Systems and methods for iterative optimization of related objects

Patent metadata

Field	Value
Publication number	US-11205224-B2
Application number	US-201916535617-A
Country	US
Kind code	B2
Filing date	Aug 8, 2019
Priority date	Jan 19, 2016
Publication date	Dec 21, 2021
Grant date	Dec 21, 2021

Abstract

A computer implemented method for assigning values to objects includes receiving a plurality of values for each of a plurality of base objects including a first and second base object; receiving a plurality of values for a first composite object associated with the first and second base objects; generating and storing in the memory a solution set including combinations of values of the first and second base objects; for each combination in the solution set, generating first transaction results by computing transactions between the values of the first and second base objects; comparing each of the first transaction results to a first range of values including the values of the first composite object; and removing, from the solution set and from the memory, the combinations of the values of the first and second base objects corresponding to the first transaction results that are outside of the first range of values.

First claim

The invention claimed is:

1. A computer implemented method for reducing or minimizing the number of data sets stored in a memory and/or operations performed when computing settlement in a trading system, the computer implemented method comprising:
identifying, by a processor, values for a plurality of outright contracts and a plurality of related spread instruments;
generating, by the processor and storing in a memory, data indicative of said solution set comprising possible combinations of values for a first outright contract and a second outright contract of the plurality of outright contracts, the data being characterized by an initial amount;
comparing, by the processor, each combination of values in the solution set stored in the memory to a value of a related spread instrument of the plurality of related spread instruments;
removing, by the processor, one or more combinations of values from the solution set stored in the memory as a function of the comparison, the amount of the data being reduced thereby from the initial amount;
repeating, by the processor, the generating, the comparing, and the removing by iteratively applying values for other outright contracts of the plurality of outright contracts to the solution set until each outright contract of the plurality of outright contracts has been applied;
identifying, by the processor, one combination of values remaining in the solution set stored in the memory;
removing, by the processor, all of the values other than the values in the one combination of values from the solution set stored in the memory, the amount of the data being further reduced thereby from the amount resulting from the repeated removing of the one or more combinations of values; and
calculating, by the processor, a settlement value for the plurality of outright contracts using the one combination of values which remains stored in the memory.

2. The computer implemented method of claim 1 , wherein identifying the one combination of values comprises:
determining, by the processor, that the solution set includes zero combinations of values of outright contracts, reverting the solution set to a previous version of the solution set including at least one combination of values of outright contracts;
determining, by the processor, that previous version of the solution set includes one combination of values of outright contracts; and
identifying, by the processor, the one combination of values.

3. The computer implemented method of claim 1 , wherein identifying one combination of values comprises:
determining, by the processor, that the solution set includes zero combinations of values of outright contracts, reverting the solution set to a previous version of the solution set including at least one combination of values of outright contracts;
determining, by the processor, that the previous version of the solution set includes at least two combinations of values of outright contracts;
applying, by the processor, a tiebreaker until the previous version of the solution set includes one combination of values of outright contracts; and
identifying, by the processor, the one combination of values.

4. The computer implemented method of claim 1 , wherein identifying one combination of values comprises:
determining, by the processor, that the solution set includes at least two combinations of values of outright contracts;
applying, by the processor, a tiebreaker until the solution set includes one combination of values of outright contracts; and
identifying, by the processor, the one combination of values.

5. A computer implemented method for assigning values to a plurality of outright contracts using a solutions matrix having a minimal amount of data indicative thereof stored in a memory in an exchange computer system, the computer implemented method comprising:
generating, by a processor coupled with the memory, data indicative of the solutions matrix comprising combinations of values of at least two selected outright contracts, and storing, by the processor, the generated data in the memory, the data being characterized by an initial amount;
filtering, by the processor, the solutions matrix as a function of values for tradeable spread instruments related to the at least two selected outright contracts to remove one or more combinations of values from the solutions matrix stored in the memory, the amount of the data being reduced thereby from the initial amount;
updating, by the processor, the solutions matrix stored in the memory by adding combinations of another selected outright contract of the plurality of outright contracts and filtering the expanded solutions matrix as a function of values for tradeable spread instruments related to the selected outright contracts to remove one or more combinations of values from the solutions matrix stored in the memory until all outright contracts of the plurality of contracts have been added, the amount of the data being reduced thereby from the initial amount;
determining, by the processor, that the solutions matrix stored in the memory comprises one combination of values of outright contracts remaining stored therein;
removing, by the processor, values other than the values in the one combination of values from the solutions matrix stored in the memory, the amount of the data being further reduced thereby from the amount resulting from the filtering and updating; and
calculating, by the processor, a settlement value for the plurality of outright contracts using the one combination of values which remains stored in the solutions matrix stored in the memory.

6. The computer implemented method of claim 5 , wherein identifying the one combination of values comprises:
determining, by the processor, that the solutions matrix includes zero combinations of values of outright contracts, reverting the solutions matrix to a previous version of the solutions matrix including at least one combination of values of outright contracts;
determining, by the processor, that previous version of the solutions matrix includes one combination of values of outright contracts; and
identifying, by the processor, the one combination of values.

7. The computer implemented method of claim 5 , wherein identifying one combination of values comprises:
determining, by the processor, that the solutions matrix includes zero combinations of values of outright contracts, reverting the solutions matrix to a previous version of the solutions matrix including at least one combination of values of outright contracts;
determining, by the processor, that the previous version of the solutions matrix includes at least two combinations of values of outright contracts;
applying, by the processor, a tiebreaker until the previous version of the solutions matrix includes one combination of values of outright contracts; and
identifying, by the processor, the one combination of values.

8. The computer implemented method of claim 7 , wherein the memory includes a pre-programmed value for each outright contract, and wherein the tiebreaker comprises:
for each combination of values of outright contracts:
for each outright contract in the respective combination of values of outright contracts, calculating, by the processor, an absolute difference between each value and the corresponding pre-programmed value;
multiplying, by the processor, each absolute difference by a weighting factor to generate a weighted difference; and
summing, by the processor, all of the weighted differences to calculate a total weighted difference from pre-programmed values;
comparing, by the processor, the total weighted differences from pre-programmed values for the at least two combinations of values; and
removing, by the processor, f

Assignees

• Chicago Mercantile Exchange Inc

Inventors

• Bixby David
• Sturm Frederick
• Carey Edmund
• Anderson Sten
• Kondaveeti Vivek
• Lord Thomas

Classifications

• G06Q40/04 Primary

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