Determination of banding start price for order evaluation

Patent metadata

Field	Value
Publication number	US-10109008-B2
Application number	US-201414158211-A
Country	US
Kind code	B2
Filing date	Jan 17, 2014
Priority date	Aug 15, 2012
Publication date	Oct 23, 2018
Grant date	Oct 23, 2018

Abstract

A banding start price may be generated using one of multiple subroutines. Each of the subroutines may generate a banding start price using a different algorithm and may have different input data criteria. Each of those subroutines may be ranked based expected accuracy of a price output by the subroutine. The banding start price may be generated by the highest ranking subroutine for which there is input data satisfying relevant criteria.

First claim

The invention claimed is:

1. A computer system comprising:
a user computer system, communicatively coupled to a network, the user computer system in communication with an exchange computer system,
at least one computer processor; and
at least one non-transitory computer memory, wherein the at least one non-transitory computer memory stores instructions that, when executed, cause the exchange computer system to perform steps comprising:
receiving, via the network from the user computer system, an offer for a subject financial product, wherein the offer comprises one of a bid price or an ask price;
identifying, by the computer processor, a product type of the subject financial product;
calculating, by the computer processor, a start identifier and an end identifier that collectively define a predefined range based on the product type;
storing, by the computer processor, into a database, the start identifier and the end identifier that collectively define the predefined range;
updating the predefined range when a new offer is received, via the network from the user computer system, that does not have the product type;
selecting one from a plurality of subroutines stored in the at least one non-transitory computer memory based on satisfying a calendar spread criteria, wherein the selected one is a highest-ranked subroutine based on how closely it indicates a fair market value;
blocking, by the processor, execution of all but the selected one subroutine, wherein each of the plurality of subroutines is programmed with a different algorithm;
generating a band start price (BSP) using the selected one subroutine;
determining, as a result of determining a difference between bid and ask prices for subject financial products of a subject financial product type is not within the predefined range, if there is a calendar spread type satisfying calendar spread criteria, wherein the calendar spread criteria require that a calendar spread type satisfying the criteria include the subject financial product type as one leg;
generating, as a result of determining there is a calendar spread type satisfying the calendar spread criteria, a banding start price for the subject financial product type by calculating a value for the subject financial product type based on a difference between bid and ask prices for calendar spreads of the satisfying calendar spread type, and on a price value of a different financial product type forming an other leg of the satisfying calendar spread type; and
processing orders for subject financial products of the subject financial product type based on whether prices of the orders are within a predefined range of the banding start price.

2. The computer system of claim 1 , wherein the stored instructions further comprise instructions that, when executed, cause the computer system to perform operations that include:
determining, as a result of determining there is no calendar spread type satisfying the calendar spread criteria, if there is a related product type pair satisfying related pair criteria, wherein the related pair criteria require a related product type pair satisfying the related pair criteria to include
a first financial product type having an underlying that is the same as a subject underlying of the subject financial product type and corresponding to a first time preceding a subject time corresponding to the subject financial product type, and
a second financial product type having an underlying that is the same as the subject underlying and corresponding to a second time following the subject time, and
generating, as a result of determining there is a related product type pair satisfying the related pair criteria, a banding start price of the subject financial product type by calculating a price value for the subject financial product type based on the subject time and based on the following for the satisfying related product type pair: a first price value for the first financial product type, a second price value for the second financial product type, the first time and the second time.

3. The computer system of claim 2 , wherein the stored instructions further comprise instructions that, when executed, cause the computer system to perform operations that include:
determining, as a result of determining there is no related product type pair satisfying the related pair criteria, if there is a similar financial product type satisfying similar product criteria, wherein the similar product criteria require a similar product type satisfying the similar product criteria to
have an underlying that is the same as the subject underlying, and
have pricing data associated with a current period, and

generating, as a result of determining there is a similar financial product type satisfying the similar product criteria, a banding start price of the subject financial product type by calculating a value for the subject financial product type based on a current price value of the satisfying similar financial product type and settlement prices for the satisfying similar financial product type and the subject financial product type during a period preceding the current period.

4. The computer system of claim 3 , wherein the stored instructions further comprise instructions that, when executed, cause the computer system to perform operations that include:
determining, as a result of determining there is no similar financial product type satisfying the similar product criteria, if there is a price value for the subject financial product type satisfying market-bettering criteria, and
assigning, as a result of determining there is a price value for the subject financial product type satisfying market-bettering criteria that price value as a banding start price for the subject financial product type.

5. The computer system of claim 4 , wherein the market-bettering criteria require that a price value satisfying market-bettering criteria be associated with an order for a subject financial product received subsequent to determination of a most recent settlement value for the subject financial product type and reflect at least one of
a bid price higher than the most recent settlement value,
an ask price lower than the most recent settlement value,
a bid price higher than another price previously satisfying the market-bettering criteria, and
an ask price lower than another price previously satisfying the market-bettering criteria.

6. The computer system of claim 4 , wherein the stored instructions further comprise instructions that, when executed, cause the computer system to perform operations that include:
assigning, as a result of determining there is no price value for the subject financial product type satisfying market-bettering criteria, the most recent settlement value for the subject financial product type as a banding start price for the subject financial product type.

7. The computer system of claim 1 , wherein the calendar spread criteria further require that
a calendar spread bid/ask difference be within a predefined range, the calendar spread bid/ask difference representing a difference between bid and ask prices for calendar spreads of a calendar spread type satisfying the calendar spread criteria, and
an other leg bid/ask difference be within a predefined range, the other leg bid/ask difference representing a difference between bid and ask prices for different financial products of a different financial product type of a calendar spread type satisfying the calendar spread criteria.

8. The computer system of claim 7 , wherein
determining if there is a calendar spread type satisfying calendar spread criteria comprises identifying multiple calendar spread types satisfying the calendar spread criteria, each of the

Assignees

• Chicago Mercantile Exchange Inc
• Chicago Mercantile Exchange Inc

Inventors

• Scheerer John
• Almeida Randal

Classifications

• G06Q40/04 Primary

  Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange · CPC title