Generating Implied Orders Based on Electronic Requests for Quotes

• US 20110313905A1
• Filed: 06/17/2010
• Published: 12/22/2011
• 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: Callaway, Paul, Curran, John, Siddall, Jake, Salvadori, Dave, Bauerschmidt, Paul, Silhavy, Ken, Studnitzer, Ari, Stroup, Martin
• Granted Patent: US 10,572,937 B2
• 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

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. A computer-assisted method comprising:

receiving, using a request for quote processor module, a request for quote for a financial instrument;

sending, using the request for quote processor module, the financial instrument associated with the request for quote to an implied spread determination module;

determining, using the implied spread determination module, that the financial instrument associated with the request for quote in combination with one or more resting orders creates an implied spread, the implied spread comprising multiple legs, a first of the multiple legs corresponding to the financial instrument associated with the request for quote and a second leg of the multiple legs corresponding to a resting order of the one or more resting orders; and

sending, using the implied spread determination module, a notification of the implied spread to the electronic match engine for matching, the matching including executing all the multiple legs of the implied spread.

2. The method of claim 1, further comprising:

comparing, using the request for quote processor module, the financial instrument associated with the request for quote to a search list, the search list comprising a plurality of financial instruments to be monitored for implied spreads;

where the sending the financial instrument to the implied spread determination module occurs only if the comparing determines that the financial instrument is in the search list.

3. The method of claim 1, where the determining includes:

comparing, using the implied spread determination module, the financial instrument associated with the request for quote to a collection of needed orders which are generated based on requirements of acceptable trade templates; and

if the financial instrument associated with the request for quote matches a needed order of the collection of needed orders, then creating the implied spread, where the needed order is a resting order.

4. The method of claim 3, where the determining occurs in parallel with and apart from an electronic match engine in an exchange, and the notification of the implied spread comprises order book identifiers, the method further comprising:

updating the collection of needed orders based on the determining occurring in parallel apart from the electronic match engine.

5. The method of claim 1, where the financial instrument associated with the request for quote is a synthetic implied spread order comprising information to facilitate matching by the electronic match engine of the synthetic implied spread order with the one or more resting orders, the information comprising the order book identifiers for use in the notification;

where the determining includes verifying the information that facilitates matching of the synthetic implied spread order, including confirming status of orders in order books corresponding to the order book identifiers; and

where the matching by the electronic match engine includes using the information of the implied spread order to facilitate matching.

6. The method of claim 1, the determining occurring in at least one remote computer outside the exchange and simultaneous with processing by the electronic match engine.

7. The method of claim 1, where the financial instrument associated with the request for quote is for an outright order for a futures contract.

8. The method of claim 1, where the financial instrument associated with the request for quote is a spread order for a futures contract.

9. The method of claim 1, where the financial instrument associated with the request for quote is an outright order for an options contract.

10. An 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;

determining that the financial instrument is on the search list;

sending the financial instrument associated with the request for quote to an implied spread determination module, where the implied spread determination module is configured to determine whether the financial instrument associated with the request for quote creates an implied order; and

sending a response to the request for quote.

11. The apparatus of claim 10, where the 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.

12. The apparatus of claim 10, further comprising:

a timer; and

the memory further comprising computer-executable instructions that when executed by the processor cause the apparatus to perform steps comprising;

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

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

where the sending the financial instrument to the implied spread determination module occurs after the determining that no response has been received before the time expires.

13. The apparatus of claim 10, where the search list comprises a plurality of financial instruments to be monitored for implied spreads.

14. The apparatus of claim 10, where the search list is updated based on the determining occurring in the implied spread determination module.

15. The apparatus of claim 10, where the search list is emptied to prevent determination of whether the financial instrument associated with the request for quote creates an implied order.

16. The apparatus of claim 10, where the financial instrument is one of a futures contract and an options contract.

17. A method comprising:

receiving, at a processor executing a request for quote processor module, a request for quote for a financial instrument;

waiting a predetermined amount of time without receiving a response to the request for quote;

sending the financial instrument associated with the request for quote to an implied spread determination module, where the implied spread determination module is configured to determine that the financial instrument associated with the request for quote in combination with one or more resting orders creates an implied spread;

sending notification of the implied spread to an electronic match engine for matching, the matching includes executing all legs of the implied spread;

sending a response to the request for quote, where the response includes information created by the matching of the implied spread.

18. The method of claim 17, where the executing of all legs of the implied spread occurs with no slippage risk to a user.

19. The method of claim 18, where the implied spread determination module is configured to stop determining whether an implied spread is created for the financial instrument associated with the request of quote after a predefined amount of time has expired.

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

receiving a request for quote for a financial instrument;

waiting a predetermined amount of time without receiving a response to the request for quote;

sending the financial instrument associated with the request for quote to an implied spread determination module, where the implied spread determination module is configured to determine that the financial instrument associated with the request for quote in combination with one or more resting orders creates an implied spread and to stop determining whether an implied spread is created for the financial instrument associated with the request of quote after a predefined amount of time has expired;

sending notification of the implied spread to an electronic match engine for matching, the matching includes executing all legs of the implied spread;

sending a response to the request for quote, where the response includes information created by the matching of the implied spread.