Multiple quote risk management
First Claim
1. A computer implemented method of protecting a market participant participating in a market, the method comprising:
- allocating, by a processor, an amount of risk to the market participant, the allocated amount of risk being stored in an account;
reducing, by the processor, the stored allocated amount of risk based on a first transaction proposed by the market participant but not yet matched with another proposed transaction counter thereto;
receiving, by the processor, a second transaction proposed by the market participant but not yet matched with another proposed transaction counter thereto, the second proposed transaction having been proposed prior to the conclusion of the first proposed transaction;
prior to the conclusion of the first and second proposed transactions, determining, by the processor, if the stored allocated amount of risk has been depleted by the reduction based on the first proposed transaction and acting, by the processor, in accordance therewith to at least one of block or allow the availability of the second proposed transaction to be matched;
transmitting a message to the market participant based on the determining; and
re-allocating the amount of risk to the account after an elapse of a period of time.
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Accused Products
Abstract
The disclosed systems and methods relate to allowing trading of over the counter (“OTC”) foreign exchange (“FX”) contracts on a centralized matching and clearing mechanism, such as that of the Chicago Mercantile Exchange'"'"'s (“CME”'"'"'s) futures exchange system (the “Exchange”). The disclosed systems and methods allow for anonymous transactions, centralized clearing, efficient settlement and the provision of risk management/credit screening mechanisms to lower risk, reduce transaction costs and improve the liquidity in the FX market place. In particular, the disclosed embodiments increase speed of execution facilitating growing demand for algorithmic trading, increased price transparency, lower cost of trading, customer to customer trading, and automated asset allocations, recurring trades as well as clearing and settlement efficiencies.
94 Citations
27 Claims
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1. A computer implemented method of protecting a market participant participating in a market, the method comprising:
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allocating, by a processor, an amount of risk to the market participant, the allocated amount of risk being stored in an account; reducing, by the processor, the stored allocated amount of risk based on a first transaction proposed by the market participant but not yet matched with another proposed transaction counter thereto; receiving, by the processor, a second transaction proposed by the market participant but not yet matched with another proposed transaction counter thereto, the second proposed transaction having been proposed prior to the conclusion of the first proposed transaction; prior to the conclusion of the first and second proposed transactions, determining, by the processor, if the stored allocated amount of risk has been depleted by the reduction based on the first proposed transaction and acting, by the processor, in accordance therewith to at least one of block or allow the availability of the second proposed transaction to be matched; transmitting a message to the market participant based on the determining; and re-allocating the amount of risk to the account after an elapse of a period of time. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12)
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13. A system for protecting a market participant participating in a market, the system comprising:
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a risk allocation processor operative to allocate an amount of risk to the market participant, the allocated amount of risk being stored in an account; a transaction processor coupled with the account and operative to reduce the stored allocated amount of risk based on a first transaction proposed by the market participant but not yet matched with another proposed transaction counter thereto, wherein the transaction processor is further operative to receive a second transaction proposed by the market participant but not yet matched with another proposed transaction counter thereto, the second proposed transaction having been proposed prior to the conclusion of the first proposed transaction; a monitor processor coupled with the account and operative to, prior to the conclusion of the first and second proposed transactions, determine if the stored allocated amount of risk has been depleted by the reduction based on the first proposed transaction; and a transaction handling processor coupled with the monitor processor and, prior to the conclusion of the first and second proposed transactions, operative to take an action in accordance with the determination of the monitor processor to at least one of block or allow the availability of the second proposed transaction to be matched; and wherein the risk allocation processor is further operative to re-allocate the amount of risk to the account after an elapse of a period of time. - View Dependent Claims (14, 15, 16, 17, 18, 19, 20, 21, 22, 23, 24)
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25. A system for protecting a market participant participating in a market, the system comprising:
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means for allocating an amount of risk to the market participant, the allocated amount of risk being stored in an account; means for reducing the stored allocated amount of risk, coupled with the account, based on a first transaction proposed by the market participant but not yet matched with another proposed transaction counter thereto; means for receiving a third transaction proposed by the market participant but not yet matched with another proposed transaction counter thereto, the second proposed transaction having been proposed prior to the conclusion of the first proposed transaction; means for determining, prior to the conclusion of the first and second proposed transactions, if the stored allocated amount of risk has been depleted by the reduction based on the first proposed transaction, the means for determining being coupled with the account; means for acting, prior to the conclusion of the first and second proposed transactions, in accordance the determination of the means for determining, to at least one of block or allow the availability of the second proposed transaction to be matched; and means for re-allocating the amount of risk to the account after an elapse of a period of time.
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26. A system for protecting a market participant participating in a market, the system comprising a processor and a memory coupled with the processor, the system further comprising:
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first logic stored in the memory and executable by the processor to allocate an amount of risk to the market participant, the allocated amount of risk being stored in an account in the memory; second logic stored in the memory and executable by the processor to reduce the stored allocated amount of risk based on a first transaction proposed by the market participant but not yet matched with another proposed transaction counter thereto, the second logic being further executable to receive a third transaction proposed by the market participant but not yet matched with another proposed transaction counter thereto, the third proposed transaction having been proposed prior to the conclusion of the first proposed transaction; and third logic stored in the memory and executable by the processor to determine, prior to the conclusion of the first and second proposed transactions, if the stored allocated amount of risk has been depleted by the reduction based on the first transaction and act in accordance with the determination to at least one of block or allow the availability of the second proposed transaction to be matched; and wherein the first logic is further executable by the processor to re-allocate the amount of risk to the account after an elapse of a period of time.
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27. A system for protecting a market participant participating in a market, the system comprising:
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a risk allocation processor operative to allocate an amount of risk to the market participant, the allocated amount of risk being stored in an account; a transaction processor coupled with the account and operative to reduce the stored allocated amount of risk by a defined amount of risk based on a first transaction proposed by the market participant but not yet matched with another proposed transaction counter thereto, wherein the transaction processor is further operative to receive a second transaction proposed by the market participant but not yet matched with another proposed transaction counter thereto, the second proposed transaction having been proposed prior to the conclusion of the first proposed transaction; a monitor processor coupled with the account and operative to, prior to the conclusion of the first and second proposed transactions, determine if the stored allocated amount of risk has been depleted by the reduction based on the first proposed transaction; and a transaction handling processor coupled with the monitor processor and, prior to the conclusion of the first and second proposed transactions, operative to take an action in accordance with the determination of the monitor processor to at least one of block or allow the availability of the second proposed transaction to be matched, wherein the second proposed transaction is blocked from being available to be matched if the allocated amount of risk has been depleted and allowed to be available to be matched if the allocated amount of risk has not been depleted; and wherein the risk allocation processor is further operative to re-allocate the amount of risk to the account after an elapse of a period of time.
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Specification