Basket Creation System and Method

An apparatus having a plurality of specialized computers operating as part of a specialized trading network, wherein the computers collectively model and generate basket data for non-transparent exchange-traded fund (ETF) portfolios for creation and redemption of ETF shares, including securely communicating ETF portfolio data with specialized market trading systems, and electronically validating and transforming the ETF portfolio data and basket data, system comprising:

• a specialized fund management computer (FMC) that receives start of day positions from a fund database and executes trades throughout a trading day (T) for the ETF;
• a basket modeling application computer (BMA);
• the BMA communicably coupled to:
• the FMC;
• a specialized primary market trading computer (PMTC) that interacts with Authorized Participants (APs) to use yesterday's (T-1) basket data to execute creation orders of the ETF throughout the trading day;
• a specialized basket dissemination computer (BDC);
• and
• a specialized market impact analysis computer (MAC);
• the FMC having a memory, a processor, and a stored program in the memory executable by the processor, the stored program configured to cause the FMC to transmit, during the trading day, portfolio data to the BMA, the portfolio data including portfolio information for the ETF including start of day positions and trading information for trades executed by the FMC during the trading day, the portfolio data being disposed in a native FMC format;
• the BMA having an other memory, an other processor, and an other stored program in the other memory executable by the other processor, the other stored program configured to:
• (a) cause the BMA to receive, during the trading day, the portfolio data from the FMC;
• (b) cause the BMA to store and electronically time-stamp the portfolio data in the native FMC format in a raw data file;
• (c) cause the BMA to capture, during the trading day, encrypted T-1 basket data and creation order data from the PMTC, the T-1 basket data and creation order data including additional portfolio information for the ETF including creation orders executed by the PMTC during the trading day, the encrypted T-1 basket data and creation order data being disposed in a native PMTC format;
• (d) cause the BMA to decrypt the encrypted T-1 basket data and creation order data, and storing and electronically time-stamping the decrypted T-1 basket data and creation order data in the native PMTC format in the raw data file;
• (e) cause the BMA to technically validate and transform the raw data file, said technically validating and transforming including separating header information from payload information in data packets stored in the raw data file, and storing the payload information in a stage table to form a composite image of the ETF portfolio;
• (f) cause the BMA to apply a set of rules to the composite image of the ETF portfolio to generate today's basket data (T basket);
• (g) cause the BMA to repeat said (a)-(g) continuously throughout the trading day both before and after close of trading for the day;
• and
• (h) cause the BMA to transmit the T basket to the BDC.