Generating implied orders based on electronic requests for quotes

• US 10,572,937 B2
• Filed: 06/17/2010
• Issued: 02/25/2020
• Est. Priority Date: 06/17/2010
• Status: Active Grant

• Current Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Original Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Inventors: Siddall, Jake, Salvadori, Dave, Bauerschmidt, Paul, Silhavy, Ken, Studnitzer, Ari, Callaway, Paul, Curran, John, Stroup, Martin
• Primary Examiner(s): Holly, John H.
• Application Number:
  US12/817,610
• Publication Number:
  US 20110313905A1
• Time in Patent Office: 3,540 Days
• Field of Search: 705 11, 705 37, 705 36 R, 705 35, 705 4, 705 30, 705 261, 726 26, 713186, 709246, 235385
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Abstract

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.

Claims

1. An apparatus that reduces slippage risk by distributing computational workload of an electronic match engine in an exchange computer system located in an exchange, the apparatus comprising:

a processor configured to execute computer-executable instructions; and

a memory storing a search list and computer-executable instructions that when executed by the processor cause the apparatus to perform steps comprising;

receiving a request for quote for a financial instrument at time t1, wherein the request for quote includes an inquiry regarding a current market for the financial instrument, and wherein the request for quote does not create an order for the financial instrument at the electronic match engine;

starting a timer at the time t1 to countdown for a predetermined amount of time;

determining that a response to the request for quote has not been received before the timer finishes its countdown;

as a result of determining that a response to the request for quote has not been received before the timer finishes its countdown, determining that the financial instrument is on the search list;

based on a determination that the financial instrument is on the search list, causing an implied spread determination module to determine, by a first processing thread executing the implied spread determination module, if the order for the financial instrument creates an implied spread, the first processing thread executes in parallel with and apart from a second processing thread executing in the electronic match engine, and wherein the implied spread comprises multiple legs, a first leg of the multiple legs corresponding to the order and a second leg of the multiple legs corresponding to a resting order;

causing the second processing thread executing in the electronic match engine to receive from the first processing thread executing the implied spread determination module, a notification of the implied spread, the notification comprising order book identifiers;

executing, by the electronic match engine contemporaneously based on the notification, all the multiple legs of the implied spread without locking a market for the financial instrument of each leg; and

based on a determination by the implied spread determination module that the order for the financial instrument creates an implied spread, sending a response to the request for quote.

2. The apparatus of claim 1, where the sent response to the request for quote includes information created by executing the implied spread created using the financial instrument associated with the request for quote.

3. The apparatus of claim 1, where the search list comprises a plurality of financial instruments to be monitored for implied spreads.

4. The apparatus of claim 1, where the search list is updated based on the determining occurring in the implied spread determination module.

5. The apparatus of claim 1, where the financial instrument is one of a futures contract and an options contract.

8. The apparatus of claim 1, where the implied spread determination module is configured to stop determining whether an implied spread is created for the financial instrument after a predefined amount of time has expired.

10. The apparatus of claim 1, wherein the implied spread determination module is communicatively coupled over a computer network with the electronic match engine, and the notification is received over the computer network.

11. The apparatus of claim 1, wherein the first processing thread executing the implied spread determination module is located outside of the exchange.

12. The apparatus of claim 1, wherein the executing all the multiple legs of the implied spread occurs with no slippage risk.

6. A method that reduces slippage risk by distributing computational workload of an electronic match engine in an exchange computer system located in an exchange, the method comprising:

receiving, at a request for quote processor module of the exchange computer system at time t1, a request for quote for a financial instrument, wherein the request for quote includes an inquiry regarding the current market for the financial instrument, and wherein the request for quote does not create an order for the financial instrument at the electronic match engine in the exchange computer system;

starting, at the request for quote processor module, a timer at the time t1 to countdown for a predetermined amount of time;

determining, by the request for quote processor module, that a response to the request for quote has not been received before the timer finishes its countdown;

determining, by the request for quote processor module and as a result of the determining that a response to the request for quote has not been received before the timer finishes its countdown, that the financial instrument is on a search list;

causing, by the request for quote processor module and based on a determination that the financial instrument is on the search list, an implied spread determination module to determine, by a first processing thread executing the implied spread determination module, if the order for the financial instrument creates an implied spread, the first processing thread executes in parallel with and apart from a second processing thread executing in the electronic match engine in the exchange computer system, and wherein the implied spread comprises multiple legs, a first leg of the multiple legs corresponding to the order and a second leg of the multiple legs corresponding to a resting order;

causing the second processing thread executing in the electronic match engine to receive from the first processing thread executing the implied spread determination module, a notification of the implied spread, the notification comprising order book identifiers;

executing, by the electronic match engine contemporaneously based on the notification, all the multiple legs of the implied spread without locking a market for the financial instrument of each leg; and

sending, by the request for quote processor module and based on a determination by the implied spread determination module that the order for the financial instrument creates an implied spread, a response to the request for quote.

7. The method of claim 6, wherein the executing all the multiple legs of the implied spread occurs with no slippage risk.

13. The method of claim 6, wherein the search list comprises a plurality of financial instruments to be monitored for implied spreads, the method further comprising:

determining, by the electronic match engine executing in the second processing thread in the exchange computer system, if the order in combination with resting orders for financial instruments in the search list create an implied spread; and

dynamically updating the search list based on the determining, which is being performed by the implied spread determination module, occurring in parallel and apart from the electronic match engine.

14. The method of claim 6, wherein the order is a synthetic implied spread order comprising information to facilitate matching by the electronic match engine of the synthetic implied spread order with the resting order, the information comprising the order book identifiers;

wherein the determining by the implied spread determination module comprises confirming status of resting orders in order books corresponding to the order book identifiers to facilitate matching.

15. The method of claim 6, wherein the first processing thread executing the implied spread determination module is located outside of the exchange, and wherein the notification of the implied spread is received over a computer network communicatively coupling the implied spread determination module and the electronic match engine.

9. A tangible computer-readable medium storing computer-executable instructions that when executed by a processor cause a computing device to perform steps comprising:

receiving, at a request for quote processor module of an exchange computer system at time t1, a request for quote for a financial instrument, wherein the request for quote includes an inquiry regarding the current market for the financial instrument, and wherein the request for quote does not create an order for the financial instrument at an electronic match engine in the exchange computer system;

starting a timer at the time t1 to countdown for a predetermined amount of time;

determining that a response to the request for quote has not been received before the timer finishes its countdown;

as a result of determining that a response to the request for quote has not been received before the timer finishes its countdown, determining that the financial instrument is on a search list;

based on a determination that the financial instrument is on the search list, causing an implied spread determination module, by a first processing thread executing the implied spread determination module, to determine if the order for the financial instrument creates an implied spread, the first processing thread executes in parallel with and apart from a second processing thread executing in the electronic match engine in the exchange computer system, and wherein the implied spread comprises multiple legs, a first leg of the multiple legs corresponding to the order and a second leg of the multiple legs corresponding to a resting order;

causing the second processing thread executing in the electronic match engine to receive from the first processing thread executing the implied spread determination module, a notification of the implied spread, the notification comprising order book identifiers;

executing, by the electronic match engine contemporaneously based on the notification, all the multiple legs of the implied spread without locking a market for the financial instrument of each leg; and

based on a determination by the implied spread determination module that the order for the financial instrument creates an implied spread, sending a response to the request for quote.

16. The tangible computer-readable medium of claim 9, wherein the executing all the multiple legs of the implied spread occurs with no slippage risk.

17. The tangible computer-readable medium of claim 9, wherein the implied spread determination module is communicatively coupled over a computer network with the electronic match engine, and the notification is received over the computer network.