System and method for controlling markets during a stop loss trigger

• US 8,924,278 B2
• Filed: 11/14/2003
• Issued: 12/30/2014
• Est. Priority Date: 07/25/2003
• Status: Active Grant

• Current Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Original Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Inventors: Farrell, James, Krause, James, Chadid, Mazen
• Primary Examiner(s): Donlon, Ryan D
• Application Number:
  US10/713,126
• Publication Number:
  US 20050108141A1
• Time in Patent Office: 4,064 Days
• Field of Search: 705/26, 705 35- 37
• US Class Current: 705/37
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• 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 and method for mitigating effects of a market spike caused by triggering and election of a conditional order in an automated matching system. The system includes evaluation logic which monitors conditional orders submitted to a trading engine compares a price of an order to a first predefined price range (“first range”) and delay logic which delays matching of the submitted orders when the price thereof lie outside of the first range. Pricing logic derives an opening price for use by the trading engine. Timing logic measures a time interval to delay matching of the orders until the opening price is within a predefined price range up to a maximum delay time set by a control center.

Claims

1. A computer system that mitigates the effects of rises or falls in market prices of a product caused by conditional execution of an order for the product, the computer system comprising:

a processor and a memory coupled therewith, the processor being configured to cause the system to receive orders for the product during a trading session, compare an execution price of a conditional order for the product to a price threshold range, discontinue matching of received orders for the product when an execution price of the conditional order lies outside of the price threshold range, compare a derived indicative opening price to the price threshold range, wherein the derived indicative opening price is derived in real-time using orders for the product received subsequent to the discontinuation of the matching of orders for the product, compare the indicative opening price to the price threshold range, modify the price threshold range when the comparison indicates that the indicative opening price is outside the price threshold range, and resume the matching of orders for the product when the derived indicative opening price lies within the modified price threshold range.

2. The system of claim 1 wherein the execution price of the conditional order comprises a price range within which the conditional order is satisfied and a trade is executed.

3. The system of claim 1 wherein the price threshold range comprises a no-bust range.

4. The system of claim 2 wherein the memory is configured to use a time parameter to determine a maximum period of time that a matching of orders may be delayed.

5. The system of claim 1 further comprising a matching system coupled to the processor.

6. The system of claim 1 wherein the processor further compares an execution price of the conditional order to a price threshold range in real-time.

7. A non-transitory computer readable medium storing instructions which when executed by a programmed processor, cause the programmed processor to perform a method comprising:

monitoring orders for a product submitted to a trading engine in an automated matching system during a trading session for the product;

comparing the price of a conditional order for the product to a price range;

discontinuing matching of orders for the product submitted to the trading engine when an execution price of the conditional order lies outside of the price range;

deriving an indicative opening price to be used by the trading engine, wherein the indicative opening price is derived in real-time from orders for the product received while the matching of orders is discontinued;

comparing the indicative opening price to the price range;

modifying the price range to a second price range when the comparison indicates that the indicative opening price is outside the price range; and

resuming the matching of the orders when the indicative opening price lies within the second price range such that an effect of a market spike caused by triggering and election of the conditional order is mitigated.

8. The non-transitory computer readable medium of claim 7 wherein the discontinuing the matching of orders further comprises discontinuing the matching of orders until the opening price lies within the second price range up to a maximum time period.

9. A non-transitory computer readable medium storing instructions which when executed by a programmed processor perform a method for mitigating the effect of a market spike caused by the triggering and the election of a conditional order for a product, the computer readable medium comprising:

an evaluation logic stored on the non-transitory computer readable medium and executable by the programmed processor to monitor orders for the product submitted to a trading engine in an automated matching system during a trading session for the product, the evaluation logic being configured to compare an execution price of the conditional order to a price range;

a discontinue logic stored on the non-transitory computer readable medium and executable by the programmed processor to discontinue matching of the orders for the product submitted to the trading engine when the execution price of the conditional order lies outside of the price range by establishing a reserved state for the submitted orders for the product;

a pricing logic stored on the non-transitory computer readable medium and executable by the programmed processor to derive an indicative opening price to be used by the trading engine, wherein the indicative opening price is derived in real-time from orders for the product requested while the matching of the orders for the product is discontinued, and wherein the pricing logic is further executable by the programmed processor to compare the indicative opening price to the price range and modify the price range when the comparison indicates that the indicative opening price is outside the price range; and

a timing logic stored on the non-transitory computer readable medium and executable by the programmed processor for measuring a time while the matching of the orders for the product is discontinued up to a maximum delay time set by a control center, wherein the reserved state is removed and the matching of orders for the product is resumed when the indicative opening price is within the modified price range prior to the expiration of the maximum delay time.

10. A non-transitory computer readable medium storing instructions which when executed by a programmed processor cause the programmed processor to perform the following:

monitoring orders for a product submitted to a trading engine in an automated matching system during a trading session for the product;

comparing the price of a stop order for the product to a price range;

discontinuing the matching of orders for the product submitted to the trading engine when an execution price of the stop order lies outside of the price range;

deriving an indicative opening price to be used by the trading engine, wherein the indicative opening price is derived in real-time from orders for the product requested during the discontinuing the matching of orders,

comparing the indicative opening price to the price range, and

modifying the price range when the comparison indicates that the indicative opening price is outside the price range,

wherein the discontinuing the matching of the orders for the product is performed until the indicative opening price lies within the modified price range up to a maximum delay time set by a control center.