Exchange for physicals
AssigneeLIFFE Administration and Management
InventorsBenoit Andre Lamour, Anais Fabienne Christiane Dony
Life of this patent
Estimating the term…
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.
Claims14
A system comprising:
- a processor operatively coupled to a memory storing computer-readable instructions that, when executed by the processor, cause the processor to:
- receive one or more orders from a buyer computer via one or more of a wired and a wireless network, the one or more orders comprising an amount of futures contracts for securities to be purchased in exchange for an amount of shares in the securities and a designated buy price;
- receive one or more counter orders from a seller computer via one or more of the wired and the wireless network, the one or more counter orders comprising an amount of the futures contracts for the securities to be sold in exchange for an amount of the shares in the securities and a designated sale price;
- store the one or more orders and the one or more counter orders in an order book;
- match, based on one or more priority rules based on at least the designated buy price and the designated sale price, an order of the one or more orders with a counter order of the one or more counter orders stored in the order book to create a matched order having an exchange for physicals (EFP) price, the matched order comprising futures contracts for the securities to be exchanged and shares in the securities to be exchanged;
- automatically determine a value of a first leg of the matched order based on a price and a quantity of the futures contracts for the securities to be exchanged;
- automatically determine a value of a second leg of the matched order based on a price and a quantity of the shares in the securities to be exchanged by:
- continuously monitoring one or more live index values that fluctuate according to market movement, and
- continuously generating a new price for the shares in the securities to be exchanged that closely matches current market pricing by modifying a price of at least one underlying component of the securities based on, at least, the continuously monitored one or more live index values, wherein each of the at least one underlying component of the securities comprises a respective number of shares;
- continuously monitor a difference between the value of the first leg and the value of the second leg;
- and
- once the difference is equivalent to the EFP price, simultaneously execute the first leg and the second leg.
Dependencies are inferred from the claim text.