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System and method for risk management

  • US 8,380,599 B2
  • Filed: 05/14/2012
  • Issued: 02/19/2013
  • Est. Priority Date: 11/26/2002
  • Status: Active Grant
First Claim
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1. A non-transitory computer readable medium having stored therein instructions executable by a processor, wherein the instructions are executable to:

  • determine a total maximum leg position based on maximum leg positions for each of one or more tradeable objects, wherein the maximum leg positions represent a maximum position in each leg;

    determine 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;

    determine 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;

    determine a first margin requirement based on the number of spreads and a first base margin value;

    determine 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;

    determine a second margin requirement based on the maximum number of outrights and a second base margin value;

    determine a total margin requirement based on the first margin requirement and the second margin requirement; and

    provide 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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