Order risk management for derivative products
First Claim
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1. A method of protecting against in-flight fills at an exchange, the method comprising:
- (a) receiving, at a processor of an order risk management module, order data including at least one threshold value corresponding to at least one order parameter;
(b) receiving, at the processor of the order risk management module from a computing device of a trader, an order for a product;
(c) at the processor of the order risk management module, utilizing the product order and a trader'"'"'s current order risk utilization state to calculate utilization data, wherein the utilization data is calculated using the product order and the trader'"'"'s current order risk utilization state; and
(d) processing the product order at the processor of the order risk management module in a manner that is a function of the product order risk data and the utilization data, wherein the processing comprises determining that the trader'"'"'s current order risk utilization state exceeds a threshold value, and then cancelling all of the trader'"'"'s resting orders at the exchange to protect against in-flight fills;
wherein the variable defined order price of the product is a function of an original order price, an updated price of an underlying product and at least one price determination variable value based on a predetermined formula.
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Abstract
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.
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Citations
14 Claims
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1. A method of protecting against in-flight fills at an exchange, the method comprising:
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(a) receiving, at a processor of an order risk management module, order data including at least one threshold value corresponding to at least one order parameter; (b) receiving, at the processor of the order risk management module from a computing device of a trader, an order for a product; (c) at the processor of the order risk management module, utilizing the product order and a trader'"'"'s current order risk utilization state to calculate utilization data, wherein the utilization data is calculated using the product order and the trader'"'"'s current order risk utilization state; and (d) processing the product order at the processor of the order risk management module in a manner that is a function of the product order risk data and the utilization data, wherein the processing comprises determining that the trader'"'"'s current order risk utilization state exceeds a threshold value, and then cancelling all of the trader'"'"'s resting orders at the exchange to protect against in-flight fills; wherein the variable defined order price of the product is a function of an original order price, an updated price of an underlying product and at least one price determination variable value based on a predetermined formula. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14)
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Specification