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.
Claims28
A computer-implemented method comprising:
- continuously monitoring, by a market surveillance device in communication with one or more processors, one or more live index values that fluctuate according to market movement;
- receiving, by a matching engine module in communication with the one or more processors, transaction data via one or more of a wired and wireless network, the transaction data comprising an amount of securities to be traded and a price for the amount of securities to be traded;
- and continuously generating, by the matching engine module based on the one or more live index values, a new price for the securities to be traded that closely matches market pricing by modifying a price of each underlying component of the securities based, at least in part, on the fluctuation of the live index values, wherein each underlying component of the securities comprises a respective number of shares.
A system comprising:
- one or more processors;
- a market surveillance device in communication one or more processors, the market surveillance device configured to continuously monitor one or more live index values that fluctuate according to market movement;
- and a matching engine module in communication with the one or more processors, the matching engine module configured to receive, transaction data via one or more of a wired and wireless network, the transaction data comprising an amount of securities to be traded and a price for the amount of securities to be traded;
- the matching engine module further configured to continuously generate, based on the one or more live index values, a new price for the securities to be traded that closely matches market pricing by modifying a price of each underlying component of the securities based, at least in part, on the fluctuation of the live index values, wherein each underlying component of the securities comprises a respective number of shares.
Dependencies are inferred from the claim text.