Risk mitigation in an electronic trading system

Patent metadata

Field	Value
Publication number	US-12450659-B2
Application number	US-202418748792-A
Country	US
Kind code	B2
Filing date	Jun 20, 2024
Priority date	Dec 31, 2013
Publication date	Oct 21, 2025
Grant date	Oct 21, 2025

Abstract

An electronic trading system (ETS) implements risk mitigation methods for orders and quotes associated with a market participant on the ETS. The methods determine a measure of risk associated with one or more trading positions. One of the methods globally counts the number of breaches of risk thresholds associated with a trading symbol and market participant across all matching engines on the ETS over a rolling time period, and if this global risk counter exceeds a maximum, disables all further trades by the market participant on the ETS. Another method limits the number of automatic re-enablements that a market participant can request in response to prior breaches of risk thresholds that resulted in disabling any further trading by the market participant on the ETS.

First claim

The invention claimed is:

1. A system comprising:
one or more processors of an electronic trading system (“ETS”) operatively coupled to a non-transitory memory storing computer readable instructions that, when executed by the one or more processors, cause the one or more processors to:
receive, by an interface of the ETS, a plurality of trade instruction messages from a plurality of user devices via a network, the plurality of trade instruction messages associated with a plurality of trading symbols;
store, by at least one matching engine, the plurality of trade instruction messages in an order book;
continuously monitor, by at least one risk mitigation (“RM”) module, the plurality of trade instruction messages;
identify, by the at least one RM module based on the continuously monitoring, a trade instruction message of the plurality of trade instruction messages associated with a trading symbol of the plurality of trading symbols and a user having a trading status that is enabled;
determine, by the at least one RM module, that one or more first parameters associated with the trading symbol in the trade instruction message are below a first threshold associated with a first triggering event;
retrieve, by the at least one RM module, based on the determination that the one or more first parameters associated with the trading symbol in the trade instruction message are below the first threshold, stored trades associated with the trading symbol and the user from an order manager, the stored trades executed within a rolling time period prior to receipt of the trade instruction message;
determine, by the at least one RM module, an occurrence of a second triggering event based on one or more second parameters associated with the trading symbol in a predetermined number of the stored trades executed within the rolling time period breach a second threshold;
disable, by the at least one RM module, the trading status of the user, thereby prohibiting the user from issuing new trade instruction messages; and
cancel, by the at least one matching engine, execution of any further trades associated with the trading symbol and the user.

2. The system of claim 1 , wherein the at least one matching engine is configured to send the plurality of trade instruction messages to the at least one RM module.

3. The system of claim 2 , wherein, responsive to the cancel the execution of any further trades, the at least one matching engine is configured to:
reject all outstanding orders associated with the user; and
cancel execution of any pending transactions associated with the user.

4. The system of claim 1 , wherein the user comprises at least one of an agency broker, a market maker, and a proprietary trader.

5. The system of claim 1 , wherein the predetermined number of the stored trades is determined by at least one counter.

6. The system of claim 5 , wherein the at least one RM module is configured to activate the at least one counter upon a determination that the one or more first parameters of the trade instruction message do not breach the first threshold.

7. The system of claim 1 , wherein the one or more first parameters comprise one or more of a predetermined number of transactions, a predetermined volume, and a predetermined aggregate percentage.

8. The system of claim 7 , wherein the one or more first parameters are specific to the user and the trading symbol.

9. The system of claim 1 , wherein the one or more second parameters comprise one or more of a predetermined transaction parameter, a predetermined volume parameter, and a predetermined percentage parameter.

10. The system of claim 1 , wherein each of the plurality of trade instruction messages comprises one or more orders or quotes associated with the trading symbol and the user.

11. The system of claim 1 , wherein the at least one RM module is configured to disable the trading status of the user for a predetermined period of time.

12. The system of claim 1 , wherein the at least one RM module is configured to re-enable the trading status of the user responsive to at least one re-enablement request from the user.

13. The system of claim 12 , further comprising:
tracking, by the at least one RM module, a number of re-enablement requests relative to a predetermined threshold.

14. The system of claim 13 , wherein the re-enable the trading status further comprises re-enabling the trading status of the user when the number of re-enablement requests is less than the predetermined threshold.

15. The system of claim 1 , wherein the at least one RM module is configured to re-enable the trading status of the user responsive to a risk-reset event.

16. The system of claim 1 , wherein the at least one RM module is further configured to:
generate an alert indicating the disable the trading status of the user; and
transmit the alert to a user device of the user.

Assignees

• Nyse Group Inc

Inventors

• Farnstrom Amy Joy

Classifications

• G06Q40/04 Primary

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