System and Method for Risk Management
5 Assignments
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Accused Products
Abstract
A margin requirement is computed while trading. The margin requirement may be calculated while trading because the preferred system takes into account working orders to generate the margin requirement. The on the fly possibility allows the preferred system to provide pre-trade risk calculations, but can also be used to provide post-trade calculations. A generic spread number and the maximum number of outright positions are determined. Using the spread positions and the maximum number of outright positions, a spread margin and an outright margin are calculated, which when summed provide a total margin requirement. Limits based in part on the total margin requirement may be imposed on one or more traders.
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Citations
35 Claims
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1-28. -28. (canceled)
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29. A computer readable medium having stored therein instructions executable by a processor to perform a method including:
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determining by a spread risk calculator a first margin requirement using a first base margin and a generic spread number, where the generic spread number is associated with working spread orders and filled positions, and wherein the generic spread number represents a number of spreads, wherein the generic spread number is found using the following relationship;
(total maximum leg position−
outrights)/2;determining by the spread risk calculator a second margin requirement using a second base margin and a number of outrights, where the number of outrights is associated with working outright orders and filled positions; computing by the spread risk calculator a total margin requirement using the first margin requirement and the second margin requirement; determining by a limit module whether to send an order to buy or sell a tradeable object to an electronic exchange based on the total margin requirement and an available margin requirement; and sending the order to buy or sell the tradeable object to the exchange when the available margin balance is greater than the total margin requirement. - View Dependent Claims (30, 31)
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32. A computer readable medium having stored therein instructions executable by a processor to perform a method including:
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determining by a spread risk calculator a first margin requirement using a first base margin and a generic spread number, where the generic spread number is associated with working spread orders and filled positions, and wherein the generic spread number represents a number of spreads; determining by the spread risk calculator a second margin requirement using a second base margin and a number of outrights, where the number of outrights is associated with working outright orders and filled positions, wherein the second margin requirement is found using the following relationship;
maximum of (absolute value of (Total Filled Net Long Position−
Total Filled Net Short Position+Total Working Buy Outright Orders), absolute value of (Total Filled Net Long Position−
Total Filled Net Short Position−
Total Working Sell Outrights)));computing by the spread risk calculator a total margin requirement using the first margin requirement and the second margin requirement; determining by a limit module whether to send an order to buy or sell a tradeable object to an electronic exchange based on the total margin requirement and an available margin requirement; and sending the order to buy or sell the tradeable object to the exchange when the available margin balance is greater than the total margin requirement.
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33. A system for computing a margin requirement during the trading day in an electronic trading system, the system comprising:
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a spread risk calculator adapted to determine a first margin requirement using a first base margin and a generic spread number, where the generic spread number is associated with working spread orders and filled positions, and wherein the generic spread number represents a number of spreads, wherein the generic spread number is found using the following relationship;
(total maximum leg position−
outrights)/2, the spread risk calculator further adapted to determine a second margin requirement using a second base margin and a number of outrights, where the number of outrights is associated with working outright orders and filled positions, the spread risk calculator further adapted to compute a total margin requirement using the first margin requirement and the second margin requirement; anda limit module adapted to determine whether to send an order to buy or sell a tradeable object to an electronic exchange based on the total margin requirement and an available margin requirement, the limit module further adapted to send the order to buy or sell the tradeable object to the exchange when the available margin balance is greater than the total margin requirement. - View Dependent Claims (34, 35)
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Specification