Controlling Implied Markets During a Stop Loss Trigger

• US 20170193603A1
• Filed: 03/22/2017
• Published: 07/06/2017
• Est. Priority Date: 07/25/2003
• Status: Abandoned Application

• Current Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Original Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Inventors: Farrell, James W., Krause, James
• Application Number:
  US15/466,481
• Publication Number:
  US 20170193603A1
• Time in Patent Office: Days
• 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 method comprising:

accessing, by a server, a conditional request received over a data communication network;

performing a comparison of an execution value associated with the conditional request to a predetermined range;

maintaining automating matching of requests when the execution value falls within the predetermined range; and

suspending automatic matching of requests when the execution value falls outside the predetermined range, wherein suspending automatic matching breaks a stop order ladder of cascading and repeating requests.

2. The method of claim 1, wherein the predetermined range is a no bust range defined by a bust range variable.

3. The method of claim 1, wherein requests that are suspended from automatic matching are placed in a reserved state.

4. The method of claim 1, further comprising:

activating a verification timer in response to the execution value exceeding the predetermined range.

5. The method of claim 4, wherein a duration of the verification timer is variable and based on the conditional request.

6. The method of claim 4, further comprising:

comparing, by a spike control processor in response to the verification timer, an indicative opening value to the predetermined range.

7. The method of claim 4, further comprising:

calculating an indicative opening price in response to the verification timer reaching a predetermined time.

8. The method of claim 7, further comprising:

broadcasting the indicative opening price through a data feed, the indicative opening price representing an overlap of bid and offer prices.

9. The method of claim 8, further comprising:

enabling matching of requests according to the indicative opening price.

10. The method of claim 1, wherein maintaining automating matching of requests comprises:

enabling matching of requests for the at least the one of a plurality of products when an opening value lies within the predetermined range, a timed period lapses, or a manual intervention occurs.

11. The method of claim 1, wherein the comparison is in real time.

12. The method of claim 1, wherein the requests include the ladder of cascading and repeating requests in a predetermined time period.

13. A non-transitory computer readable medium including instructions that when executed perform a computer implemented method for automatically matching requests, the method comprising:

accessing a conditional request received over a data communication network;

performing a comparison of an execution value associated with the conditional request to a predetermined range;

maintaining automating matching of requests when the execution value falls within the predetermined range; and

suspending automatic matching of requests when the execution value falls outside the predetermined range, wherein suspending automatic matching breaks a stop order ladder of cascading and repeating requests.

14. The non-transitory computer readable medium of claim 13, wherein the predetermined range is a no bust range defined by a bust range variable.

15. The non-transitory computer readable medium of claim 13, wherein requests that are suspended from automatic matching are placed in a reserved state.

16. The non-transitory computer readable medium of claim 13, the instructions further comprising:

activating a verification timer in response to the execution value exceeding the predetermined range.

17. The non-transitory computer readable medium of claim 16, wherein a duration of the verification timer is variable and based on the conditional request.

18. The non-transitory computer readable medium of claim 16, the instructions further comprising:

comparing, by a spike control processor in response to the verification timer, an indicative opening value to the predetermined range.

19. The non-transitory computer readable medium of claim 16, the instructions further comprising:

calculating an indicative opening price in response to the verification timer reaching a predetermined length of time.

20. An apparatus comprising:

means for accessing a conditional request received over a data communication network;

means for performing a comparison of an execution value associated with the conditional request to a predetermined range;

means for maintaining automating matching of requests when the execution value falls within the predetermined range; and

means for suspending automatic matching of requests when the execution value fall outside the predetermined range to interrupt a stop order ladder of cascading and repeating requests.