Trade matching platform with variable pricing based on clearing relationships

• US 8,781,948 B2
• Filed: 08/01/2012
• Issued: 07/15/2014
• Est. Priority Date: 02/02/2011
• Status: Active Grant

• Current Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Original Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Inventors: Studnitzer, Ari, Peck-Walden, Pearce, Farrell, James W., Callaway, Paul J., Galster, Barry L.
• Primary Examiner(s): Shrestha, Bijendra K
• Application Number:
  US13/564,234
• Publication Number:
  US 20130198054A1
• Time in Patent Office: 713 Days
• Field of Search: 705/37, 705/36.R, 705/35
• US Class Current: 705/37
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Abstract

The disclosure describes systems and methods for using enhanced RFQs and incoming enhanced orders to assist in detecting implied orders using an implied spread determination module. In one example, a system includes a processor and memory storing a search list and computer-executable instructions, where the instructions determine whether the financial instrument associated with an eRFQ or new enhanced order is on the search list, and then determine if an implied order exists in combination with that financial instrument and CCP attribute designations. In some embodiments, a timer may be used to track a predetermined amount of time to spend towards determining if implied orders exist for a particular financial instrument at particular clearing houses.

Claims

1. A computer-assisted method comprising:

receiving, by at least one computer processor, an enhanced request for quote (eRFQ) at a request for quote processor module, wherein the eRFQ includes an attribute configured to identify at least one clearing house, wherein the eRFQ includes an inquiry regarding the current market for a financial instrument associated with the eRFQ;

determining, by the at least one computer processor using an implied spread determination module, that the financial instrument associated with the eRFQ in combination with one or more resting orders creates an implied spread, the implied spread comprising multiple legs, a first of the multiple legs corresponding to the financial instrument associated with the eRFQ and a second leg of the multiple legs corresponding to a resting order of the one or more resting orders;

determining, by the at least one computer processor using the implied spread determination module, that the attribute of the eRFQ configured to identify at least one clearing house in combination with clearing house requirements of one or more resting orders allows clearing of appropriate matched legs; and

sending, by the at least one computer processor using the implied spread determination module, a notification of the created implied spread to an electronic match engine for matching, the matching including executing all the multiple legs of the implied spread.

2. The method of claim 1, further comprising:

comparing, using the request for quote processor module, the financial instrument associated with the eRFQ to a search list, the search list comprising a plurality of financial instruments to be monitored for implied spreads; and

wherein the two determining steps result from the financial instrument associated with the eRFQ being in the search list.

3. The method of claim 2, where the comparing includes:

comparing the financial instrument associated with the eRFQ to a collection of needed orders which are generated based on requirements of acceptable trade templates.

4. The method of claim 3, where the two determining steps occur in parallel with and apart from an electronic match engine in the exchange computer system, the method further comprising:

updating the collection of needed orders based on the two determining steps occurring in parallel apart from the electronic match engine.

5. The method of claim 1, where the financial instrument associated with the eRFQ is a synthetic implied spread order comprising information to facilitate matching by the electronic match engine of the synthetic implied spread order with the one or more resting orders, the information comprising order book identifiers;

where the determining includes verifying the information that facilitates matching of the synthetic implied spread order, including confirming status of orders in order books corresponding to the order book identifiers; and

where the matching by the electronic match engine includes using the information of the implied spread order to facilitate matching.

6. The method of claim 1, the two determining steps occurring in at least one remote computer outside the exchange.

7. The method of claim 1, wherein the financial instrument associated with the eRFQ is one of:

an outright order for a futures contract, a spread order for a futures contract, and an outright order for an options contract.

8. A computerized apparatus comprising:

a computer processor configured to execute computer-executable instructions; and

a computer memory storing a search list and the computer-executable instructions, which when executed by the computer processor, cause or enable the apparatus to;

receive an enhanced order, wherein the enhanced order includes an attribute configured to identify at least one clearing house, wherein the enhanced order includes a request to buy or sell a financial instrument;

determine, using an implied spread determination module, that a combination of the enhanced order with one or more resting orders for the financial instrument creates an implied spread, the implied spread comprising multiple legs, a first of the multiple legs corresponding to the financial instrument associated with the enhanced order and a second leg of the multiple legs corresponding to a resting order of the one or more resting orders;

determine, using the implied spread determination module, that the attribute of the enhanced order configured to identify at least one clearing house in combination with clearing house requirements of one or more resting orders allows clearing of appropriate matched legs; and

send a notification of the created implied spread to an electronic match engine for matching, the matching including executing all the multiple legs of the implied spread.

9. The apparatus of claim 8, where the search list comprises a plurality of financial instruments to be monitored for implied spreads and is updated based on the determining occurring in the implied spread determination module that the combination of one or more resting orders creates an implied spread.

10. The apparatus of claim 8, where the search list is emptied to prevent determination of whether the financial instrument associated with the new enhanced order creates an implied order.

11. The apparatus of claim 8, where the financial instrument is one of a futures contract and an options contract.

12. A computer-assisted method comprising:

receiving an enhanced order at an electronic match engine, wherein the enhanced order includes an attribute configured to identify at least one clearing house, wherein the enhanced order includes a request to buy or sell a financial instrument;

determining, using an implied spread determination module, that a combination of the enhanced order with one or more resting orders for the financial instrument creates an implied spread, the implied spread comprising multiple legs, a first of the multiple legs corresponding to the financial instrument associated with the enhanced order and a second leg of the multiple legs corresponding to a resting order of the one or more resting orders;

determining, using the implied spread determination module, that the attribute of the enhanced order configured to identify at least one clearing house in combination with clearing house requirements of one or more resting orders allows clearing of appropriate matched legs; and

sending, using the implied spread determination module, a notification of the created implied spread to the electronic match engine for matching, the matching including executing all the multiple legs of the implied spread.

13. The method of claim 12, further comprising:

comparing the financial instrument associated with the enhanced order to a search list, the search list comprising a plurality of financial instruments to be monitored for implied spreads; and

wherein the two determining steps result from the financial instrument associated with the enhanced order being in the search list.

14. The method of claim 13, where the comparing includes:

comparing the financial instrument associated with the enhanced order to a collection of needed orders which are generated based on requirements of acceptable trade templates.

15. The method of claim 12, where the two determining steps occur in parallel with and apart from an electronic match engine in the exchange computer system, the method further comprising:

updating the collection of needed orders based on the two determining steps occurring in parallel apart from the electronic match engine.

16. The method of claim 12, where the financial instrument associated with the enhanced order is a synthetic implied spread order comprising information to facilitate matching by the electronic match engine of the synthetic implied spread order with the one or more resting orders, the information comprising order book identifiers;

where the determining includes verifying the information that facilitates matching of the synthetic implied spread order, including confirming status of orders in order books corresponding to the order book identifiers; and

where the matching by the electronic match engine includes using the information of the implied spread order to facilitate matching.

17. The method of claim 12, the two determining steps occurring in at least one remote computer outside the exchange.

18. The method of claim 12, wherein the financial instrument associated with the enhanced order is one of:

an outright order for a futures contract, a spread order for a futures contract, and an outright order for an options contract.

19. A non-transitory computer-readable medium storing computer-executable instructions that when executed by a processor cause a computing device to perform steps comprising:

receiving an enhanced request for quote (eRFQ) at a request for quote processor module, wherein the eRFQ includes an attribute configured to identify at least one clearing house, wherein the eRFQ includes an inquiry regarding the current market for a financial instrument associated with the eRFQ;

determining, using an implied spread determination module, that the financial instrument associated with the eRFQ in combination with one or more resting orders creates an implied spread, the implied spread comprising multiple legs, a first of the multiple legs corresponding to the financial instrument associated with the eRFQ and a second leg of the multiple legs corresponding to a resting order of the one or more resting orders;

determining, using the implied spread determination module, that the attribute of the eRFQ configured to identify at least one clearing house in combination with clearing house requirements of one or more resting orders allows clearing of appropriate matched legs; and

sending, using the implied spread determination module, a notification of the created implied spread to an electronic match engine for matching, the matching including executing all the multiple legs of the implied spread.

20. The non-transitory computer-readable medium of claim 19 further storing computer-executable instructions that when executed by the processor cause the computing device to perform steps comprising:

comparing, using the request for quote processor module, the financial instrument associated with the eRFQ to a search list, the search list comprising a plurality of financial instruments to be monitored for implied spreads; and

wherein the two determining steps result from the financial instrument associated with the eRFQ being in the search list; and

wherein the comparing includes comparing the financial instrument associated with the eRFQ to a collection of needed orders which are generated based on requirements of acceptable trade templates.