Order Risk Management for Financial Product Processing

• US 20100306133A1
• Filed: 08/09/2010
• Published: 12/02/2010
• Est. Priority Date: 03/10/2003
• Status: Active Grant

• Current Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Original Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Inventors: Johnston, Scott, Salvadori, David, Thiruthuvadoss, Agnes Shanthi, Farrell, James W., Falck, John, Ariathurai, Arjuna, Troxel, Charlie JR.
• Granted Patent: US 8,160,949 B2
• Time in Patent Office: Days
• US Class Current: 705/36R
• CPC Class Codes: G06Q 30/0283 Price estimation or determination
• CPC Class Codes: G06Q 30/0601 Electronic shopping [e-shopping]
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• 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

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.

Claims

1. A computer implemented method for processing financial product orders, the method comprising:

receiving financial product order risk data;

determining a trader'"'"'s current order risk utilization state;

computing utilization data for a trader according to a financial product order associated with the trader and the trader'"'"'s current order risk utilization state; and

electronically processing a financial product order in a manner determined by the financial product order risk data and the utilization data.