Exchange for physicals
AssigneeLIFFE Administration and Management
InventorsBenoit Andre Lamour, Anais Fabienne Christiane Dony
Life of this patent
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Abstract
Systems and methods for performing an exchange for physicals (EFP) may comprise receiving, with a matching engine module in communication with a processor, EFP data comprising an amount of securities to be traded and a price. The matching engine module may calculate a first delta percentage between the EFP data and an index based on the amount, the price, and an index value. The matching engine module may calculate a residual delta based on the first delta percentage and an index notional value. The matching engine module may attribute the residual delta to the securities.
Claims32
A method for performing an exchange for physicals (EFP) transaction as a part of a fully automated straight-through processing (STP) computer procedure, the method comprising:
- continuously surveilling, by a market surveillance device in communication with a processor, continuous market data comprising live index values and trade prices;
- continuously generating, by the processor, EFP transactions based on the continuously surveilled market data, each EFP transaction based on an index value among the live index values that fluctuates according to market movement, said continuously generating including:
- generating, by a matching engine module of an electronic exchange platform in communication with the processor, EFP data comprising an amount of securities to be traded and a price;
- automatically activating, by the matching engine module, a price allocation module when the EFP data is generated, the activated price allocation module comprising specialized instructions that, when executed, cause the price allocation module to generate said EFP transactions with a pricing valuation that closely matches the continuous market data, the price allocation module performing the functions of:
- calculating, based on the index value among the live index values surveilled by the market surveillance device, a first delta percentage between the EFP data and an index based on the amount, the price, and the index value;
- calculating a residual delta based on the first delta percentage and an index notional value generated from a last traded price from among the trade prices surveilled by the market surveillance device;
- and
- attributing the residual delta to the securities to form modified EFP data;
- generating, by the matching engine module, at least one EFP transaction based on the modified EFP data responsive to the price allocation module forming the modified EFP data, each of the at least one EFP transaction comprising a futures leg and a cash leg;
- and
- automatically executing and settling the futures leg and the cash leg of each of the at least one EFP transaction as part of the fully automated STP computer procedure.
A system for performing an exchange for physicals (EFP) transaction as a part of a fully automated straight-through processing (STP) computer procedure, the system comprising:
- a processor;
- a market surveillance device in communication with the processor, the market surveillance device configured to continuously surveil continuous market data comprising live index values and trade prices;
- and
- a matching engine module of an electronic exchange platform in communication with the processor, the matching engine module comprising computer-readable instructions executed by the processor to cause the system to:
- continuously generate EFP transactions based on the continuously surveilled market data, each EFP transaction based on an index value among the live index values that fluctuates according to market movement, said continuously generate including computer-readable instructions executed by the processor to cause the system to:
- generate EFP data comprising an amount of securities to be traded and a price;
- automatically activate a price allocation module when the EFP data is generated, the price allocation module configured to generate said EFP transactions with a pricing valuation that closely matches the continuous market data, the price allocation module comprising computer-readable instructions executed by the processor to cause the system to:
- calculate, based on the index value among the live index values surveilled by the market surveillance device, a first delta percentage between the EFP data and an index based on the amount, the price, and the index value;
- calculate a residual delta based on the first delta percentage and an index notional value generated from a last traded price from among the trade prices surveilled by the market surveillance device;
- and
- attribute the residual delta to the securities to form modified EFP data;
- generate at least one EFP transaction based on the modified EFP data responsive to the price allocation module forming the modified EFP data, each of the at least one EFP transaction comprising a futures leg and a cash leg;
- and
- automatically execute and settle the futures leg and the cash leg of each of the at least one EFP transaction as part of the STP computer procedure.
Dependencies are inferred from the claim text.