Automated trading exchange system having integrated quote risk monitoring and integrated quote modification services

• US 7,980,457 B2
• Filed: 02/22/2008
• Issued: 07/19/2011
• Est. Priority Date: 12/30/1999
• Status: Expired due to Fees

• Current Assignee: Cboe Exchange, Inc. (Cboe Global Markets, Inc.)
• Original Assignee: Chicago Board Options Exchange Incorporated (Cboe Global Markets, Inc.)
• Inventors: Angell, Richard A., Kaminsky, Ross G., Evora, Gordon D.
• Primary Examiner(s): RUDY, ANDREW J
• Application Number:
  US12/035,996
• Publication Number:
  US 20080208734A1
• Time in Patent Office: 1,243 Days
• Field of Search: 235/375, 235/376, 235/380, 235/385, 705/35, 705/36.R, 705/37, 705/38, 705/39, 705/40, 705/41
• US Class Current: 235/375
• CPC Class Codes: G06Q 40/03 Credit; Loans; Processing thereof
• 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
• CPC Class Codes: G06Q 40/08 Insurance

Abstract

An automated trading exchange having integrated quote risk monitoring and quote modification services. An apparatus is implemented using at least one computer, having memory, and a processor. The computer is configured to receive orders and quotes, wherein specified ones of the quotes are contained in a quote group, and have associated trading parameters such as a risk threshold. Not all received quotes are required to have trading parameters as described herein. Preferably, the quote group contains all the quotes, or a subset of quotes, belonging to an individual market-maker for a given class of options contracts, or possibly the quotes of two or more market-makers that have identified themselves as belonging to a group for the purposes of risk monitoring and quote modification. The computer typically generates a trade by matching the received orders and quotes to previously received orders and quotes, and otherwise stores each of the received orders and quotes if a trade is not generated. The computer then determines whether a quote within the quote group has been filled as a result of the generated trade, and if so, determines a risk level and an aggregate risk level associated with said trade. The computer then compares the aggregate risk level with the market-maker'"'"'s risk threshold, and if the threshold is exceeded, automatically modifies at least one of the remaining quotes in the quote group. The computer may also automatically regenerate quotes that have been filled.

Claims

1. A system for processing trades of securitized instruments based on security orders and quotes received from client computers, comprising:

at least one server computer comprising a memory, and a processor, said server computer configured to perform the steps of;

receiving orders and quotes, wherein specified ones of said quotes belong to a quote group, and wherein said specified ones of said quotes have associated trading parameters comprising a risk threshold;

generating a trade by matching said received orders and quotes to previously received orders and quotes;

storing each of said orders and quotes when a trade is not generated;

determining whether a quote having associated trading parameters has been filled as a result of the generated trade, and if so, determining a risk level and an aggregate risk level associated with said trade;

comparing said aggregate risk level with said risk threshold; and

,

automatically modifying at least one of the remaining specified ones of said quotes in the quote group if said threshold is exceeded.

2. The apparatus of claim 1 further comprising a quote data structure stored in said first memory, said data structure containing a plurality of quotes fields and at least one risk threshold field.

3. The apparatus of claim 2, wherein said plurality of quote fields comprises a bid quote field and an offer quote field.

4. The apparatus of claim 2, wherein said data structure further comprises a group indicator field.

5. The apparatus of claim 2, wherein said data structure further comprises a quote modification increment field.

6. The apparatus of claim 2, wherein said data structure further comprises a quote regeneration increment field.

7. The apparatus of claim 2, wherein said data structure further comprises an owner field.