IMPLIED VOLUME ANALYZER

• US 20110066537A1
• Filed: 09/15/2009
• Published: 03/17/2011
• Est. Priority Date: 09/15/2009
• Status: Abandoned Application

• Current Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Original Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Inventors: Robinson, Mark, Callaway, Paul, Feldman, Vladimir, Milne, Andrew, Sedlin, Aleksandr, Peck-Walden, Pearce
• Application Number:
  US12/560,145
• Publication Number:
  US 20110066537A1
• 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

Abstract

A volume analyzer is provided. The volume analyzer includes an input, a processor, and an output. The input is operable to receive market data and a calculation policy. The processor is coupled with the input. The processor is operable to identify an available implied pattern based on the market data and the calculation policy. The available implied pattern has not been calculated by a match engine. The output is coupled with the processor. The processor is operable to provide the available implied pattern to the output.

Claims

1. A volume analyzer comprising:

an input operable to receive market data and a calculation policy;

a processor coupled with the input, the processor being operable to identify an available implied pattern based on the market data and the calculation policy, the available implied pattern having not been calculated by a match engine; and

an output coupled with the processor, the processor being operable to provide the available implied pattern to the output.

2. The volume analyzer of claim 1, wherein the processor is operable to determine the available implied pattern using data analysis.

3. The volume analyzer of claim 1, wherein the calculation policy is a match engine calculation policy that a match engine uses to determine one or more match engine calculated implied patterns, the one or more match engine calculated implied patterns being removed from a group of available implied patterns to determine the available implied pattern.

4. The volume analyzer of claim 1, wherein the processor is operable to use a volume analysis algorithm to identify the available implied pattern.

5. The volume analyzer of claim 1, wherein the input is operable to receive market data from an internal bus or external bus, the internal bus being coupled with a match engine that is operable to perform internal trade matching and the external bus being coupled with a market data server that is operable to perform external trade matching.

6. The volume analyzer of claim 1, wherein the output is operable to display the available implied pattern on a display or transmit the available implied pattern to a match engine.

7. The volume analyzer of claim 1, wherein the available implied pattern is an implied pattern that could have been calculated by a match engine but was not calculated by the match engine.

8. A method for analyzing implied volumes, the method comprising:

receiving market data and at least one calculation policy;

identifying a non-utilized implied pattern based on the market data and the calculation policy, the non-utilized implied pattern having an implied pattern volume that satisfies a volume level; and

outputting the non-utilized implied pattern.

9. The method as claimed in claim 8, wherein identifying includes determining an implied pattern volume for the non-utilized implied pattern based on the market data and determining whether the implied pattern volume satisfies the volume level using the calculation policy.

10. The method as claimed in claim 9, further comprising comparing the implied pattern volume to the volume level, the implied pattern volume being a number of lots traded or number of ticks for the non-utilized implied pattern and the volume level being a predetermined number of lots that provide sufficient revenue.

11. The method as claimed in claim 8, wherein receiving market data includes receiving market data from an internal bus or external bus, the internal bus being coupled with a match engine that is operable to perform internal trade matching and the external bus being coupled with a market data server that is operable to perform external trade matching.

12. The method as claimed in claim 8, wherein receiving at least one calculation policy includes reading the at least one calculation policy from a computer readable storage media.

13. The method as claimed in claim 8, wherein outputting includes displaying the non-utilized implied pattern.

14. The method as claimed in claim 8, wherein outputting includes transmitting the non-utilized implied pattern to a match engine that is operable to adjust published market data based on the non-utilized implied pattern, where adjusting published market data includes making the non-utilized implied pattern available to traders.

15. A system comprising:

a bus system operable to transmit and receive market data;

a memory operable to store a calculation policy;

a volume analyzer coupled with the bus system and memory, the volume analyzer operable to;

obtain market data from the bus system and the calculation policy from the memory,

identify a non-utilized implied pattern based on the market data and the calculation policy, the non-utilized implied pattern having an implied pattern volume that satisfies a volume level, and

output the non-utilized implied pattern to the bus system or memory.

16. The system as claimed in claim 15, wherein the volume analyzer is operable to determine an implied pattern volume for the non-utilized implied pattern based on the market data and determine whether the implied pattern volume satisfies the volume level using the calculation policy.

17. The system as claimed in claim 16, wherein the calculation policy is a set of rules that uses market data to determine whether an implied pattern volume satisfies a volume level.

18. The system as claimed in claim 15, wherein the volume analyzer is operable to compare the implied pattern volume to the volume level, the implied pattern volume being a number of lots traded or number of ticks for the non-utilized implied pattern and the volume level being a predetermined number of lots that provide sufficient revenue.

19. The system as claimed in claim 15, wherein the volume analyzer is operable to receive market data from an internal bus or external bus, the internal bus being coupled with a match engine that is operable to perform internal trade matching and the external bus being coupled with a market data server that is operable to perform external trade matching.

20. The system as claimed in claim 15, wherein the volume analyzer is operable to read the calculation policy from the memory, the memory being computer readable storage media.

21. The system as claimed in claim 15, wherein the volume analyzer is operable to transmit the non-utilized implied pattern to a match engine that is operable to adjust published market data based on the non-utilized implied pattern, where adjusting published market data includes making the non-utilized implied pattern available to traders.

22. A device comprising:

means for receiving market data and at least one calculation policy;

means for identifying a non-utilized implied pattern based on the market data and the calculation policy, the non-utilized implied pattern having an implied pattern volume that satisfies a volume level; and

means for outputting the non-utilized implied pattern.

23. The device as claimed in claim 22, further comprising means for receiving market data from an internal bus or external bus, the internal bus being coupled with a match engine that is operable to perform internal trade matching and the external bus being coupled with a market data server that is operable to perform external trade matching.

24. The device as claimed in claim 23, further comprising means for transmitting the non-utilized match engine and adjusting published market data based on the non-utilized implied pattern, where adjusting published market data includes making the non-utilized implied pattern available to traders.

25. The device as claimed in claim 24, further comprising means for outputting the non-utilized implied pattern to a bus system.

26. The device as claimed in claim 24, further comprising means for determining an implied pattern volume for the non-utilized implied pattern based on the market data and determining whether the implied pattern volume satisfies the volume level using the calculation policy.

27. The device as claimed in claim 24, further comprising means for comparing the implied pattern volume to the volume level, the implied pattern volume being a number of lots traded or number of ticks for the non-utilized implied pattern and the volume level being a predetermined number of lots that provide sufficient revenue.