Minimization of the consumption of data processing resources in an electronic transaction processing system via selective premature settlement of products transacted thereby based on a series of related products

Patent metadata

Field	Value
Publication number	US-10997656-B2
Application number	US-201815959536-A
Country	US
Kind code	B2
Filing date	Apr 23, 2018
Priority date	Dec 1, 2017
Publication date	May 4, 2021
Grant date	May 4, 2021

Abstract

The disclosed embodiments relate to an exchange computing system which selectively prematurely expires financial instruments in order to finally settle them and remove them from the computing system. In particular, the disclosed embodiments recognize that during the pendency of a futures contract between first available trade date and the expiration, the exchange computing system must facilitate trading thereof by tracking traders positions, providing regular pricing data as well as transacting trades therefore. This consumes exchange resource especially given the number of products offered and the extended length of term for some. Accordingly where contracts can be settled early and thereby removed from being transacted, exchange resources may be conserved.

First claim

What is claimed is:

1. A method comprising:
identifying, automatically by a premature expiration module of an exchange computing system, data indicative of an extended duration financial instrument currently available for trading characterized by an extended duration and an extended expiration date stored in an order book database coupled with the exchange computing system for premature expiration prior to the extended expiration date, the exchange computing system comprising at least one overlapping instrument identifier, daily settlement price identifier, interest rate calculator and settlement processor;
determining, by the overlapping instrument identifier of the exchange computing system, data indicative of two or more shortened duration financial instruments currently available for trading and stored in the order book database, each being characterized by a shortened expiration date different from the shortened expiration dates of the other of the two or more shortened duration financial instruments, and a shortened duration which is shorter than the extended duration, where the shortened expiration dates of the two or more short duration financial instruments are consecutive and one of the shortened expiration dates of the two or more financial instruments is the same as the extended expiration date;
obtaining, by the daily settlement price identifier of the exchange computing system from the order book database, a daily settlement price for each of the two or more shortened duration financial instruments;
computing, by the interest rate calculator of the exchange computing system, an interest rate for each of the two or more shortened duration financial instruments and, based thereon, a compound interest for each of the two or more shortened duration financial instruments, a compound interest for the extended duration financial instrument being a multiplications of the compound interest for each of the two or more the shortened duration financial instruments;
deriving, by the interest rate calculator of the exchange computing system, from the computed compound interest for the extended duration financial instrument, an interest rate for the extended duration financial instrument and based thereon, deriving a final settlement price therefore in advance of the extended expiration date, the derivation compensating for the settlement occurring in advance of the extended expiration date; and
settling, by the settlement processor of the exchange computing system, all open positions in the extended duration financial instrument based on the derived final settlement price, and causing cessation of trading of the extended duration financial instrument wherein the data indicative thereof is removed from the order book database reducing an amount of data stored therein.

2. The method of claim 1 wherein the identifying, by the premature expiration module, further comprises identifying the extended duration financial instrument for premature expiration based on the extended expiration date being one year from a current date.

3. The method of claim 1 wherein the extended and shortened financial instruments comprise interest rate futures contracts.

4. The method of claim 1 wherein the extended duration comprises a quarter of a year and the shortened duration comprises one month of the year.

5. The method of claim 1 wherein the obtained daily settlement price for each of the two or more shortened duration financial instruments is determined based on the last traded price therefore, a subset of most recent transaction prices therefore, or a combination thereof.

6. The method of claim 1 wherein the interest rate for each of two or more shortened duration financial instruments is computed using as 100 minus the obtained daily settlement price thereof.

7. The method of claim 1 wherein the settlement processor is further coupled with a portfolio database which stores data indicative of portfolios of positions held by traders, the method further comprising removing, by the settlement processor from the portfolio database, data indicative of positions in the extended duration financial instrument.

8. A system comprising:
a user interface;
a processor of an exchange computing system;
a non-transitory memory communicatively coupled with the processor, the memory storing instructions, that when executed, cause the processor to:
identify, automatically by a premature expiration module of the exchange computing system, data indicative of an extended duration financial instrument currently available for trading characterized by an extended duration and an extended expiration date stored in an order book database coupled with the exchange computing system for premature expiration prior to the extended expiration date, the exchange computing system comprising at least one overlapping instrument identifier, daily settlement price identifier, interest rate calculator and settlement processor;
determine, by the overlapping instrument identifier of the exchange computing system, data indicative of two or more shortened duration financial instruments currently available for trading and stored in the order book database, each being characterized by a shortened expiration date different from the shortened expiration dates of the other of the two or more shortened duration financial instruments, and a shortened duration which is shorter than the extended duration, where the shortened expiration dates of the two or more short duration financial instruments are consecutive and one of the shortened expiration dates of the two or more financial instruments is the same as the extended expiration date;
obtain, by the daily settlement price identifier of the exchange computing system from the order book database, a current daily settlement price for each of the two or more shortened duration financial instruments;
compute, by the interest rate calculator of the exchange computing system, an interest rate for each of the two or more shortened duration financial instruments and, based thereon, a compound interest for each of the two or more shortened duration financial instruments, a compound interest for the extended duration financial instrument being a multiplications of the compound interest for each of the two or more the shortened duration financial instruments;
derive, by the interest rate calculator of the exchange computing system, from the computed compound interest for the extended duration financial instrument, an interest rate for the extended duration financial instrument and based thereon, deriving a final settlement price therefore in advance of the extended expiration date, the derivation compensating for the settlement occurring in advance of the extended expiration date; and
settle, by the settlement processor of the exchange computing system, all open positions in the extended duration financial instrument based on the derived final settlement price, and cause cessation of trading of the extended duration financial instrument wherein the data indicative thereof is removed from the order book database reducing an amount of data stored therein.

9. The system of claim 8 wherein the identifying, by the premature expiration module, further comprises identifying the extended duration financial instrument for premature expiration based on the extended expiration date being one year from a current date.

10. The system of claim 8 wherein the extended and shortened financial instruments comprise interest rate futures contracts.

11. The system of claim 8 wherein the extended duration comprises a quarter of a year and the shortened duration comprises one month of the year.

12. The system of claim 8

Assignees

• Chicago Mercantile Exchange Inc

Inventors

• Mirza Agha Irtaza
• Carey Edmund
• Sturm Frederick

Classifications

• G06Q40/04 Primary

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