# US 11,308,558 B2 · Exchange for physicals

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- Number: US 11,308,558 B2
- Document ID: US11308558B2
- Status: Granted
- Kind: B2
- Application number: 17/234,909
- Filed: 2021-04-20
- Published: 2021-08-05
- Granted: 2022-04-19
- Earliest claimed: 2013-08-01
- Assignees: LIFFE Administration and Management
- Applicants: LIFFE Administration and Management
- Inventors: Benoit Andre Lamour; Anais Fabienne Christiane Dony
- Web page: https://patentgrep.com/patent/US11308558B2

## CPC

- G06Q 40/04: Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
- G06Q: INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR

## 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.

## Claims

### Claim 1

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.

### Claim 2 (depends on 1)

The method of claim 1, wherein the transaction data relates to an exchange-for-physical (EFP) transaction.

### Claim 3 (depends on 1)

The method of claim 1, wherein the continuously generating the new price by modifying the price of each underlying component comprises:
calculating a first delta percentage between the transaction data and an index based on the amount of securities to be traded, the price for the amount of securities to be traded, and a live index value among the one or more live index values;
applying the first delta percentage equally to each underlying component of the securities to be traded, thereby generating a new component security price for each of said underlying components;
calculating a residual delta based on the first delta percentage and an index notional value; and
adjusting one or more of the new component security prices by a minimum tick size based on the residual delta.

### Claim 4 (depends on 3)

The method of claim 3, wherein calculating the first delta comprises:
calculating a component security weight based on the amount of securities to be traded;
calculating a rounded quantity of component securities based on the amount of securities to be traded and the component security weight;
calculating a current index value based on the rounded quantity of component securities;
calculating an index notional to be allocated based on the amount of securities to be traded and the price for the amount of securities to be traded;
calculating a first delta based on the current index value and the index notional; and
calculating the first delta percentage based on the first delta and the current index value.

### Claim 5 (depends on 4)

The method of claim 4, wherein calculating the component security weight comprises solving the following equation:
component security weight=free float*number of shares.

### Claim 6 (depends on 4)

The method of claim 4, wherein calculating the rounded quantity of component securities comprises solving the following equation:
rounded
⁢
⁢
quantity
⁢
⁢
of
⁢
⁢
component
⁢
⁢
security
=
EFP
⁢
⁢
quantity
*
index
⁢
⁢
component
⁢
⁢
security
⁢
⁢
weight
*
future
⁢
⁢
lot
⁢
⁢
size
index
⁢
⁢
divisor
⁢

### Claim 7 (depends on 4)

The method of claim 4, wherein calculating the current index value comprises solving the following equation:
current
⁢
⁢
index
⁢
⁢
value
=
∑
i
=
1
40
⁢
⁢
(
rounded
⁢
⁢
quantity
⁢
⁢
of
⁢
⁢
component
⁢
⁢
security
i
*
LTP
⁢
⁢
component
⁢
⁢
security
)

### Claim 8 (depends on 4)

The method of claim 4, wherein calculating the index notional to be allocated comprises solving the following equation:
index notional to be allocated=[LTP of index future−EFP price]*EFP quantity*future lot size

### Claim 9 (depends on 4)

The method of claim 4, wherein calculating the first delta comprises solving the following equation:
first delta=index notional value to be allocated−current index value.

### Claim 10 (depends on 4)

The method of claim 4, wherein calculating the first delta percentage comprises solving the following equation:
first
⁢
⁢
delta
⁢
⁢
⁢
%
=
first
⁢
⁢
delta
current
⁢
⁢
index
⁢
⁢
value
.

### Claim 11 (depends on 3)

The method of claim 3, wherein calculating the residual delta comprises:
calculating, by the matching engine module, a new component security price based on the first delta percentage;
calculating, by the matching engine module, a new index value based on the new component security price and a rounded quantity of component securities; and
calculating, by the matching engine module, the residual delta based on an index notional to be allocated and the new index value.

### Claim 12 (depends on 11)

The method of claim 11, wherein calculating the new component security price comprises solving the following equation:
new
⁢
⁢
component
⁢
⁢
security
⁢
⁢
price
=
LTP
⁢
⁢
component
⁢
⁢
security
*
(
1
+
delta
⁢
⁢
%
)
⁢
⁢
rounded
⁢
⁢
to
⁢
⁢
one
⁢
⁢
or
⁢
⁢
more
⁢
⁢
decimal
⁢
⁢
places

### Claim 13 (depends on 11)

The method of claim 11, wherein calculating the new index value comprises solving the following equation:
new
⁢
⁢
index
⁢
⁢
value
=
∑
i
=
1
40
⁢
⁢
rounded
⁢
⁢
quantity
⁢
⁢
of
⁢
⁢
component
⁢
⁢
security
i
*
new
⁢
⁢
component
⁢
⁢
security
⁢
⁢
price

### Claim 14 (depends on 11)

The method of claim 11, wherein calculating the residual delta comprises solving the following equation:
residual delta=index notional value to be allocated−new index value.

### Claim 15

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.

### Claim 16 (depends on 15)

The system of claim 15, wherein the transaction data relates to an exchange-for-physical (EFP) transaction.

### Claim 17 (depends on 15)

The system of claim 15, wherein the matching engine module, as part of the continuously generate the new price by modifying the price of each underlying component, is further configured to:
calculate a first delta percentage between the transaction data and an index based on the amount of securities to be traded, the price for the amount of securities to be traded, and a live index value among the one or more live index values,
apply the first delta percentage equally to each underlying component of the securities to be traded, thereby generating a new component security price for each of said underlying components,
calculate a residual delta based on the first delta percentage and an index notional value, and
adjust one or more of the new component security prices by a minimum tick size based on the residual delta.

### Claim 18 (depends on 17)

The system of claim 17, wherein the matching engine module is further configured to:
calculate a component security weight based on the amount of securities to be traded;
calculate a rounded quantity of component securities based on the amount of securities to be traded and the component security weight;
calculate a current index value based on the rounded quantity of component securities;
calculate an index notional to be allocated based on the amount of securities to be traded and the price for the amount of securities to be traded;
calculate a first delta based on the current index value and the index notional; and
calculate the first delta percentage based on the first delta and the current index value.

### Claim 19 (depends on 18)

The system of claim 18, wherein the matching engine module is configured to calculate the component security weight by solving the following equation:
component security weight=free float*number of shares.

### Claim 20 (depends on 18)

The system of claim 18, wherein the matching engine module is configured to calculate the rounded quantity of component securities by solving the following equation:
rounded
⁢
⁢
quantity
⁢
⁢
of
⁢
⁢
component
⁢
⁢
security
=
EFP
⁢
⁢
quantity
*
index
⁢
⁢
component
⁢
⁢
⁢
security
⁢
⁢
weight
*
future
⁢
⁢
lot
⁢
⁢
size
index
⁢
⁢
divisor
⁢

### Claim 21 (depends on 18)

The system of claim 18, wherein the matching engine module is configured to calculate the current index value by solving the following equation:
current
⁢
⁢
index
⁢
⁢
value
=
∑
i
=
1
40
⁢
⁢
(
rounded
⁢
⁢
quantity
⁢
⁢
of
⁢
⁢
component
⁢
⁢
security
i
*
LTP
⁢
⁢
component
⁢
⁢
security
)

### Claim 22 (depends on 18)

The system of claim 18, wherein the matching engine module is configured to calculate the index notional to be allocated by solving the following equation:
index
⁢
⁢
notional
⁢
⁢
to
⁢
⁢
be
⁢
⁢
allocated
=
[
LTP
⁢
⁢
of
⁢
⁢
index
⁢
⁢
future
-
EFP
⁢
⁢
price
]
*
EFP
⁢
⁢
quantity
*
future
⁢
⁢
lot
⁢
⁢
size

### Claim 23 (depends on 18)

The system of claim 18, wherein the matching engine module is configured to calculate the first delta by solving the following equation:
first delta=index notional value to be allocated−current index value.

### Claim 24 (depends on 18)

The system of claim 18, wherein the matching engine module is configured to calculate the first delta percentage by solving the following equation:
first
⁢
⁢
delta
⁢
⁢
⁢
%
=
first
⁢
⁢
delta
current
⁢
⁢
index
⁢
⁢
value
.

### Claim 25 (depends on 17)

The system of claim 17, wherein the matching engine module is further configured to:
calculate a new component security price based on the first delta percentage;
calculate a new index value based on the new component security price and a rounded quantity of component securities; and
calculate the residual delta based on an index notional to be allocated and the new index value.

### Claim 26 (depends on 25)

The system of claim 25, wherein the matching engine module is configured to calculate the new component security price by solving the following equation:
new
⁢
⁢
component
⁢
⁢
security
⁢
⁢
price
=
LTP
⁢
⁢
component
⁢
⁢
security
*
(
1
+
delta
⁢
⁢
%
)
⁢
⁢
rounded
⁢
⁢
to
⁢
⁢
one
⁢
⁢
or
⁢
⁢
more
⁢
⁢
decimal
⁢
⁢
places

### Claim 27 (depends on 25)

The system of claim 25, wherein the matching engine module is configured to calculate the new index value by solving the following equation:
new
⁢
⁢
index
⁢
⁢
value
=
∑
i
=
1
40
⁢
⁢
rounded
⁢
⁢
quantity
⁢
⁢
of
⁢
⁢
component
⁢
⁢
security
i
*
new
⁢
⁢
component
⁢
⁢
security
⁢
⁢
price

### Claim 28 (depends on 25)

The system of claim 25, wherein the matching engine module is configured to calculate the residual delta by solving the following equation:
residual delta=index notional value to be allocated−new index value.