Generating implied orders based on electronic requests for quotes

Patent metadata

Field	Value
Publication number	US-11468511-B2
Application number	US-202016749645-A
Country	US
Kind code	B2
Filing date	Jan 22, 2020
Priority date	Jun 17, 2010
Publication date	Oct 11, 2022
Grant date	Oct 11, 2022

Abstract

Systems and methods for determining implied spreads are provided. More particularly, implied spread financial transactions are generated using information from requests for quotes (RFQs). An RFQ processor module may focus the calculations performed by an implied spread determination module. A financial instrument associated with an RFQ may be provided to the implied spread determination module to trigger the determination of whether implied orders exist related to that particular financial instrument.

First claim

The invention claimed is:

1. A system comprising:
a processor configured to execute computer-executable instructions stored in a memory coupled therewith that when executed cause the processor to:
initiate, upon receipt of an electronic request for quote for a financial instrument which does not create an order therefore at an electronic match engine, a timer component operative to measure elapse of a pre-determined period of time;
determine that the received electronic request for quote has not received a manual response thereto before the pre-determined time period has elapsed and that the financial instrument is one of a plurality of financial instruments for which data indicating that the plurality of financial instruments are to be monitored is stored in the memory, and, based thereon, cause an implied spread determination module, coupled with the processor, to determine, via execution of a first processing thread, that the financial instrument creates an implied spread comprising at least one leg corresponding to a resting order, and communicate an electronic notification of the implied spread, including data indicative of the at least one leg, to an electronic match engine which, based thereon, executes a second processing thread in parallel with the first processing thread to contemporaneously execute each of the legs resting orders of the implied spread identified in the notification without preventing the electronic match engine from processing other incoming orders; and
generate, based on determination of the implied spread processor that the electronic request for quote creates the implied spread and that the electronic match engine has executed each of the legs thereof, a synthesized electronic response to the electronic request for quote comprising data indicative of the completed execution of the implied spread.

2. The system of claim 1 , wherein the electronic notification comprises an order book identifier.

3. The system of claim 1 , wherein the electronic response includes information resulting from the execution of each of the legs of the implied spread.

4. The system of claim 1 , wherein the data indicating that the plurality of financial instruments are to be monitored comprises a search list stored in the memory.

5. The system of claim 1 , wherein the execution of the computer-executable instructions further causes the processor to update the plurality of financial instruments to be monitored based on the determination by the implied spread determination module that the financial instrument of the electronic request for quote creates an implied spread.

6. The system of claim 1 , wherein the financial instrument is one of a futures contract or an options contract.

7. The system of claim 1 , wherein the implied spread determination module has a limited amount of time to determine that the financial instrument creates an implied spread subsequent to expiration of the pre-determined time period.

8. The system of claim 1 , wherein the implied spread determination module is communicatively coupled over a computer network with the electronic match engine, and the electronic notification is communicated over the computer network.

9. The system of claim 1 , wherein the electronic request for quote comprises a synthetic implied spread order comprising information to facilitate matching by the electronic match engine of the synthetic implied spread order with the resting order, and wherein the determination by the implied spread determination module comprises confirmation of a status of resting orders in order books of the electronic match engine to facilitate matching.

10. A computer implemented method comprising:
initiating, by a processor upon receipt of an electronic request for quote for a financial instrument which does not create an order therefore at an electronic match engine, a timer component operative to measure elapse of a pre-determined period of time;
determining, by the processor, that the received electronic request for quote has not received a manual response thereto before the pre-determined time period has elapsed and that the financial instrument is one of a plurality of financial instruments for which data indicating that the plurality of financial instruments are to be monitored is stored in a memory coupled with the processor;
causing, by the processor based on the determining, an implied spread determination module to determine, via execution of a first processing thread, that the financial instrument creates an implied spread comprising at least one leg corresponding to a resting order, and communicate an electronic notification of the implied spread, including data indicative of the at least one leg, to an electronic match engine which, based thereon, executes a second processing thread in parallel with the first processing thread to contemporaneously execute each of the legs of the implied spread identified in the notification without preventing the electronic match engine from processing other incoming orders; and
generating, by the processor based on determination of the implied spread processor that the electronic request for quote creates the implied spread and that the electronic match engine has executed each of the legs thereof, a synthesized electronic response to the request for quote comprising data indicative of the completed execution of the implied spread.

11. The method of claim 10 , wherein the execution of each of the legs of the implied spread occurs with no slippage risk.

12. The method of claim 10 , wherein the electronic notification comprises an order book identifier.

13. The method of claim 10 , wherein the electronic response includes information resulting from the execution of each of the legs of the implied spread.

14. The method of claim 10 , wherein the data indicating that the plurality of financial instruments are to be monitored comprises a search list stored in the memory.

15. The method of claim 10 , wherein the execution of the computer-executable instructions further causes the processor to update the plurality of financial instruments to be monitored based on the determination by the implied spread determination module that the financial instrument of the electronic request for quote creates an implied spread.

16. The method of claim 10 , wherein the financial instrument is one of a futures contract or an options contract.

17. A tangible computer-readable medium storing computer-executable instructions that when executed by a processor cause a computing device to perform steps comprising:
initiating, upon receipt of an electronic request for quote for a financial instrument which does not create an order therefore at an electronic match engine, a timer component operative to measure elapse of a pre-determined period of time;
determining that the received electronic request for quote has not received a manual response thereto before the pre-determined time period has elapsed and that the financial instrument for which data indicating that the plurality of financial instruments are to be monitored is stored in a memory coupled with the processor;
causing, based on the determining, an implied spread determination module to determine, via execution of a first processing thread, that the financial instrument creates an implied spread comprising at least one leg corresponding to a resting order, and communicate an electronic notification of the implied spread, including data indicative of the at least one leg, to an electronic match engine which, based thereon, executes a second processing thread in parallel with the

Assignees

• Chicago Mercantile Exchange Inc

Inventors

• Siddall Jake
• Salvadori Dave
• Bauerschmidt Paul
• Silhavy Ken
• Studnitzer Ari
• Callaway Paul
• Curran John
• Stroup Martin

Classifications

• G06Q40/04 Primary

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