Compression of an exchange traded derivative portfolio

Patent metadata

Field	Value
Publication number	US-12282960-B2
Application number	US-202318486545-A
Country	US
Kind code	B2
Filing date	Oct 13, 2023
Priority date	Apr 1, 2016
Publication date	Apr 22, 2025
Grant date	Apr 22, 2025

Abstract

An illustrative computing device may include a processor and a non-transitory memory device for storing a data structure capable of being compressed, where the data structure includes a plurality of data elements and each of the plurality of data elements includes a date field and a quantity field. The computing device may process instructions to arrange the plurality of data elements in a consecutive series in date order based on a value stored in the date field of each data element, determine whether a gap appears in the consecutive series of data elements based on a value stored in the quantity field of each element, remove the determined gaps in each of the data elements, and repeat the determining and removing steps until a predetermined criterion has been reached.

First claim

We claim:

1. A computing system comprising a processor configured to:
determine that a data storage size of a portfolio stored in a non-transitory memory coupled with the processor, the portfolio comprising data indicative of derivative positions, is approaching a threshold; and
iteratively perform, until a predetermined criterion has been reached, a plurality of optimization cycles to compress the portfolio, each including:
partition the portfolio into a plurality of blocks by grouping positions within the portfolio that are present in consecutive contracts for a given product having consecutive maturity dates, each position being characterized by a notional value in common with another associated position; and
for each block of the plurality of blocks:
calculate which of the consecutive contracts has a largest number of unsettled positions; and
transform the positions of the consecutive contracts into a new single position in a new product, the new single position including a calculated largest number of unsettled positions paired with a fraction schedule across the consecutive maturity dates of the calculated largest number of unsettled positions, wherein a data storage requirement for the new single position is smaller in size than a data storage requirement for the positions of the consecutive contracts from which the new single position was transformed, the data storage size of the portfolio reduced thereby while still representative of the portfolio including the positions of the consecutive contracts from which the new single position was transformed.

2. The computing system of claim 1 , wherein the grouped positions of each of the blocks may be traded between two counterparties.

3. The computing system of claim 1 , wherein each of the consecutive contracts comprises a futures contract or an options contract.

4. The computing system of claim 1 , wherein each of the plurality of optimization cycles reduces the number of unsettled positions of each contract of the consecutive contracts by a value common to a quantity field and wherein a total number of contracts in the consecutive contracts is reduced.

5. The computing system of claim 1 , wherein the predetermined criterion is met when no further compression is possible.

6. The computing system of claim 1 , wherein a result of each of the plurality of optimization cycles comprises a tradeable contract having a date corresponding to a delivery date of the tradeable contract and the number of unsettled positions associated with that delivery date.

7. The computing system of claim 1 , wherein a result of each of the plurality of optimization cycles correspond to a compressed representation of the portfolio having a reduced notional value, wherein the original contracts of the portfolio that comprise each of the positions in the consecutive contracts exist and wherein the compressed representation of the portfolio is used to calculate a reduced capital requirement.

8. The computing system of claim 1 , wherein, upon the determination that the data storage size of the portfolio is approaching the threshold, the processor notifies a user and awaits receipt of a command to proceed with the optimization cycle.

9. The computing system of claim 1 , wherein the portfolio is characterized by a value based on the positions prior to the transformation, the portfolio being characterized by the same value subsequent to the transformation.

10. A computer implemented method comprising:
determining, by a processor, that a data storage size of a portfolio stored in a non-transitory memory coupled with the processor, the portfolio comprising data indicative of derivative positions is approaching a threshold; and
iteratively performing, by the processor, until a predetermined criterion has been reached, a plurality of optimization cycles to compress the portfolio, each including:
partitioning, by the processor, the portfolio into a plurality of blocks by grouping positions within the portfolio that are present in consecutive contracts for a given product having consecutive maturity dates, each position being characterized by a notional value in common with another associated position; and
for each block of the plurality of blocks:
calculating, by the processor, which of the consecutive contracts has a largest number of unsettled positions; and
transforming, by the processor, the positions of the consecutive contracts into a new single position in a new product, the new single position including a calculated largest number of unsettled positions paired with a fraction schedule across the consecutive maturity dates of the calculated largest number of unsettled positions, wherein a data storage requirement for the new single position is smaller in size than a data storage requirement for the positions of the consecutive contracts from which the new single position was transformed, the data storage size of the portfolio reduced thereby while still representative of the portfolio including the positions of the consecutive contracts from which the new single position was transformed.

11. The computer implemented method of claim 10 , wherein the grouped positions of each of the blocks may be traded between two counterparties.

12. The computer implemented method of claim 10 , wherein each of the consecutive contracts comprise an options contract or a futures contract.

13. The computer implemented method of claim 10 , wherein each of the plurality of optimization cycles reduces the number of unsettled positions of each contract of the consecutive contracts by a value common to a quantity field and wherein a total number of contracts in the consecutive contracts is reduced.

14. The computer implemented method of claim 10 , wherein the predetermined criterion is met when no further compression is possible.

15. The computer implemented method of claim 10 , wherein a result of each of the plurality of optimization cycles comprises a tradeable contract having a date corresponding to a delivery date of the tradeable contract and the number of unsettled positions associated with that delivery date.

16. The computer implemented method of claim 10 , wherein a result of each of the plurality of optimization cycles correspond to a compressed representation of the portfolio having a reduced notional value, wherein the original contracts of the portfolio that comprise each of the positions in the consecutive contracts exist and wherein the compressed representation of the portfolio is used to calculate a reduced capital requirement.

17. The computer implemented method of claim 10 , further comprising notifying, by the processor upon the determination that the data storage size of the portfolio is approaching the threshold, a user and awaiting receipt of a command to proceed with the optimization cycle.

18. The computer implemented method of claim 10 , wherein the portfolio is characterized by a value based on the positions prior to the transforming, the portfolio being characterized by the same value subsequent to the transforming.

19. A computer system comprising:
means for determining that a data storage size of a portfolio stored in a non-transitory memory, the portfolio comprising data indicative of derivative positions is approaching a threshold; and
means for iteratively performing, until a predetermined criterion has been reached, a plurality of optimization cycles to compress the portfolio, each including:
means for partitioning the portfolio into a plurality of blocks by grouping positions within the portfolio t

Assignees

• Chicago Mercantile Exchange Inc

Inventors

• Sprague Suzanne
• Downey Sean
• Taylor Robert
• Bawadhankar Dhiraj
• Hurst Stephen
• Simpson Matthew
• Sturm Frederick

Classifications

• G06F7/08

  Sorting, i.e. grouping record carriers in numerical or other ordered sequence according to the classification of at least some of the information they carry (by merging two or more sets of carriers in ordered sequence G06F7/16) · CPC title

• G06Q40/04 Primary

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