Controlling Implied Markets During a Stop Loss Trigger

• US 20120330816A1
• Filed: 08/09/2012
• Published: 12/27/2012
• Est. Priority Date: 07/25/2003
• Status: Active Grant

• Current Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Original Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Inventors: Farrell, James, Krause, James
• Granted Patent: US 9,633,394 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
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis

Abstract

A system mitigates the effects of a market spike caused by the triggering and the election of a conditional order in an automated matching system. Conditional orders submitted to a trading engine are evaluated to compare a price of an order to a predetermined price range. Matching of the orders may be delayed when the price of the orders lies outside of the predetermined price range. An opening price to be used by the trading engine is derived and a time interval is used to delay a matching of the orders until the opening price is within a predetermined price range up to a maximum delay time set by a control center. Implied spreads are also removed until other instruments within a trading unit are verified open.

Claims

1. A computer implemented method for mitigating effects of rises or falls in market prices caused by execution of a conditional order for one of a plurality of products within a trading unit, the method comprising:

receiving, by a processor, the conditional order;

comparing, by the processor, an execution price of the conditional order, prior to matching thereof, to a predetermined price threshold;

suspending, by the processor, matching of orders for at least the one of the plurality of products within the trading unit when the execution price lies outside of the predetermined price threshold;

determining and comparing, by the processor periodically, an indicative opening price for the at least the one of the plurality of products within the trading unit to the predetermined price threshold; and

enabling, by the processor, matching of orders for the at least the one of the plurality of products within the trading unit when the indicative opening price lies within the predetermined price threshold.

2. The computer implemented method of claim 1 wherein the suspending further includes suspending matching in an implied order market related to the at least the one of the plurality of products within the trading unit when the execution price lies outside of the predetermined price threshold, the method further comprising:

enabling matching in the implied order market when matching is enabled for each of the plurality of products within the trading unit.

3. The computer implemented method of claim 1 wherein enabling further includes enabling matching of orders for the at least the one of the plurality of products within the trading unit when the indicative opening price lies within the predetermined price threshold, a timed period lapses, or a manual intervention occurs.

4. The computer implemented method of claim 1 further comprising storing a time parameter used to determine a maximum period of time that a matching of implied orders may be suspended, the suspending being based thereon.

5. The computer implemented method of claim 1 wherein the comparing the execution price further comprises comparing the execution price of the conditional order to the predetermined price threshold in real time.

6. The computer implemented method of claim 1 further comprising continuing to receive orders for the at least the one of the plurality of products within the trading unit while matching is suspended, the indicative opening price being determined based thereon.

7. A computer implemented method for mitigating the effects of rises or falls in market prices caused by the execution of a conditional order for products within a trading unit, the method comprising:

receiving, by a processor, a plurality of orders;

comparing, by the processor, an execution price of the conditional order to a predetermined price threshold;

delaying, by the processor, the matching of orders received by the order book manager when an execution price of the conditional order lies outside of the predetermined price threshold;

comparing, by the processor, an indicative opening price to the predetermined price threshold;

opening, by the processor, a market when the indicative opening price lies within the predetermined price threshold; and

opening, by the processor, an implied order market when all products within the trading unit are not in reserve.

8. The computer implemented method of claim 7 wherein the opening of the market further includes opening, by the processor, the market to trading when the indicative opening price lies within the predetermined price threshold, a timed period lapses, or a manual intervention occurs.

9. The computer implemented method of claim 7 wherein the delaying further includes delaying, by the processor, the matching of received orders based on a stored time parameter used to determine a maximum period of time that a matching of implied orders may be reserved.

10. The computer implemented method of claim 7 wherein the comparing of the execution price further includes comparing, by the processor, the execution price of the conditional order to the predetermined price threshold in real time.

11. The computer implemented method of claim 7 wherein all products within the trading unit are not in reserve when the matching of orders for products within the trading unit is no longer delayed.

12. A computer implemented method for mitigating effects of rises or falls in market prices caused by execution of a conditional order for one of a plurality of products within a trading unit, the method comprising:

receiving, by a processor, the conditional order;

comparing, by the processor, an execution price of the conditional order, prior to matching thereof, to a predetermined price threshold;

determining, by the processor, whether the execution price of the conditional order lies outside the predetermined price threshold; and

when the execution price of the conditional order is determined to lie outside the predetermined price threshold, suspending, by the processor, matching of orders for at least the one of the plurality of products within the trading unit, determining and comparing, by the processor periodically, an indicative opening price for the at least the one of the plurality of products within the trading unit to the predetermined price threshold, and enabling, by the processor, matching of orders for the at least the one of the plurality of products within the trading unit when the indicative opening price is determined is determined to lie within the predetermined price threshold.

13. The computer implemented method of claim 12 wherein the suspending further includes suspending matching in an implied order market related to the at least the one of the plurality of products within the trading unit when the execution price lies outside of the predetermined price threshold, the method further comprising:

enabling matching in the implied order market when matching is enabled for each of the plurality of products within the trading unit.

14. The computer implemented method of claim 12 wherein enabling further includes enabling matching of orders for the at least the one of the plurality of products within the trading unit when the indicative opening price lies within the predetermined price threshold, a timed period lapses, or a manual intervention occurs.

15. The computer implemented method of claim 12 further comprising storing a time parameter used to determine a maximum period of time that a matching of implied orders may be suspended, the suspending being based thereon.

16. The computer implemented method of claim 12 wherein the comparing the execution price further comprises comparing the execution price of the conditional order to the predetermined price threshold in real time.

17. The computer implemented method of claim 12 further comprising continuing to receive orders for the at least the one of the plurality of products within the trading unit while matching is suspended, the indicative opening price being determined based thereon.

18. A computer implemented method for mitigating the effects of rises or falls in market prices caused by the execution of a conditional order for products within a trading unit, the method comprising:

receiving, by a processor, a plurality of orders;

determining, by the processor, whether an execution price of the conditional order lies outside of a predetermined price threshold; and

when the execution price of the conditional order is determined to lie outside of the predetermined price threshold, delaying, by the processor, the matching of orders received by the order book manager, comparing, by the processor, an indicative opening price to the predetermined price threshold, and opening, by the processor, a market when the indicative opening price is determined to lie within the predetermined price threshold; and

, further, opening, by the processor, an implied order market when all products within the trading unit are not in reserve.

19. The computer implemented method of claim 18 wherein the opening of the market further includes opening, by the processor, the market to trading when the indicative opening price is determined to lie within the predetermined price threshold, a timed period lapses, or a manual intervention occurs.

20. The computer implemented method of claim 18 wherein the delaying further includes delaying, by the processor, the matching of received orders based on a stored time parameter used to determine a maximum period of time that a matching of implied orders may be reserved.