of 80%, one may be assigned an offset of 75% and the other may be assigned an offset of 80%. There are many reasons to vary the offset between the products. The varying offset may reflect an asymmetry in the risk in one of the products, such as being traded in an illiquid market or in a less desirable venue. The varying offset may correct for an imbalance in spread credits due to special charges from intra spreading. | 01-30-2014 |
20140032388 | Transformation of a Multi-Leg Security Definition for Calculation of Implied Orders in an Electronic Trading System - An electronic trading system utilizes a Match Engine that receives orders, stores them internally, calculates tradable combinations and advertises the availability of real and implied orders in the form of market data. New tradable items defined as combinations of other tradable items may be included in the calculation of tradable combinations. A technique is disclosed for transforming a combination or strategy contract with an arbitrary number of buy and sell legs with an arbitrary volume ratio for each leg into a form that can be used for rapid implied order calculations. | 01-30-2014 |
20140025559 | Credit Default Swap Post Credit Event - Methods, systems and apparatuses are described for determining that a credit event has occurred for an entity; determining an upfront price and a bond price for a credit default swap deliverable (CDSD) contract associated with the entity; determining a first weighting for the upfront price and a second weighting for the bond price; and calculating a settlement price for the CDSD contract that is a function of the first weighting, the second weighting, the upfront price, and the bond price. | 01-23-2014 |
20140019329 | Distribution of Market Data - Systems and methods are provided for communicating and processing market data. The market data may comprise quotes, orders, trades and/or statistics. A messaging structure allows for adding, re-ordering and/or expanding data, within the printable character set of any language. One or more delimiters are defined and used to delimit data elements within the message structure. The data is interpreted based on templates which may be disseminated prior to the sending of messages and used as an abstraction so that the meaning of data need not be conveyed in the message. | 01-16-2014 |
20140019324 | Delivery System for Futures Contracts - Systems and methods are provided for processing and settling futures contracts that have multiple settlement provisions. A single futures contract may include both a physical delivery settlement provision and a cash settlement provision. Cash settlement provisions may involve inconvertible currencies. | 01-16-2014 |
20140006252 | Delta Neutral Futures Allocation | 01-02-2014 |
20140006250 | DERIVATIVES TRADING METHODS THAT USE A VARIABLE ORDER PRICE AND A HEDGE TRANSACTION | 01-02-2014 |
20130346279 | Weather Derivative Volatility Surface Estimation - Systems and methods are provided for determining the volatility of weather derivative option contracts. Volatility levels are initially determined with conventional methods. Unreliable volatility levels are then replaced with futures contracts volatility levels. If the futures contracts volatility levels are not available or appear unreliable, meteorological volatility levels are utilized. The data may be reduced to a three dimensional surface and used when determining margin account requirements. | 12-26-2013 |
20130332392 | System and Method of Margining Fixed Payoff Products - A system and method is disclosed for determining performance bonds for fixed payoff products, i.e. contracts which payoff a fixed amount based on the outcome of an underlying event regardless of the value thereof. The worst outcome of the overall portfolio, which may contain more multiple instruments, is calculated, allowing the portfolio to have both long and short positions on the same underlying event and offsets among instruments within the portfolio. A universe of outcomes is constructed including single events with single outcomes, and the probability thereof, and single events with multiple outcomes, each with a probability thereof. Each outcome has an associated price and probability. Low probability events will have low values, resulting in a lower margin requirement. The margin requirement is then the amount of the maximum loss that the portfolio can sustain for any possible outcome of the underlying event, adjusted for the probability thereof. | 12-12-2013 |
20130332332 | SYSTEM AND METHOD FOR SETTLING TRADES - A method of settling trades includes the steps of obtaining an authenticated delivery instrument, wherein the authenticated delivery instrument is authenticated by a first exchange and may be used to settle a trade undertaken on the first exchange. An electronic proxy is issued for the delivery instrument, wherein the electronic proxy may be exchanged for the authenticated delivery instrument and where the electronic proxy is used to settle a trade undertaken on a second exchange. | 12-12-2013 |
20130317971 | LISTING AND EXPIRING CASH SETTLED ON-THE-RUN TREASURY FUTURES CONTRACTS - The disclosed embodiments relate to determining a listing date, an expiration date and the cash settlement price of a futures contract, i.e. a Treasury Futures, for the delivery of the most recently issued, referred to as an on-the-run, US treasury Note of a particular maturity by reference to the U.S. Treasury Auction cycle and the difference between a resultant industry surveyed swap rate and a resultant industry surveyed swap spread of the respective tenors (time remaining until maturity) of the on-the-run treasury futures. | 11-28-2013 |
20130297534 | SYSTEM AND METHOD FOR MULTI-FACTOR MODELING, ANALYSIS AND MARGINING OF CREDIT DEFAULT SWAPS FOR RISK OFFSET - A system and method for determining a margin requirement associated with a plurality of financial instruments within a portfolio is disclosed. The system and method include receiving a plurality of data associated with the plurality of financial instruments within the portfolio, determining a systematic risk margin based on at least a portion of the received plurality of data, determining a curve risk margin based on at least a second portion of the received plurality of data, determining a convergence and divergence risk margin based on at least a third portion of the received plurality of data, determining a sector risk margin based on at least a fourth portion of the received plurality of data, determining an idiosyncratic risk margin based on at least a fifth portion of the received plurality of data, determining a liquidity risk margin based on at least a sixth portion of the received plurality of data, determining a basis risk margin based on at least a seventh portion of the received plurality of data, and calculating a multi-factor risk margin based on one more of the determined risk factors. | 11-07-2013 |
20130262338 | System and Method for Determining the Market Risk Margin Requirements Associated with a Credit Default Swap - A system and computer-implemented method for determining a margin requirement associated with a plurality of financial instruments within a portfolio is disclosed. The system and method implement steps and procedures for analyzing the portfolio including the plurality of financial instruments where analyzing further includes determining a first time-series of returns for the plurality of financial instruments, determining a second time-series of returns for the plurality of financial instruments where the second time-series occurs after the first time-series, and calculating the correlation between the first time-series of returns and the second time-series of returns. The system and method implement further steps and procedures for calculating residuals and volatilities for the plurality of financial instruments within the portfolio. | 10-03-2013 |
20130262288 | Publish and Subscribe System Including Buffer - Systems and methods for delivering a plurality of trading data messages to a server in connection with the monitoring the trading of financial instruments are provided. A listener subscribes to a subset of the plurality of trading data messages generated by market participants or components within the trading platform. A buffer receives the subset of the plurality of trading data messages and stores the subset of the plurality of trading data messages. A server, such as a live alerts server, receives the subset of the plurality of trading data messages stored from the buffer and analyzes the subset of the plurality of trading data. | 10-03-2013 |
20130246250 | SYSTEM AND METHOD FOR ACTIVITY BASED MARGINING - A system and method for factoring in a trader's trading activity into the margin requirements is disclosed. In the securities arena, day traders are assessed different margins than non-day-traders, however, the specific profile of the trader is analyzed (that is, the same rule applies to all day traders). | 09-19-2013 |
20130246247 | Hedging Risks Associated with Variable Priced Orders for Derivative Financial Products - Systems and methods are provided for executing a hedge transaction in connection with the execution of a derivative product order in which the price of the derivative product is defined by one or more variables. The hedge transaction may be executed at an exchange or match engine that is different from the exchange or match engine executing the derivative product order. The execution of derivative product transaction may be contingent on the existence of an appropriate hedge transaction. Alternatively, a best efforts approach may be used to fill the hedge transaction order after executing the derivative product transaction. | 09-19-2013 |
20130246244 | Derivative Products - Systems and methods are described for processing and clearing derivatives products with a binary outcome and having a final settlement based on a triggering event. A computer system configured to process and clear derivative products can accept initial and adjusted performance bonds from buyers and sellers, and adjust the market price of the derivative product at intervals. The market price may be adjusted on a mark-to-market basis and through analysis of other information, e.g., the credit rating of a reference entity. As a result of price adjustments, cash flow may be generated between buyers and sellers. The derivative product may pay a predetermined final settlement amount or percentage upon the triggering of a predetermined event. However, upon expiration of the derivative product, the derivative's market price is settled to zero and the agreement is terminated. | 09-19-2013 |
20130238526 | PERIODIC RESET TOTAL RETURN INDEX FUTURES CONTRACTS - A periodic reset total return index may be based on a standard index, such as an equity index. The value of the periodic reset total return index may be the sum of the standard index plus the income flow generated by the index, such as dividends generated by stocks. The periodic reset total return index valuation may be deployed as the basis for a futures contract. On a periodic basis, the income flow accrued for the preceding period are passed from the short to the long position holder, with a corresponding adjustment of the settlement price of the contract. The expiration of the contract may be settled at the sum of the underlying index quotation plus the income flow accrual for the previous period. A buyer of a futures contract based on a periodic reset total return index receives the performance of the index plus the intervening income flow accrual. | 09-12-2013 |
20130232052 | PERIODIC RESET TOTAL RETURN INDEX FUTURES CONTRACTS - A periodic reset total return index may be based on a standard index, such as an equity index. The value of the periodic reset total return index may be the sum of the standard index plus the income flow generated by the index, such as dividends generated by stocks. The periodic reset total return index valuation may be deployed as the basis for a futures contract. On a periodic basis, the income flow accrued for the preceding period are passed from the short to the long position holder, with a corresponding adjustment of the settlement price of the contract. The expiration of the contract may be settled at the sum of the underlying index quotation plus the income flow accrual for the previous period. A buyer of a futures contract based on a periodic reset total return index receives the performance of the index plus the intervening income flow accrual. | 09-05-2013 |
20130226827 | Enhanced Clearing House Collateral Management System with Capabilities to Transfer Excess Collateral to Other Users - Systems and methods are disclosed involving central clearing of forward contracts and/or other financial instruments. In particular, systems and methods for, among other things, transferring excess collateral between clearing members of a clearing house are disclosed. In some examples, systems and methods for efficient transfer of excess forward position collateral between the clearing members of a clearing house is disclosed. In some examples, the transferring may occur in the form of a sale and repurchase transaction (e.g., a “repo” transaction). | 08-29-2013 |
20130226806 | Utilizing a Trigger Order with Multiple Counterparties in Implied Market Trading - An electronic trading system utilizes a Match Engine that receives orders, stores them internally, calculates tradable combinations and advertises the availability of real and implied orders in the form of market data. Calculating tradable combinations or cycles for certain strategies becomes complex. Strategies that utilize legs having different volume ratios may form tradable combinations that will traverse a trigger order more than one time. | 08-29-2013 |
20130226775 | Processing Binary Options in Future Exchange Clearing - Systems and methods are disclosed for processing binary options (also referred to as digital options) in existing clearing systems, such as futures clearing systems. The binary option is treated, or processed, similar to standard options on a non-tradeable cash-settled underlying futures contract. A hypothetical instrument, referred to as a book instrument is created to facilitate clearing of the binary option. The book instrument has an expiration date after the expiration of the binary option, such as the day after the expiration of the binary option. For each binary option that expires in the money, a transaction is created for the book instrument future. The underlying book future has an assigned price that is a fixed amount less that the final price for the underlying statistical or actual value of the binary option at expiration. Transactions are loaded in the clearing system and processed and all positions are liquidated. | 08-29-2013 |
20130226762 | TRANSFORMATION OF A MULTI-LEG SECURITY DEFINITION FOR CALCULATION OF IMPLIED ORDERS IN AN ELECTRONIC TRADING SYSTEM - An electronic trading system utilizes a Match Engine that receives orders, stores them internally, calculates tradable combinations and advertises the availability of real and implied orders in the form of market data. New tradable items defined as combinations of other tradable items may be included in the calculation of tradable combinations. A technique is disclosed for transforming a combination or strategy contract with an arbitrary number of buy and sell legs with an arbitrary volume ratio for each leg into a form that can be used for rapid implied order calculations. | 08-29-2013 |
20130218809 | PROSPECTIVE CURRENCY UNITS - Methods and systems for calculating values for indexes based on breakout currencies are provided. A prospective breakout index may be formed before an entity breaks out of a monetary union. Other aspects relate to calculating an initial index value on a breakout date. An initial exchange rate of the breakout currency may be combined with a breakout value and/or a base value. In one embodiment, the breakout value is the reciprocal of the initial exchange rate. Therefore, in accordance with certain embodiments, the initial index value of the breakout index may be equal to the base value. Further aspects relate to calculating a second index value. A second exchange rate of the breakout currency may be utilized with the fixed base value and the breakout value to calculate the second index value of the breakout index. Further aspects relate to creating a prospective currency unit for a monetary union. | 08-22-2013 |
20130218746 | Out of Band Credit Control - Systems and method for mediating risks associated with orders in an electronic trading system are provided. A front end component includes a plurality of trading engines that receive orders from traders. A back-end component includes a match system. The system includes a credit control module, which may be located at the back-end (e.g., clearinghouse), front end, a combination thereof, or other location that communicates with the plurality of trading engines. The credit control may monitor aggregate risk parameters for the trading engines and requests credits from trading engines. | 08-22-2013 |
20130212423 | Match Server for a Financial Exchange Having Fault Tolerant Operation - Fault tolerant operation is disclosed for a primary match server of a financial exchange using an active copy-cat instance, a.k.a. backup match server, that mirrors operations in the primary match server, but only after those operations have successfully completed in the primary match server. Fault tolerant logic monitors inputs and outputs of the primary match server and gates those inputs to the backup match server once a given input has been processed. The outputs of the backup match server are then compared with the outputs of the primary match server to ensure correct operation. The disclosed embodiments further relate to fault tolerant failover mechanism allowing the backup match server to take over for the primary match server in a fault situation wherein the primary and backup match servers are loosely coupled, i.e. they need not be aware that they are operating in a fault tolerant environment. | 08-15-2013 |
20130211996 | SYSTEM AND METHOD FOR IMPLEMENTING AND MANAGING BUNDLED OPTION BOX FUTURES - A system and method of providing a collateralized loan utilizing a clearing counterparty is disclosed. The system includes a match engine module to receive an order for a bundled box spread future representative of the collateralized loan via an options box spread. The order specifies an interest rate associated with the collateralized loan as the price of the futures contract. A trade database identifies a bundled box spread future associated with the received order and interest rate and an order book module identifies a standing order that is compatible with the received order. A clearing module credits an account with a loan amount based on the identified bundled option box future. A risk management module credits a margin amount to reflect the collateralized loan and associated collateral assets. | 08-15-2013 |
20130204770 | Derivative Products - Methods, systems and apparatuses are described for processing and clearing derivatives products with a digital outcome and a plurality of constituents. A computer system configured to process and clear derivative products can accept initial and adjusted performance bonds from buyers and sellers, and adjust the market price of the derivative product at intervals. The market price may be adjusted on a mark-to-market basis and through analysis of other information, e.g., a change in credit rating of reference entities of the derivative product. As a result of price adjustments, cash flow may be generated between buyers and sellers (e.g., credit and debit to accounts). The derivative product may pay a percentage of a predetermined final settlement amount upon the triggering of a predetermined event in each of the constituents of the derivative product. However, upon expiration of the derivative product, the derivative's market price is settled to zero and the agreement is terminated. | 08-08-2013 |
20130204769 | Trade Matching Platform with Variable Pricing Based on Clearing Relationships - Systems and methods are described relating to swap execution facilities (SEFs), such as additional new order/spread types for use with SEFs and clearing houses (CHs). Some new order/spread types include covered calls based on clearing house (CH); peg orders based on CH; stop orders with option to get out or specify CH; UDS with or without with designation for specific CH or generic; flex with or without; cancel all within a CH or aggregated or risk based; FX Spot and TomNext™ and related spreads; energy natural hedges; intercommodity spreads; stop button by CH, exchange, or both; and other types of orders that may be modified to incorporate a CCP attribute. | 08-08-2013 |
20130198054 | Trade Matching Platform with Variable Pricing Based on Clearing Relationships - The disclosure describes systems and methods for using enhanced RFQs and incoming enhanced orders to assist in detecting implied orders using an implied spread determination module. In one example, a system includes a processor and memory storing a search list and computer-executable instructions, where the instructions determine whether the financial instrument associated with an eRFQ or new enhanced order is on the search list, and then determine if an implied order exists in combination with that financial instrument and CCP attribute designations. In some embodiments, a timer may be used to track a predetermined amount of time to spend towards determining if implied orders exist for a particular financial instrument at particular clearing houses. | 08-01-2013 |
20130185183 | Order Risk Management for Derivative Products - Systems and methods are provided for processing derivative product orders at an exchange. Traders provide derivative product order risk data to the exchange. The order risk data may include maximum delta, gamma and/or vega utilization values for derivative product contracts based on the same underlying product. Before executing a trade, a match system analyzes the trader's current utilization state and the utilization that would result after the trade. The match system may then execute all or a portion of the trade. | 07-18-2013 |
20130166474 | PRICING CASH SETTLED ON-THE-RUN TREASURY FUTURES CONTRACTS - The disclosed embodiments relate to determining a listing date, an expiration date and the cash settlement price of a futures contract, i.e. a Treasury Futures, for the delivery of the most recently issued, referred to as an on-the-run, US treasury Note of a particular maturity by reference to the U.S. Treasury Auction cycle and the difference between a resultant industry surveyed swap rate and a resultant industry surveyed swap spread of the respective tenors (time remaining until maturity) of the on-the-run treasury futures. | 06-27-2013 |
20130159216 | System and Method for Using Diversification Spreading for Risk Offset - A computer-implemented method for analyzing a risk offset associated with a portfolio including a plurality of products traded on an exchange is disclosed. The method includes comparing a first market response of a first product in the portfolio with a second market response of a second product in the portfolio where the first and second market responses result from a change in market data, calculating an offsetting effect between the first market response and the second market response where the first and second market responses are substantially different responses to the same change in the market data, determining a diversification spread based on the offsetting effect derived between the first product and the second product, calculating a diversification spread credit based on the determined diversification spread, and adjusting a margin requirement for the portfolio based on the diversification spread credit. | 06-20-2013 |
20130144775 | System and Method for a Request for Cross in a Trade Matching Engine - Systems and methods are provided to fulfill customer trading orders in an illiquid two sided market. Request for cross functionality may be implemented in a trading environment using a trading engine for the matching of trades involving financial instruments. Request for cross functionally integrates the benefits of a dual bid-ask continuous trading market model with the price and quantity trade matching systems and methods. | 06-06-2013 |
20130124390 | Order Risk Management for Financial Product Processing - Systems and methods are provided for processing derivative product orders at an exchange. Traders provide derivative product order risk data to the exchange. The order risk data may include maximum delta, gamma and/or vega utilization values for derivative product contracts based on the same underlying product. Before executing a trade, a match system analyzes the trader's current utilization state and the utilization that would result after the trade. The match system may then execute all or a portion of the trade. | 05-16-2013 |
20130124389 | System and Method for Settling Trades - A method of settling trades includes the steps of obtaining an authenticated delivery instrument, wherein the authenticated delivery instrument is authenticated by a first exchange and may be used to settle a trade undertaken on the first exchange. An electronic proxy is issued for the delivery instrument, wherein the electronic proxy may be exchanged for the authenticated delivery instrument and where the electronic proxy is used to settle a trade undertaken on a second exchange. | 05-16-2013 |
20130124388 | Derivatives Trading Methods That Use a Variable Order Price and a Hedge Transaction - Systems and methods are provided for executing a hedge transaction in connection with the execution of a derivative product order in which the price of the derivative product is defined by one or more variables. The hedge transaction may be executed at an exchange or match engine that is different from the exchange or match engine executing the derivative product order. The execution of derivative product transaction may be contingent on the existence of an appropriate hedge transaction. Alternatively, a best efforts approach may be used to fill the hedge transaction order after executing the derivative product transaction. | 05-16-2013 |
20130124383 | TBA Futures Contracts and Central Counterparty Clearing of TBA - Networks, systems and methods that match orders for TBA futures and settle and clear open positions for TBA futures are disclosed. The TBA futures may include MBS TBA future contracts. A central counterparty clearing firm may net long and short positions and generate delivery instructions to parties having open positions. | 05-16-2013 |
20130124380 | Template Based Matching - Systems and methods for matching orders are provided. One or more trade templates are created. The trade templates define groups of orders for financial instruments that may be combined such that all of the orders are matched. New orders and resting orders are analyzed using one or more trade templates to determine whether a combination of orders satisfies all of the elements of a trade template. When all of the elements of a trade template are satisfied, the corresponding orders may be matched contemporaneously. | 05-16-2013 |
20130117197 | Determination of a Size of a Credit Default Swap Guaranty Fund - A system for determining an amount of a guaranty fund to cover mutual systemic risk of loss among a plurality of entities trading credit default swap (“CDS”) instruments using a central counterparty, such as the CME, is disclosed. The disclosed embodiments relate to a system and method for calculating a value, i.e. the size or magnitude, such as in dollars, of a CDS guaranty fund, such as more optimal size thereof, e.g. a size more reflective of the true risk, or each member's contribution thereto, thereby reducing or minimizing the burden on participants while adequately ensuring that risks are covered. The disclosed embodiments utilize a generalized approach to avoid too many risk scenarios while still accounting for all relevant possible portfolio constructions. | 05-09-2013 |
20130117171 | Relational Order Pricing Data for Interdependent Exchange-Traded Contracts - Prices for instances of an exchange-traded contract type can be submitted using one or more of at least two types of order pricing data. Explicit order pricing data may specify a price for one or more contracts in a first manner, e.g., by explicitly stating a specific amount of currency. Relational order pricing data may provide information that permits determination of prices for contracts based on other data. | 05-09-2013 |
20130117169 | Zero Coupon Conversion Factor Calculation - The disclosed embodiments relate to a system which calculates a conversion factor (CF) based upon a zero percent (0%) futures contract standard. The zero percent futures contract standard may be used in the context of futures or forwards based upon coupon bearing debt securities including Treasuries, Treasury Inflation Protected Securities (TIPS), agencies, corporates, municipals, or any fixed income security. The system also facilitates listing, trading, and settlement of an interest rate futures contract that sets forth such a zero percent futures contract standard. The system may be configured for both interest rate futures contracts utilizing a nonzero percent futures contract standard and interest rate futures contract utilizing a zero percent futures contract standard. The system may be configured to calculate an invoice amount for the interest rate futures contract to be paid in exchange for the delivery of the one of the set of eligible interest rate or debt securities and instruments. | 05-09-2013 |
20130110693 | Market Data Recovery | 05-02-2013 |
20130110691 | Futures Contracts Spread Packages | 05-02-2013 |
20130103566 | Out of Band Credit Control - Systems and method for mediating risks associated with orders in an electronic trading system are provided. A front end component includes a plurality of trading engines that receive orders from traders. A back-end component includes a match system. The system includes a credit control module, which may be located at the back-end (e.g., clearinghouse), front end, a combination thereof, or other location that communicates with the plurality of trading engines. The credit control may monitor aggregate risk parameters for the trading engines and requests credits from trading engines. | 04-25-2013 |
20130080533 | Distribution of Market Data - Systems and methods are provided for communicating and processing market data. The market data may comprise quotes, orders, trades and/or statistics. A messaging structure allows for adding, re-ordering and/or expanding data, within the printable character set of any language. One or more delimiters are defined and used to delimit data elements within the message structure. The data is interpreted based on templates which may be disseminated prior to the sending of messages and used as an abstraction so that the meaning of data need not be conveyed in the message. | 03-28-2013 |
20130080355 | System and Method of Margining Fixed Payoff Products - A system and method is disclosed for determining performance bonds for fixed payoff products, i.e. contracts which payoff a fixed amount based on the outcome of an underlying event regardless of the value thereof. The worst outcome of the overall portfolio, which may contain more multiple instruments, is calculated, allowing the portfolio to have both long and short positions on the same underlying event and offsets among instruments within the portfolio. A universe of outcomes is constructed including single events with single outcomes, and the probability thereof, and single events with multiple outcomes, each with a probability thereof. Each outcome has an associated price and probability. Low probability events will have low values, resulting in a lower margin requirement. The margin requirement is then the amount of the maximum loss that the portfolio can sustain for any possible outcome of the underlying event, adjusted for the probability thereof. | 03-28-2013 |
20130066806 | SYSTEM AND METHOD FOR DETERMINING THE MARKET RISK MARGIN REQUIREMENTS ASSOCIATED WITH A CREDIT DEFAULT SWAP - A system and computer-implemented method for determining a margin requirement associated with a plurality of financial instruments within a portfolio is disclosed. The system and method implement steps and procedures for analyzing the portfolio including the plurality of financial instruments where analyzing further includes determining a first time-series of returns for the plurality of financial instruments, determining a second time-series of returns for the plurality of financial instruments where the second time-series occurs after the first time-series, and calculating the correlation between the first time-series of returns and the second time-series of returns. The system and method implement further steps and procedures for calculating residuals and volatilities for the plurality of financial instruments within the portfolio as a function of the first time-series of returns, calculating a correlation matrix and degrees-of-freedom utilized to simulate standardized residuals for each of the plurality of financial instruments within the portfolio, generating simulated returns as a function of the simulated standardized residuals and the returns, generating a spread distribution for the portfolio, wherein the portfolio is repriced as a function of the simulated returns, and calculating a margin risk based on a risk percentile associated with the spread distribution. | 03-14-2013 |
20130041804 | System and Method for Activity Based Margining - A system and method for factoring in a trader's trading activity into the margin requirements is disclosed. In the securities arena, day traders are assessed different margins than non-day-traders, however, the specific profile of the trader is analyzed (that is, the same rule applies to all day traders). | 02-14-2013 |
20130041802 | Derivative Products - Systems and methods are described for processing and clearing derivatives products with a binary outcome and having a final settlement based on a triggering event. A computer system configured to process and clear derivative products can accept initial and adjusted performance bonds from buyers and sellers, and adjust the market price of the derivative product at intervals. The market price may be adjusted on a mark-to-market basis and through analysis of other information, e.g., the credit rating of a reference entity. As a result of price adjustments, cash flow may be generated between buyers and sellers. The derivative product may pay a predetermined final settlement amount or percentage upon the triggering of a predetermined event. However, upon expiration of the derivative product, the derivative's market price is settled to zero and the agreement is terminated. | 02-14-2013 |
20130031027 | Weather Derivative Volatility Surface Estimation - Systems and methods are provided for determining the volatility of weather derivative option contracts. Volatility levels are initially determined with conventional methods. Unreliable volatility levels are then replaced with futures contracts volatility levels. If the futures contracts volatility levels are not available or appear unreliable, meteorological volatility levels are utilized. The data may be reduced to a three dimensional surface and used when determining margin account requirements. | 01-31-2013 |
20130031020 | MARGIN AS CREDIT ENHANCEMENT CONTRACTS - Systems and methods are provided for implementing risk retention programs for originators and securitizers of asset backed securities. An administrative contract identified as a margin as credit enhancement contract is created for a corresponding asset backed security. A risk retention entity is assigned a long position for the margin as credit enhancement contract corresponding to a predetermined percentage of the asset backed security. A buyer of the asset backed security is assigned a short position for the margin as credit enhancement contract. When the asset backed security expires, a computer device settles the long and short positions of the margin as credit enhancement contract. | 01-31-2013 |
20130030980 | Method and System for Providing Option Spread Indicative Quotes - A computer network and method for electronically trading combinations of derivatives. One preferred method of trading includes providing quotes information to a central server, and determining indicative quotes for combination trades, and providing the non-binding, indicative quotes to market participants (which typically includes subscribers, but may also include market makers). A participant may then submit an e-RFQ, which is a request for a binding quote for the combination of derivatives. Market Makers may then elect to submit a binding quote for the corresponding derivative combination. Market participants may then elect to enter a binding order. | 01-31-2013 |
20130024347 | Multi-Laterally Traded Contract Settlement Mode Modification - Stored data may define a multilaterally-traded contract type and specify final settlement of contracts conforming to the contract type by delivery of a defined quantity of a commodity. Additional data may be received, which additional data may indicate potential invocation of an alternate cash settlement mode for a plurality of contracts. Each contract of the plurality may be a contract conforming to the contract type. Further data may be received, with the further data indicating the alternate cash settlement mode is invoked for a group of contracts. The group may be all of the contracts of the plurality or a sub-portion of the plurality. Data may be transmitted to indicate cash final settlement of each contract of the group by payment of a cash settlement value instead of by delivery of the defined quantity of the commodity. | 01-24-2013 |
20130024346 | Modification of Multi-Laterally Traded Contracts Based on Currency Unavailability Condition - A type of multi-laterally traded contract may designate a primary currency and a secondary currency. The primary currency may be used for settlement and/or other payment obligations in connection with instances of the contract type. Under certain conditions, however, authorization may be given for settlement and/or payment of at least some obligations using an equivalent amount of the secondary currency. | 01-24-2013 |
20130024345 | Interest Accrual Provisions For Multi-Laterally Traded Contracts - In the context of multi-laterally traded contracts, a method may be invoked in the event that payments denominated in a particular currency that are required in satisfaction of the contractual obligations of the contract cannot be made. Payments may be deferred for a specified number of business days or until such time as commercially practicable. Unpaid payments due may accrue interest and/or penalties at rates as determined by a governing body. | 01-24-2013 |
20130024344 | BIFURCATED COMMODITY IDENTIFIERS - Novel systems and methods for selectively listing a commodity under one or more different commodity codes are provided. A single commodity may be selectively listed under different commodity codes based upon whether it is offered on an opening or closing basis. The commodity may be an Interest Rate Swap (IRS). It may be matched with bids according to a fixed rate variable when listed under the first code. The same commodity may then be listed on the same exchange under a second commodity code. In one embodiment, the commodity listed under the second commodity code may be matched with bids according to a different variable, such as, for example, a currency amount. In one implementation, the currency amount of the second variable may represent a non-par payment. | 01-24-2013 |
20130024340 | Alternate Currency Derivatives - An alternate currency futures contract or other type of derivative can be denominated in a primary currency. Margin account adjustments for mark-to-market (MTM) settlements, final settlements, and/or other cash flows associated with the contract can initially be calculated based on the primary currency, and then be converted to an alternate, secondary currency. This conversion can occur unconditionally and without requiring a prior unavailability determination. | 01-24-2013 |
20130013485 | EVALUATION AND ADJUSTMENT OF SETTLEMENT VALUE CURVES - Disclosed is a method that is useful in connection with providing discount factors for an exchange-traded mark-to-market derivative product that has a variable tick rate, such as an interest rate swap product. In some embodiments, the method includes providing a series of consecutive settlement values, which collectively represent a settlement value curve for the derivative product. The curve is evaluated by determining, for each consecutive pair of settlement values, whether the difference between the first settlement value in the pair and the second settlement value in the pair exceeds a threshold. The threshold represents the value at which a discount factor derived from said pair of settlement values, in conjunction with other parameters, would be negative. In other embodiments the disclosed invention encompasses an apparatus and a computer-readable medium. | 01-10-2013 |
20130006830 | Leg Pricer - An electronic trading system utilizes a Match Engine that receives orders, stores them internally, calculates tradable combinations and advertises the availability of real and implied orders in the form of market data. The tradable combinations may include spread orders where one leg of the spread has a different tick size than the other or where the tick of the spread contract is different from the tick size in one or both legs. A method and system for calculating on-tick leg prices in an equitable and predictable manner is provided. | 01-03-2013 |
20120330814 | Live Alerts - Systems and methods for monitoring the trading of financial instruments are provided. Trading messages are received at a live alert server. The messages are analyzed with a set of predetermined limits and rules. When a predetermined limit or rule is violated, an email message is sent to a regulator or other trading entity. The email message may include a hyperlink that may be selected to generate a real-time report relating to the limit or rule. When hyperlink is selected, a query is sent to a query server where the real-time report is generated and transmitted back to the requesting party. | 12-27-2012 |
20120303510 | Derivative Products - Methods, systems and apparatuses are described for processing and clearing derivatives products with a digital outcome and a plurality of constituents. A computer system configured to process and clear derivative products can accept initial and adjusted performance bonds from buyers and sellers, and adjust the market price of the derivative product at intervals. The market price may be adjusted on a mark-to-market basis and through analysis of other information, e.g., a change in credit rating of reference entities of the derivative product. As a result of price adjustments, cash flow may be generated between buyers and sellers (e.g., credit and debit to accounts). The derivative product may pay a percentage of a predetermined final settlement amount upon the triggering of a predetermined event in each of the constituents of the derivative product. However, upon expiration of the derivative product, the derivative's market price is settled to zero and the agreement is terminated. | 11-29-2012 |
20120296850 | System and Method for Asymmetric Offsets in a Risk Management System - A system and method for using asymmetrical offsets for products in a risk management analysis system are disclosed. Conventional systems assign symmetrical offsets for products, that is, if two products have an 80% correlation they each would be assigned an offset of 80% with respect to each other. However, it is desirable to allow for asymmetrical offsets. In the disclosed system and method, when two products have a correlation of 80%, one may be assigned an offset of 75% and the other may be assigned an offset of 80%. There are many reasons to vary the offset between the products. The varying offset may reflect an asymmetry in the risk in one of the products, such as being traded in an illiquid market or in a less desirable venue. The varying offset may correct for an imbalance in spread credits due to special charges from intra spreading. | 11-22-2012 |
20120290463 | Processing Binary Options in Future Exchange Clearing - Systems and methods are disclosed for processing binary options (also referred to as digital options) in existing clearing systems, such as futures clearing systems. The binary option is treated, or processed, similar to standard options on a non-tradeable cash-settled underlying futures contract. A hypothetical instrument, referred to as a book instrument is created to facilitate clearing of the binary option. The book instrument has an expiration date after the expiration of the binary option, such as the day after the expiration of the binary option. For each binary option that expires in the money, a transaction is created for the book instrument future. The underlying book future has an assigned price that is a fixed amount less that the final price for the underlying statistical or actual value of the binary option at expiration. Transactions are loaded in the clearing system and processed and all positions are liquidated. | 11-15-2012 |
20120284169 | Foreign Currency Index - Systems and methods are provided for trading and calculating the composition of foreign currencies indexed financial instruments. The compositions of the financial instruments are determined by calculating a geometric average of the exchange rates of foreign currencies with corresponding competitive weights. The competitive weights for each of the foreign currencies reflects competition between the goods of the United States and a country corresponding to the foreign currency in the markets of third countries. | 11-08-2012 |
20120271749 | Publish and Subscribe System Including Buffer - Systems and methods for delivering a plurality of trading data messages to a server in connection with the monitoring the trading of financial instruments are provided. A listener subscribes to a subset of the plurality of trading data messages generated by market participants or components within the trading platform. A buffer receives the subset of the plurality of trading data messages and stores the subset of the plurality of trading data messages. A server, such as a live alerts server, receives the subset of the plurality of trading data messages stored from the buffer and analyzes the subset of the plurality of trading data. | 10-25-2012 |
20120265663 | Perpetual Futures Contracts With Periodic Reckonings - Systems and methods that provide for a perpetual futures/derivatives contract with periodic reckoning are disclosed. An embodiment may include a method of receiving a new perpetual contract and managing that contract through to its termination. The perpetual futures contract may comprise an option to terminate the contract at recurring predetermined intervals. The exchange may allow or prohibit exercise of the option based on particular parameters. | 10-18-2012 |
20120254062 | Index Based on Temporally Staggered Value Samples - Weights may be applied to temporally staggered value samples associated with a market item. Based on the weighted temporally staggered values, a value for an index is calculated. The calculated index value can then be output and used for any of a variety of purposes. | 10-04-2012 |
20120254012 | OUT OF BAND CREDIT CONTROL - Systems, apparatuses, methods, and computer readable media may be configured for informing a first node of a first fine precision algorithm for calculating a first credit utilization associated with a trading entity, and of whether to use a first coarse precision algorithm instead of the first fine precision algorithm as long as the first credit utilization remains below a first credit threshold, receiving first credit information data from the first node and second credit information data associated with the trading entity from a second node, and determining aggregate credit information data for the trading entity based on the first credit utilization data and the second credit utilization data. | 10-04-2012 |
20120254011 | OUT OF BAND CREDIT CONTROL - Systems, apparatuses, methods, and computer readable media may be configured for informing a first node of a first fine precision algorithm for calculating a first credit utilization associated with a trading entity, and of whether to use a first coarse precision algorithm instead of the first fine precision algorithm as long as the first credit utilization remains below a first credit threshold, receiving first credit information data from the first node and second credit information data associated with the trading entity from a second node, and determining aggregate credit information data for the trading entity based on the first credit utilization data and the second credit utilization data. | 10-04-2012 |
20120246096 | Clearing System That Determines Margin Requirements for Financial Portfolios - Methods, systems and apparatuses are described for calculating a performance bond amount for a portfolio including interest rate swaps. A risk calculation module (or risk processor) may assist in the calculation. In some examples, values, such as swap (DV01) dollar values and volatility values, and adjustments/factors, such as calendar charge adjustments and liquidity charge minimums, may be used to enhance the margin calculation. These values may be maintained and updated in various ways, including but not limited to, lookup tables, matrices, and other structures. The margin calculations may be used by an exchange or clearinghouse to request a portfolio holder to deposit additional funds towards a performance bond associated with the portfolio. | 09-27-2012 |
20120246056 | VALUATION OF DERIVATIVE PRODUCTS - Disclosed are a method, apparatus, and computer-readable medium for determining the value of a derivative product over nonconsecutive periods. The derivative product may be an interest rate swap product, which, when exchanged traded, normally is valued on a mark-to-market basis over consecutive periods. The product may be valued using swap value factors and settlement values according to the methodology disclosed herein. | 09-27-2012 |
20120239548 | Hedging Risks Associated with Variable Priced Orders for Derivative Financial Products - Systems and methods are provided for executing a hedge transaction in connection with the execution of a derivative product order in which the price of the derivative product is defined by one or more variables. The hedge transaction may be executed at an exchange or match engine that is different from the exchange or match engine executing the derivative product order. The execution of derivative product transaction may be contingent on the existence of an appropriate hedge transaction. Alternatively, a best efforts approach may be used to fill the hedge transaction order after executing the derivative product transaction. | 09-20-2012 |
20120221488 | Distribution of Market Data - Systems and methods are provided for communicating and processing market data. The market data may comprise quotes, orders, trades and/or statistics. A messaging structure allows for adding, re-ordering and/or expanding data, within the printable character set of any language. One or more delimiters are defined and used to delimit data elements within the message structure. The data is interpreted based on templates which may be disseminated prior to the sending of messages and used as an abstraction so that the meaning of data need not be conveyed in the message. | 08-30-2012 |
20120209642 | IDENTIFICATION OF TRADING ACTIVITIES OF ENTITIES ACTING IN CONCERT - Market participants that are ostensibly unrelated but acting in concert are identified using vector algebra. Position data for the market participants is collected using the large trader reporting system or through another method. The position data includes the position for a specific financial derivative for each of the market participants. Information derived from position data is used to populate a vector for each market participant. At least one pair of vectors is analyzed by calculating a parallel score indicative of an angle between the two vectors. The parallel score may be a cosine of the angle. The parallel score may be compared to a threshold parallel score to determine the likelihood that the pair of market participants are acting in concert. The threshold parallel score differs from market to market and may be determined by analyzing the distribution of parallel scores for the specific market. | 08-16-2012 |
20120197779 | Trade Matching Platform with Variable Pricing Based on Clearing Relationships - The disclosure describes a regulated trading platform capable of communicating with a plurality of clearing houses. In particular, aspects of the disclosure relate to submitting enhanced request for quotes (RFQs) to request quote data with differentiated prices quotes for the same or underlying financial product/instrument based on the different clearing houses at which it may be cleared. The trading platform may allow anonymous counterparties in a multi-clearinghouse environment, and with full transparency and improved liquidity. The trading platform may also allow for non-anonymous counterparties in some situations. | 08-02-2012 |
20120197776 | Trade Matching Platform with Variable Pricing Based on Clearing Relationships - The disclosure describes a regulated trading platform capable of communicating with a plurality of clearing houses. In particular, aspects of the disclosure relate to providing and/or calculating differentiated prices for the same or underlying financial product/instrument capable of being cleared at different clearing houses. The trading platform may allow anonymous counterparties in a multi-clearinghouse environment, and with full transparency and improved liquidity. The trading platform may also allow for non-anonymous counterparties in some situations. | 08-02-2012 |
20120151001 | Clearing Message Broker System - Systems and methods are provided for efficiently permitting the transmission and receipt of trading messages between message sources configured to use a variety of different protocols. Messaging gateways may be configured to reformat messages for proper transmission across a transport mechanism. Routers may be dynamically partitioned so that manual reconfiguration is not required when sources and/or routers are added or deleted. The routers may be configured to route messages based on content to limit the amount of formatting required at message sources. | 06-14-2012 |
20120136770 | Systems and Methods for Using Declining Balance Methodologies To Enhance Clearing of Dividend Futures and Other Instruments - Systems and method are disclosed for quoting, adjusting and settling futures contracts by successively removing the just-realized variables from the quoted futures price to focus the quoted contract value to the remaining unrealized economic variables. Further, such systems and method for quoting, adjusting and settling the futures contracts preserve the underlying economic consideration for the trade when compared with the traditional way of quoting futures based on the same cumulative sum. | 05-31-2012 |
20120116946 | Foreign Currency Index - Systems and methods are provided for trading and calculating the composition of foreign currencies indexed financial instruments. The compositions of the financial instruments are determined by calculating a geometric average of the exchange rates of foreign currencies with corresponding competitive weights. The competitive weights for each of the foreign currencies reflects competition between the goods of the United States and a country corresponding to the foreign currency in the markets of third countries. | 05-10-2012 |
20120101958 | BREAKOUT INDEXES - Methods and systems for calculating values for indexes based on breakout currencies are provided. A prospective breakout index may be formed before an entity breaks out of a monetary union. Other aspects relate to calculating an initial index value on a breakout date. An initial exchange rate of the breakout currency may be combined with a breakout value and/or a base value. In one embodiment, the breakout value is the reciprocal of the initial exchange rate. Therefore, in accordance with certain embodiments, the initial index value of the breakout index may be equal to the base value. Further aspects relate to calculating a second index value. A second exchange rate of the breakout currency may be utilized with the fixed base value and the breakout value to calculate the second index value of the breakout index. Further aspects relate to creating a prospective currency unit for a monetary union. | 04-26-2012 |
20120101957 | PROSPECTIVE CURRENCY UNITS - Methods and systems for calculating values for indexes based on breakout currencies are provided. A prospective breakout index may be formed before an entity breaks out of a monetary union. Other aspects relate to calculating an initial index value on a breakout date. An initial exchange rate of the breakout currency may be combined with a breakout value and/or a base value. In one embodiment, the breakout value is the reciprocal of the initial exchange rate. Therefore, in accordance with certain embodiments, the initial index value of the breakout index may be equal to the base value. Further aspects relate to calculating a second index value. A second exchange rate of the breakout currency may be utilized with the fixed base value and the breakout value to calculate the second index value of the breakout index. Further aspects relate to creating a prospective currency unit for a monetary union. | 04-26-2012 |
20120084194 | Controlling Markets During a Stop Loss Trigger - A system mitigates market spike effects caused by conditional ordering triggering and election in an automated matching system. The system monitors trading as a result of cascading triggering of conditional orders. When an order is executed beyond a predetermined price threshold, an instrument may be flagged, allowing matching to occur only at or within the predetermined price threshold. Orders within the price threshold are matched at the price threshold against orders beyond it, dampening any instantaneous damaging effects of the price spike. The system may adjust the price threshold when market appropriate, allowing the order flow to bring the market back to whatever is the true price level. The system mitigates purely conditional order cascade driven price fluctuations, but allows the market to continuously trade in controlled price and time intervals ensuring that true market moves can still occur without price control mechanisms hindering trade matching and true price discovery. | 04-05-2012 |
20120078777 | Live Alerts - Systems and methods for monitoring the trading of financial instruments are provided. Trading messages are received at a live alert server. The messages are analyzed with a set of predetermined limits and rules. When a predetermined limit or rule is violated, an email message is sent to a regulator or other trading entity. The email message may include a hyperlink that may be selected to generate a real-time report relating to the limit or rule. When hyperlink is selected, a query is sent to a query server where the real-time report is generated and transmitted back to the requesting party. | 03-29-2012 |
20120072514 | Market Data Recovery - Networks, systems and methods for recovering data messages from a market data stream and for building a book for a financial instrument are disclosed. An out-of-band data stream related to an as-of state of the market for one or more financial instruments is distributed parallel to a stream of market data for the financial instrument. The as-of data stream is referenced to the financial according to a unique identifier of the messages of the market data stream. The as-of data for a financial instrument may be provided at periodic rate that may be varied according to one or more factors. | 03-22-2012 |
20120072326 | Smart Trade Template Based Matching - Systems and methods for matching orders are provided. One or more trade templates are created. The trade templates define groups of orders for financial instruments that may be combined such that all of the orders are matched. A collection of tradable price levels is also created for each template. New orders and resting orders are analyzed using one or more trade templates and tradable price levels to determine whether a combination of orders satisfies all of the elements of a trade template with a required price level. When all of the elements of a trade template are satisfied and an order with a tradable price level is received, the corresponding orders may be matched contemporaneously. | 03-22-2012 |
20120066114 | System and Method of Utilizing a Distributed Order Book in an Electronic Trade Match Engine - Methods and systems are providing for minimizing the effects of transmission delays when providing orders for financial instruments. A plurality of order books and match engines may be maintained at geographically dispersed locations. The orders may be synchronized to provide the appearance of a single order book to traders and other users. The plurality of order books and match engines allow traders and other users to transmit orders to the match engine associated with the shortest transmission delay and to access orders pending at other match engines. | 03-15-2012 |
20120041896 | Order Risk Management for Financial Product Processing - Systems and methods are provided for processing derivative product orders at an exchange. Traders provide derivative product order risk data to the exchange. The order risk data may include maximum delta, gamma and/or vega utilization values for derivative product contracts based on the same underlying product. Before executing a trade, a match system analyzes the trader's current utilization state and the utilization that would result after the trade. The match system may then execute all or a portion of the trade. | 02-16-2012 |
20120041892 | OPTION PRICING MODEL FOR EVENT DRIVEN CALL AND PUT OPTIONS - Systems and methods are provided for valuing event driven option contracts. A jump diffusion based model, such as a Merton jump diffusion based model, is modified to assume arithmetic movement of an underlying price and a single jump. The arithmetic movement of the underlying price may be modeled with a Bachelier based arithmetic model. Calculated values may be used to determine margin account requirements. | 02-16-2012 |
20120041860 | EVALUATION AND ADJUSTMENT OF SETTLEMENT VALUE CURVES - Disclosed is a method that is useful in connection with providing discount factors for an exchange-traded mark-to-market derivative product that has a variable tick rate, such as an interest rate swap product. In some embodiments, the method includes providing a series of consecutive settlement values, which collectively represent a settlement value curve for the derivative product. The curve is evaluated by determining, for each consecutive pair of settlement values, whether the difference between the first settlement value in the pair and the second settlement value in the pair exceeds a threshold. The threshold represents the value at which a discount factor derived from said pair of settlement values, in conjunction with other parameters, would be negative. In other embodiments the disclosed invention encompasses an apparatus and a computer-readable medium. | 02-16-2012 |
20120030090 | Hedging Risks Associated With Variable Priced Orders For Derivative Financial Products - Systems and methods are provided for executing a hedge transaction in connection with the execution of a derivative product order in which the price of the derivative product is defined by one or more variables. The hedge transaction may be executed at an exchange or match engine that is different from the exchange or match engine executing the derivative product order. The execution of derivative product transaction may be contingent on the existence of an appropriate hedge transaction. Alternatively, a best efforts approach may be used to fill the hedge transaction order after executing the derivative product transaction. | 02-02-2012 |
20120011391 | MATCH SERVER FOR A FINANCIAL EXCHANGE HAVING FAULT TOLERANT OPERATION - Fault tolerant operation is disclosed for a primary match server of a financial exchange using an active copy-cat instance that mirrors operations in the primary match server, but only after those operations have successfully completed in the primary match server. Fault tolerant logic monitors inputs and outputs of the primary match server and gates those inputs to the backup match server once a given input has been processed. The outputs of the backup match server are then compared with the outputs of the primary match server to ensure correct operation. The disclosed embodiments further relate to fault tolerant failover mechanism allowing the backup match server to take over for the primary match server in a fault situation wherein the primary and backup match servers are loosely coupled. As such, the primary match server need not be specifically designed or programmed to interact with the fault tolerant mechanisms. | 01-12-2012 |
20110313905 | Generating Implied Orders Based on Electronic Requests for Quotes - Systems and methods for determining implied spreads are provided. More particularly, implied spread financial transactions are generated using information from requests for quotes (RFQs). An RFQ processor module may focus the calculations performed by an implied spread determination module. A financial instrument associated with an RFQ may be provided to the implied spread determination module to trigger the determination of whether implied orders exist related to that particular financial instrument. | 12-22-2011 |
20110307369 | FACTORIZATION OF INTEREST RATE SWAP VARIATION - Methods are described for processing and clearing derivative products such as interest rate swaps (IRSs). A swap value factor (SVF) may be generated to calculate the mark-to-market value of an IRS. The SVF may be a function of interest rates derived from a yield curve. Cash flow may be generated between the buyer and the seller to reflect the change in the market price of the derivative, i.e., the mark-to-market process. The results of a cleared swap may be used to determine or alter the margin deposit required by the buyer or seller. | 12-15-2011 |
20110295737 | Settling Over-The-Counter Derivatives Using Synthetic Spot Benchmark Rates - Techniques and systems for settling over-the-counter financial instruments includes sampling over a periodic interval are disclosed. A volume weighted average price of the sampled process may be calculated and forward points may be applied to the volume weighted average priced to determine an associated spot exchange rate. Such a synthetic spot FX exchange rate may be published to subscribers. Over-the-counter financial derivatives may establish delivery obligations according to the spot exchange rate. In the event where a number of transactions during the sampling period is less than a threshold, a midpoint of bids and asks associated with orders for the exchange traded financial derivative may be used to determine an average of the midpoint, to which the forward points may be applied to determine the spot exchange rate. Alternatively, the time-weighted average of the bid and ask orders during a periodic interval may be used in computing the volume-weighted average price. | 12-01-2011 |
20110295726 | CALENDAR SPREAD FUTURES - A calendar spread futures contract is a forward contract on the intermonth spread of futures contracts. The calendar spread futures contract can be independently traded and accounted for independent of the traditional roll periods of the complementary futures contracts. An open interest holder can hedge against price volatility in the related futures contracts that may occur prior to or during the roll period. In other words, the calendar spread futures contract locks in the current spread between the front-month contract and the first-deferred contract. Buying a calendar spread futures control is equivalent to buying the spread difference between the expiring contract and the second expiry. Selling a calendar spread futures contract is equivalent to selling the spread difference between the expiring contract and the second expiry. | 12-01-2011 |
20110288977 | OPTION PRICING MODEL FOR EVENT DRIVEN INSTRUMENTS - Systems and methods are provided for valuing event driven option contracts. A jump diffusion based model, such as a Merton jump diffusion based model, is modified to assume arithmetic movement of an underlying price and a single jump. The arithmetic movement of the underlying price may be modeled with a Bachelier based arithmetic model. Calculated values may be used to determine margin account requirements. | 11-24-2011 |
20110270737 | ORDER RISK MANAGEMENT FOR DERIVATIVE PRODUCTS - Systems and methods are provided for processing derivative product orders at an exchange. Traders provide derivative product order risk data to the exchange. The order risk data may include maximum delta, gamma and/or vega utilization values for derivative product contracts based on the same underlying product. Before executing a trade, a match system analyzes the trader's current utilization state and the utilization that would result after the trade. The match system may then execute all or a portion of the trade. | 11-03-2011 |
20110258109 | Out of Band Credit Control - Systems and method for mediating risks associated with orders in an electronic trading system are provided. A front end component includes a plurality of trading engines that receive orders from traders. A back-end component includes a match system. The system includes a credit control module, which may be located at the back-end (e.g., clearinghouse), front end, a combination thereof, or other location that communicates with the plurality of trading engines. The credit control may monitor aggregate risk parameters for the trading engines and requests credits from trading engines. | 10-20-2011 |
20110252273 | MATCH SERVER FOR A FINANCIAL EXCHANGE HAVING FAULT TOLERANT OPERATION - Fault tolerant operation is disclosed for a primary match server of a financial exchange using an active copy-cat instance, a.k.a. backup match server, that mirrors operations in the primary match server, but only after those operations have successfully completed in the primary match server. Fault tolerant logic monitors inputs and outputs of the primary match server and gates those inputs to the backup match server once a given input has been processed. The outputs of the backup match server are then compared with the outputs of the primary match server to ensure correct operation. The disclosed embodiments further relate to fault tolerant failover mechanism allowing the backup match server to take over for the primary match server in a fault situation wherein the primary and backup match servers are loosely coupled, i.e. they need not be aware that they are operating in a fault tolerant environment. As such, the primary match server need not be specifically designed or programmed to interact with the fault tolerant mechanisms. Instead, the primary match server need only be designed to adhere to specific basic operating guidelines and shut itself down when it cannot do so. By externally controlling the ability of the primary match server to successfully adhere to its operating guidelines, the fault tolerant mechanisms of the disclosed embodiments can recognize error conditions and easily failover from the primary match server to the backup match server. | 10-13-2011 |
20110251944 | TRADE ENGINE PROCESSING OF MASS QUOTE MESSAGES AND RESULTING PRODUCTION OF MARKET DATA - Systems and methods are provided for processing mass quote messages and generating market data. A mass quote message is received and individual orders are parsed and processed. Individual market data messages are stored in a market data message buffer. After all orders are processed, the contents of the market data message buffer is distributed as a single market data message. | 10-13-2011 |
20110246819 | FAULT TOLERANCE AND FAILOVER USING ACTIVE COPY-CAT - Fault tolerant operation is disclosed for a primary instance, such as a process, thread, application, processor, etc., using an active copy-cat instance, a.k.a. backup instance, that mirrors operations in the primary instance, but only after those operations have successfully completed in the primary instance. Fault tolerant logic monitors inputs and outputs of the primary instance and gates those inputs to the backup instance once a given input has been processed. The outputs of the backup instance are then compared with the outputs of the primary instance to ensure correct operation. The disclosed embodiments further relate to fault tolerant failover mechanism allowing the backup instance to take over for the primary instance in a fault situation wherein the primary and backup instances are loosely coupled, i.e. they need not be aware that they are operating in a fault tolerant environment. As such, the primary instance need not be specifically designed or programmed to interact with the fault tolerant mechanisms. Instead, the primary instance need only be designed to adhere to specific basic operating guidelines and shut itself down when it cannot do so. By externally controlling the ability of the primary instance to successfully adhere to its operating guidelines, the fault tolerant mechanisms of the disclosed embodiments can recognize error conditions and easily failover from the primary instance to the backup instance. | 10-06-2011 |
20110238563 | Foreign Currency Index - Systems and methods are provided for trading and calculating the composition of foreign currencies indexed financial instruments. The compositions of the financial instruments are determined by calculating a geometric average of the exchange rates of foreign currencies with corresponding competitive weights. The competitive weights for each of the foreign currencies reflects competition between the goods of the United States and a country corresponding to the foreign currency in the markets of third countries. | 09-29-2011 |
20110208632 | Generation of a Hedgeable Index and Market Making for a Hedgeable Index-Based Financial Instrument - Systems, methods, and apparatuses are provided for processing a relationship metric comprising a plurality of components each having an associated percentage weight, selecting a plurality of financial instruments each corresponding to one of the plurality of components, determining an integer number of each of the plurality of financial instruments such that a relationship based on the integer numbers approximates the percentage weights, and composing an index that includes the respective integer numbers of each of the plurality of financial instruments. | 08-25-2011 |
20110178956 | SYSTEM AND METHOD FOR EFFICIENTLY USING COLLATERAL FOR RISK OFFSET - A system and method for analyzing correlation between the assets given by the trader for collateral and that trader's open positions is disclosed. Thus, if the collateral is correlated to the trader's open positions, then some offset can be given. If there is no correlation than the collateral is valued in the conventional way. For example, if a trader provides t-bills as collateral for an account that has open positions (e.g. short futures) in T-bills, than that trader's account can be credited with some offset since the value of T-bills and T-bill futures are highly correlated. | 07-21-2011 |
20110161244 | Clearing System That Determines Margin Requirements for Financial Portfolios - Methods, systems and apparatuses are described for calculating a performance bond amount for a portfolio including interest rate swaps. A risk calculation module (or risk processor) may assist in the calculation. In some examples, values, such as swap (DV01) dollar values and volatility values, and adjustments/factors, such as calendar charge adjustments and liquidity charge minimums, may be used to enhance the margin calculation. These values may be maintained and updated in various ways, including but not limited to, lookup tables, matrices, and other structures. The margin calculations may be used by an exchange or clearinghouse to request a portfolio holder to deposit additional funds towards a performance bond associated with the portfolio. | 06-30-2011 |
20110145123 | CREDIT DEFAULT SWAP POST CREDIT EVENT - Methods, systems and apparatuses are described for determining that a credit event has occurred for an entity; determining an upfront price and a bond price for a credit default swap deliverable (CDSD) contract associated with the entity; determining a first weighting for the upfront price and a second weighting for the bond price; and calculating a settlement price for the CDSD contract that is a function of the first weighting, the second weighting, the upfront price, and the bond price. | 06-16-2011 |
20110145117 | Clearing System That Determines Settlement Prices of Derivatives in Financial Portfolios - Methods, systems and apparatuses are described for credit default swap (CDS) settlement pricing. The method includes receiving at least quoted prices and/or executed prices, and using them to calculate a settlement price of CDSs in a portfolio. The calculation of the settlement price may also consider other information, such as recovery rate, hazard rate function, etc. The invention also may include an electronic trading platform that is fully integrated with a central counterparty clearing facility for CDSs. | 06-16-2011 |
20110119173 | System and Method for Providing Intelligent Market Data Snapshots - Systems and methods are provided for processing and distributing market data. Critical data, such as data showing that a market price has changed is distributed without further delay. When the market data does not result in a change in a market price or does not meet another critical criteria, the market data is aggregated with market data for similar events and distributed when the aggregated market data passes a quantity threshold. | 05-19-2011 |
20110082787 | Volume Control For Mass Quote Messages - Systems and methods are provided for processing mass quote messages and generating market data. A mass quote message is received and individual orders are parsed and processed. Individual market data messages are stored in a market data message buffer. After all orders are processed, the contents of the market data message buffer is distributed as a single market data message. | 04-07-2011 |
20110082786 | HEDGING RISKS ASSOCIATED WITH VARIABLE PRICED ORDERS FOR DERIVATIVE FINANCIAL PRODUCTS - Systems and methods are provided for executing a hedge transaction in connection with the execution of a derivative product order in which the price of the derivative product is defined by one or more variables. The hedge transaction may be executed at an exchange or match engine that is different from the exchange or match engine executing the derivative product order. The execution of derivative product transaction may be contingent on the existence of an appropriate hedge transaction. Alternatively, a best efforts approach may be used to fill the hedge transaction order after executing the derivative product transaction. | 04-07-2011 |
20110078070 | BUNDLED FINANCIAL INSTRUMENTS - Networks, systems and methods that match orders for bundled financial instruments are disclosed. In one example, the bundled financial instrument includes packaged underlying financial instruments that together provide an economic equivalent exposure to a long-term investment vehicle. The bundled financial instrument may include any set of contracts considered a linear combination of a plurality of standardized contracts associated with an obligation to exchange an asset at a set price on a future date. An open position for the bundled financial instrument is a function of the prices for each of the standardized contracts of the bundle and remains open from execution of the order to the earlier of a maturity of the bundled financial instrument, a conversion of the bundled financial instrument into constituent parts of the linear combination of a plurality of standardized contracts, or in the case where the bundled instrument is fractional size contract, when multiple bundles are converted to a single position of a corresponding full-sized instrument. | 03-31-2011 |
20110066567 | Rule Based Vector Space Model For Creating Implied Trade Templates - 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. | 03-17-2011 |
20110066538 | Accelerated Trade Matching Using Speculative Parallel Processing - An electronic trading system is configured to create speculative orders based on real orders. The speculative order differs from the real order by the price, quantity, or the type of financial instrument. The match engine chooses one or more speculative orders in an attempt to predict the next real order. Even though processing multiple trades at the same time is impossible, the use of speculative orders can permit the match engine to perform the calculations involved with the trade and generate the messages associated with the trade ahead of time. If the prediction was correct and the next order received by the match engine corresponds to one of the speculative orders, some of the matching activity has already been performed. This in effect, allows the match engine to process trades more efficiently and increases the total trading volume that can be handled by the electronic trading system. | 03-17-2011 |
20110066535 | CREDIT DEFAULT SWAP CLEARING - An electronic trading system is configured to trade credit default swap (CDS) futures contracts on an open exchange. The CDS futures contract allows the buyer and seller isolate and trade the credit risk of a third party. The third pay may be a corporation, sovereign government, or any entity that issues bonds or notes. The CDS futures contract seller effectively pays the premium over time in increments determined by market rates and through the natural operation of the open market. The CDS futures contract buyer makes a contingency payment if the CDS futures contract goes in-the-money (ITM). Both sides of the contract are guaranteed by the exchange as a counterparty. | 03-17-2011 |
20110055067 | UTILIZING A TRIGGER ORDER WITH MULTIPLE COUNTERPARTIES IN IMPLIED MARKET TRADING - An electronic trading system utilizes a Match Engine that receives orders, stores them internally, calculates tradeable combinations and advertises the availability of real and implied orders in the form of market data. Calculating tradeable combinations or cycles for certain strategies becomes complex. Strategies that utilize legs having different volume ratios may form tradeable combinations that will traverse a trigger order more than one time. | 03-03-2011 |