US 2015/0310547 A1 · TRADING AT INDEX CLOSE

Abstract

A computer-readable medium is provided which has stored computer-executable instructions that, when executed by a computer, cause the computer to maintain an order book having orders for first futures contracts to determine if a first order for first futures contracts is executable against a side of the order book, wherein an underlying of a first futures contract is a second futures contract and wherein each order of the order book defines a quantity of the first futures contracts and a price of the first futures contracts. The computer-readable medium further has stored computer-executable instructions that, when executed by the computer, cause the computer to determine a delivery price of the second futures contracts based on a spot price associated with the second futures contracts and a determined price of the first futures contracts.

Claims15

Dependent claims

A computer-implemented method executed by one or more computing devices for trading first futures contracts, an underlying of a first futures contract being a second futures contract, comprising:

opening an order book having orders for the first futures contracts, wherein each order of the order book defines a quantity of the first futures contracts and a price of the first futures contracts;
receiving a first order for the first futures contracts, the first order defining a first quantity of the first futures contracts and a first price of the first futures contracts;
accessing the order book to determine if the first order is executable against a side of the order book;
if the first order is not executable, storing the first order in a side of the order book;
if the first order is executable:
executing the first order against a side of the order book;
determining a spot price associated with the second futures contracts;
and
determining a delivery price of the second futures contracts, the delivery price being based on the spot price and the first price defined by the executed first order.

6 more elements

A system comprising:

a trading platform having one or more processors and a memory operatively coupled to the one or more processors, the memory storing instructions that, when executed by the one or more processors, cause the one or more processors to:
open an order book having orders for first futures contracts, an underlying of a first futures contract being a second futures contract, wherein each order of the order book defines a quantity of the first futures contracts and a price of the first futures contracts;
receive a first order for the first futures contracts, the first order defining a first quantity of the first futures contracts and a first price of the first futures contracts;
access the order book to determine if the first order is executable against a side of the order book;
if the first order is not executable, store the first order in a side of the order book;
if the first order is executable:
execute the first order against a side of the order book;
determine a spot price associated with the second futures contracts;
and
determine a delivery price of the second futures contracts, the delivery price being based on the spot price and the first price defined by the executed first order.

7 more elements

Dependencies are inferred from the claim text.

Trading at index close

Life of this patent

Trading at index close

Life of this patent

Abstract

Claims15