Matched order fulfillment with linear optimization

Patent metadata

Field	Value
Publication number	US-10430878-B2
Application number	US-201213617845-A
Country	US
Kind code	B2
Filing date	Sep 14, 2012
Priority date	Sep 14, 2012
Publication date	Oct 1, 2019
Grant date	Oct 1, 2019

Abstract

A method for matching compound orders from a group of market participants includes receiving, via a communication network, compound order data, the compound order data specifying a maximum amount of a financial instrument of a plurality of financial instruments to be bought or sold by each market participant, accessing a memory in which price data is stored, the price data indicating a current price of each financial instrument, implementing, with a processor, a linear solver to maximize fulfillment of the compound orders via order matching for execution at the current prices in accordance with the maximum amounts specified in the compound order data and in accordance with a maximum net risk exposure level for each market participant arising from the fulfillment of the compound orders, and transmitting trade data indicative of the order matching for execution of trades among the market participants at the current prices.

First claim

What is claimed is:

1. A computer implemented method for matching compound orders, the method comprising:
receiving, by a server computer system in communication with a plurality of computer devices via a communication network, compound order data from a group of market participants for a plurality of financial instruments, the compound order data for each market participant of the group of market participants representing a single composite order for multiple financial instruments of the plurality of financial instruments, the compound order data specifying, for at least one of the market participant of the group of market participants, at least one non-listed combination of two or more of the plurality of financial instruments, the compound order data specifying a maximum amount of each financial instrument of the plurality of financial instruments to be bought or sold by each market participant of the group of market participants;
accessing a memory in which price data is stored, the price data indicating a respective price of each financial instrument of the plurality of financial instruments at which the compound orders are to be executed;
implementing, with a processor of the server computer system, a linear solver configured for fulfillment of the compound orders, the fulfillment being via order matching for execution at the respective price of each financial instrument of the plurality of financial instruments; and
transmitting trade data indicative of the order matching for execution of trades among the market participants at the respective price of each financial instrument of the plurality of financial instruments;
wherein implementing the linear solver comprises:
configuring the linear solver via a number of constraints on an integer operant function directed to maximizing the fulfillment for the group of market participants, the number of constraints comprising the maximum amounts specified in the compound order data, a respective maximum net risk exposure level for each market participant, and that a net zero number of positions is created for each financial instrument;
determining net risk exposure levels for each market participant by offsetting, for each market participant, risk exposure values resulting from buy orders with risk exposure values resulting from sell orders; and
optimizing the integer operant function using the linear solver;

wherein each respective maximum net risk exposure level specifies long and short bounds on net risk exposure level that allow each market participant to be allocated an unbalanced portfolio as a result of the fulfillment; and
wherein the compound orders to buy the financial instruments are indicated in the integer operant function via integer numbers of contracts having an opposite sign of the orders to sell the financial instruments.

2. The computer implemented method of claim 1 wherein the order matching within each financial instrument is a further constraint on the integer operant function.

3. The computer implemented method of claim 1 further comprising receiving, via the communication network, the maximum net risk exposure level for at least one of the market participants.

4. The computer implemented method of claim 1 wherein the maximum net risk exposure level is a maximum net beta-weighted notional exposure level.

5. The computer implemented method of claim 1 wherein:
the plurality of financial instruments are correlated with a market; and
the net risk exposure levels are determined based on a risk metric of each financial instrument relative to a market indicator of the market.

6. The computer implemented method of claim 5 wherein the market indicator is a market index.

7. A server computer system for matching compound orders, the server computer system comprising a processor and a memory coupled therewith, the server computer system further comprising:
first logic stored in the memory and executable by the processor to receive, from a plurality of computer devices in communication with the server computer system via a communication network, compound order data from a group of market participants for a plurality of financial instruments, the compound order data for each market participant of the group of market participants representing a single composite order for multiple financial instruments of the plurality of financial instruments, the compound order data specifying, for at least one of the market participant of the group of market participants, at least one non-listed combination of two or more of the plurality of financial instruments, the compound order data specifying a maximum amount of each financial instrument of the plurality of financial instruments to be bought or sold by each market participant of the group of market participants;
second logic stored in the memory and executable by the processor to cause the processor to access a database in which price data is stored, the price data indicating a respective price of each financial instrument of the plurality of financial instruments at which the compound orders are to be executed;
third logic stored in the memory and executable by the processor to cause the processor to implement a linear solver configured for fulfillment of the compound orders, the fulfillment being via order matching at the respective price of each financial instrument of the plurality of financial instruments; and
fourth logic stored in the memory and executable by the processor to cause the processor to transmit trade data indicative of the order matching for execution of trades among the market participants at the respective price of each financial instrument of the plurality of financial instruments;
wherein the third logic is further executable by the processor to cause the processor to:
configure the linear solver via a number of constraints on an integer operant function directed to maximizing the fulfillment for the group of market participants, the number of constraints comprising the maximum amounts specified in the compound order data, a respective maximum net risk exposure level for each market participant, and that a net zero number of positions is created for each financial instrument;
determine net risk exposure levels for each market participant by offsetting, for each market participant, risk exposure values resulting from buy orders with risk exposure values resulting from sell orders; and
optimize the integer operant function using the linear solver;

wherein each respective maximum net risk exposure level specifies long and short bounds on net risk exposure level that allow each market participant to be allocated an unbalanced portfolio as a result of the fulfillment; and
wherein the compound orders to buy the financial instruments are indicated in the integer operant function via integer numbers of contracts having an opposite sign of the orders to sell the financial instruments.

8. The system of claim 7 wherein the order matching within each financial instrument is a further constraint on the integer operant function.

9. The system of claim 7 wherein the second logic is further executable by the processor to cause the processor to receive, via the communication network, the maximum net risk exposure level for at least one of the market participants.

10. The system of claim 7 wherein the maximum net risk exposure level is a maximum net beta-weighted notional exposure level.

11. The system of claim 7 wherein:
the plurality of financial instruments are correlated with a market;
the net risk exposure levels are determined based on a risk metric of each financial instrument relative to a market indicator of the market; and
the market indicator is a market

Assignees

• Co Richard
• Nyhoff John
• Su Xing
• Wang Tuen Tuen
• Labuszewski John
• Chicago Mercantile Exchange Inc

Inventors

• Co Richard
• Nyhoff John
• Su Xing
• Wang Tuen Tuen
• Labuszewski John

Classifications

• G06Q40/04 Primary

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

• G06Q20/4016

  involving fraud or risk level assessment in transaction processing · CPC title