SYSTEM AND METHOD FOR AGGREGATION OF IMPLIED SHORT TERM INTEREST RATE DERIVATIVES BIDS AND OFFERS

• US 20100094746A1
• Filed: 10/01/2009
• Published: 04/15/2010
• Est. Priority Date: 10/28/2005
• Status: Abandoned Application

• Current Assignee: Liffe Administration and Management
• Original Assignee: Liffe Administration and Management
• Inventors: MacGregor, Paul, O'Neill, John Patrick, Hooper, Gary David
• Application Number:
  US12/571,972
• Publication Number:
  US 20100094746A1
• Time in Patent Office: Days
• US Class Current: 705/37
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis

Abstract

A method and system for facilitating trading of derivatives contracts is provided. The method includes receiving orders, including bids and/or offers, and creating implied orders for matching combinations of outright and strategy orders based on permitted implied patterns.

Claims

1. A method of facilitating trades relating to futures contracts, the method comprising the steps of:

receiving a plurality of orders, each of the plurality of orders being selected from the group consisting of a bid for an outright month futures contract, a bid for a predetermined combination of outright month futures contracts known as a futures strategy, an offer for an outright month futures contract, and an offer for a futures strategy;

using a computer to match corresponding orders from within the received plurality of orders; and

using a computer to electronically execute trades corresponding to the matched orders.

2. The method of claim 1, further comprising the step of combining at least two orders selected from the group consisting of a bid for an outright month futures contract and an offer for an outright month futures contract to form a combination order, and wherein the step of using a computer to match further comprises using a computer to match the combination order with at least one order selected from the group consisting of a bid for a futures strategy and an offer for a futures strategy.

3. The method of claim 1, further comprising the step of combining at least one order selected from the group consisting of a bid for an outright month futures contract and an offer for an outright month futures contract with at least one order selected from the group consisting of a bid for a futures strategy and an offer for a futures strategy to form a combination order, and wherein the step of using a computer to match further comprises using a computer to match the combination order with at least one order selected from the group consisting of a bid for an outright month futures contract and an offer for an outright month futures contract.

4. The method of claim 1, further comprising the step of combining at least two orders selected from the group consisting of a bid for a futures strategy and an offer for a futures strategy to form a combination order, and wherein the step of using a computer to match further comprises using a computer to match the combination order with at least one order selected from the group consisting of a bid for a futures strategy and an offer for a futures strategy.

5. The method of claim 1, further comprising the step of combining at least one order selected from the group consisting of a bid for an outright month futures contract and an offer for an outright month futures contract with at least one order selected from the group consisting of a bid for a futures strategy and an offer for a futures strategy to form a combination order, and wherein the step of using a computer to match further comprises using a computer to match the combination order with at least one order selected from the group consisting of a bid for a futures strategy and an offer for a futures strategy.

6. The method of claim 1, wherein the step of using a computer to match further comprises using a computer to match at least a first order and a second order for which a sum of leg ratios of all constituent outright month futures contracts is equal to zero.

7. The method of claim 1, the method further comprising the step of receiving a list of supported types of combinations provided by an operator, wherein the step of using a computer to match further comprises the step of using a computer to match corresponding orders from within the received plurality of orders such that the matched orders form a combination that is included on the list of supported types of combinations.

8. A system for facilitating trading of futures contracts, the system comprising:

a server at which the futures contracts are actively traded; and

an interface in communication with the server, the interface being configured to enable at least one order for a futures contract to be entered,

wherein the server is configured to receive a plurality of orders via the interface, each order including a price and a number of lots, and each of the plurality of orders being selected from the group consisting of a bid for an outright month futures contract, a bid for a predetermined combination of outright month futures contracts known as a futures strategy, an offer for an outright month futures contract, and an offer for a futures strategy; and

wherein the server is further configured to match corresponding orders from within the received plurality of orders, and to electronically execute trades corresponding to the matched orders.

9. The system of claim 8, wherein the server is further configured to combine at least two orders selected from the group consisting of a bid for an outright month futures contract and an offer for an outright month futures contract to form a combination order, and to match the combination order with at least one order selected from the group consisting of a bid for a futures strategy and an offer for a futures strategy.

10. The system of claim 8, wherein the server is further configured to combine at least one order selected from the group consisting of a bid for an outright month futures contract and an offer for an outright month futures contract with at least one order selected from the group consisting of a bid for a futures strategy and an offer for a futures strategy to form a combination order, and to match the combination order with at least one order selected from the group consisting of a bid for an outright month futures contract and an offer for an outright month futures contract.

11. The system of claim 8, wherein the server is further configured to combine at least two orders selected from the group consisting of a bid for a futures strategy and an offer for a futures strategy to form a combination order, and to match the combination order with at least one order selected from the group consisting of a bid for a futures strategy and an offer for a futures strategy.

12. The system of claim 8, wherein the server is further configured to combine at least one order selected from the group consisting of a bid for an outright month futures contract and an offer for an outright month futures contract with at least one order selected from the group consisting of a bid for a futures strategy and an offer for a futures strategy to form a combination order, and to match the combination order with at least one order selected from the group consisting of a bid for a futures strategy and an offer for a futures strategy.

13. The system of claim 8, wherein the server is further configured to match at least a first order and a second order for which a sum of leg ratios of all constituent outright month futures contracts is equal to zero.

14. The system of claim 8, the server being further configured to receive a list of supported types of combinations provided by an operator, and to match corresponding orders from within the received plurality of orders such that the matched orders form a combination that is included on the list of supported types of combinations.