System and method for risk management
First Claim
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1. A method including:
- determining by a computing device a total maximum leg position based on maximum leg positions for each of one or more tradable objects, wherein the maximum leg positions represent a maximum position in each leg;
determining by the computing device a number of total outright positions based on a total filled net long position and a total filled net short position, wherein the number of total outright positions represents the number of positions that are not considered part of a spread;
determining by the computing device a number of spreads based on (the total maximum leg position−
the number of total outright positions)/2, wherein the number of spreads represents a generic spread position;
determining by the computing device a first margin requirement based on the number of spreads and a first base margin value;
determining by the computing device a maximum number of outrights based on a number of outrights due to working buy outright orders and a number of outrights due to working sell outright orders, wherein the maximum number of outrights represents the maximum number of outright positions possible with a current configuration of outright market working orders and filled positions;
determining by the computing device a second margin requirement based on the maximum number of outrights and a second base margin value;
determining by the computing device a total margin requirement based on the first margin requirement and the second margin requirement; and
providing by the computing device the total margin requirement, wherein a decision to allow an order to be sent is based on an available margin balance and the total margin requirement.
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Abstract
A margin requirement is computed while trading. The margin requirement may be calculated while trading because the preferred system takes into account working orders to generate the margin requirement. The on the fly possibility allows the preferred system to provide pre-trade risk calculations, but can also be used to provide post-trade calculations. A generic spread number and the maximum number of outright positions are determined. Using the spread positions and the maximum number of outright positions, a spread margin and an outright margin are calculated, which when summed provide a total margin requirement. Limits based in part on the total margin requirement may be imposed on one or more traders.
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Citations
20 Claims
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1. A method including:
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determining by a computing device a total maximum leg position based on maximum leg positions for each of one or more tradable objects, wherein the maximum leg positions represent a maximum position in each leg; determining by the computing device a number of total outright positions based on a total filled net long position and a total filled net short position, wherein the number of total outright positions represents the number of positions that are not considered part of a spread; determining by the computing device a number of spreads based on (the total maximum leg position−
the number of total outright positions)/2, wherein the number of spreads represents a generic spread position;determining by the computing device a first margin requirement based on the number of spreads and a first base margin value; determining by the computing device a maximum number of outrights based on a number of outrights due to working buy outright orders and a number of outrights due to working sell outright orders, wherein the maximum number of outrights represents the maximum number of outright positions possible with a current configuration of outright market working orders and filled positions; determining by the computing device a second margin requirement based on the maximum number of outrights and a second base margin value; determining by the computing device a total margin requirement based on the first margin requirement and the second margin requirement; and providing by the computing device the total margin requirement, wherein a decision to allow an order to be sent is based on an available margin balance and the total margin requirement. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17, 18, 19, 20)
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Specification