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.
Claims16
A computer-implemented method comprising:
- matching, by a processor, based on one or more priority rules, an order stored in an order book with a counter order stored in the order book to create a matched order having an exchange for physicals (EFP) price, the matched order comprising futures contracts for securities to be exchanged and shares in the securities to be exchanged;
- automatically determining, by the processor, 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 determining, by the processor, 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 monitoring, by the processor, 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 executing, by the processor, the first leg and the second leg.
Dependencies are inferred from the claim text.