Controlling implied markets during a stop loss trigger

• US 9,633,394 B2
• Filed: 08/09/2012
• Issued: 04/25/2017
• 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
• Primary Examiner(s): LEMIEUX, JESSICA
• Application Number:
  US13/571,135
• Publication Number:
  US 20120330816A1
• Time in Patent Office: 1,720 Days
• Field of Search: 705 35- 38
• 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 mitigates the effects of a market spike caused by the triggering and the election of a conditional order in an automated matching system. Conditional orders submitted to a trading engine are evaluated to compare a price of an order to a predetermined price range. Matching of the orders may be delayed when the price of the orders lies outside of the predetermined price range. An opening price to be used by the trading engine is derived and a time interval is used to delay a matching of the orders until the opening price is within a predetermined price range up to a maximum delay time set by a control center. Implied spreads are also removed until other instruments within a trading unit are verified open.

Claims

1. A computer implemented method for automatically matching requests by a plurality of servers receiving cascading and repeating requests in a predetermined time period comprising:

identifying, by an order processor implemented by at least one of the plurality of servers, a conditional request received over a data communication network;

comparing, by the order processor, an execution value included in the conditional request to a predetermined threshold value;

suspending automatic matching of requests for at least the one of a plurality of products when the execution value exceeds the predetermined threshold value to break a stop order ladder of the cascading and repeating requests;

activating a verification timer in response to the when the execution value exceeds the predetermined threshold value;

wherein a duration of the verification timer is variable and based on the conditional request;

determining and comparing, by a spike control processor in response to the verification timer, an indicative opening value for the at least the one of the plurality of products to the predetermined threshold value; and

automatically matching of requests for the at least the one of the plurality of products when the indicative opening value lies within the predetermined price value.

2. The computer implemented method of claim 1 wherein enabling further includes enabling matching of requests for the at least the one of the plurality of products when the indicative opening value lies within the predetermined threshold value, a timed period lapses, or a manual intervention occurs.

3. The computer implemented method of claim 1 wherein the comparing the execution value further comprises comparing the execution value of the conditional request to the predetermined threshold value in real time.

4. A computer implemented method for automatically matching requests including a ladder of cascading and repeating requests in a predetermined time period comprising:

identifying, by a processor, a conditional request;

comparing, by the processor, an execution value of the conditional request to a predetermined threshold value;

determining, by a spike control processor, whether the execution value of the conditional request lies outside the predetermined threshold value to break a stop order ladder of the cascading and repeating requests; and

when the execution value of the conditional request is determined to lie outside the predetermined threshold value, suspending automatic matching of requests for at least the one of the plurality of products, determining and comparing, by the order processor periodically, an indicative opening value for the at least the one of the plurality of products to the predetermined threshold value, and automatically matching of requests for the at least the one of the plurality of products when the indicative opening value is determined is determined to He within the predetermined threshold value.

5. The computer implemented method of claim 4 wherein enabling further includes enabling matching of requests for the at least the one of the plurality of products when the indicative opening value lies within the predetermined threshold value, a timed period lapses, or a manual intervention occurs.

6. The computer implemented method of claim 4 wherein the comparing the execution value further comprises comparing the execution value of the conditional request to the predetermined threshold value in real time.