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

• US 9,928,550 B2
• Filed: 03/25/2015
• Issued: 03/27/2018
• Est. Priority Date: 12/30/1999
• Status: Expired due to Fees

• Current Assignee: Cboe Exchange, Inc. (Cboe Global Markets, Inc.)
• Original Assignee: Cboe Exchange, Inc. (Cboe Global Markets, Inc.)
• Inventors: Kaminsky, Ross G., Angell, Richard A., Evora, Gordon D.
• Primary Examiner(s): RUDY, ANDREW J
• Application Number:
  US14/668,359
• Publication Number:
  US 20160048915A1
• Time in Patent Office: 1,098 Days
• Field of Search: 705 35, 705 36, 705 37
• 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. An electronic trading system configured to automatically bypass message queue delays and communication delays for certain trading messages, the electronic trading system comprising:

means for receiving and processing trading messages, the trading messages comprising quote messages, quote modification messages, and orders messages transmitted electronically through an electronic communications network from computers geographically remote from the means for receiving and processing trading messages;

wherein the electronic trading system further comprises a message queue through which quote messages, quote modification messages, and order messages pass when received by the means for receiving and processing trading messages from the geographically remote computers;

the means for receiving and processing trading messages further comprising;

storage means for electronically storing received quote messages and order messages, wherein the quote messages belong to a quote group having an associated risk threshold;

matching and execution means for matching received quote messages with received order messages and, upon the creation of a match, executing a trade based on the match;

quote modification means for automatically and locally generating an exchange quote modification message for bypassing processing of quote messages, quote modification messages, and order messages received from the geographically remote computers, and inserting for immediate processing the exchange quote modification message upon identification of a quote modification event;

wherein, upon the execution of the trade based on the match, the quote modification means determines a risk level corresponding to the trade and an aggregate risk level corresponding to the trade and other trades belonging to the quote group, compares the aggregate risk level to the risk threshold of the quote group, and identifies the quote modification event when the aggregate risk level exceeds the risk threshold of the quote group; and

wherein the means for receiving and processing trading messages is further configured to process the exchange quote modification message by cancelling the received quote messages belonging to the quote group that are stored electronically in the storage means.