Back to results
US 7,624,062 B1Granted
Method and system for generating and trading composite contracts
AssigneeChicago Mercantile Exchange Inc.
InventorsMatthew J. Kelly, Richard J. McDonald
Life of this patent
Estimating the term…
Abstract
The disclosed embodiments provide a system and method for automatically generating a composite contract characterized by at least one parameter. A first subset of eligible component contracts is identified from a set of available component contracts wherein each of the available component contracts is characterized by at least one attribute. A second subset of component contracts is then selected from the first subset to generate the composite contract.
Claims29
A method for automatically generating a first composite futures contract characterized by at least one parameter, said method comprising:
- (a) receiving, by a processor, a first instruction, from a market participant, to generate said first composite futures contract;
- (b) identifying, by the processor and based on said first instruction, a first subset of eligible component contracts from a set of available component contracts provided by an exchange, each of said available component contracts being characterized by at least one attribute;
- (c) selecting, by the processor, a second subset of component contracts from said first subset;
- and
- (d) generating, by the processor, said first composite futures contract based on said second subset, said first composite futures contract characterized by a price computed based on a price of each of said second subset of component contracts, wherein the price of said first composite futures contract, once computed, is disassociated with the price of each of the second subset of component contracts and free to fluctuate independently thereof.
2 more elements
A system for generating a composite futures contract characterized by at least one parameter, said system comprising:
- a processor operative to receive an instruction from a market participant to generate a composite futures contract;
- and
- further wherein said processor is operative to identify, based on said instruction, a first subset of eligible component contracts from a set of available component contracts provided by an exchange, each of said available component contracts being characterized by at least one attribute, said processor being further operative to select a second subset of component contracts from said first subset, and generate said composite futures contract based on said second subset, said composite futures contract characterized by a price computed based on a price of each of said second subset of component contracts, wherein the price of said composite futures contract, once computed, is disassociated with the price of the each of the second subset of component contracts and free to fluctuate independently thereof;
- and
- a trading engine coupled with said processor, wherein said trading engine is operative to receive said composite futures contract for trading.
2 more elements
A composite contract generator characterized by at least one parameter comprising:
- a first interface operative to receive an instruction from a market participant to generate a composite futures contract;
- a processor coupled to said first interface, wherein said processor is operative to receive said instruction;
- an identifier coupled to said processor, wherein said processor accesses said identifier to identify, based on said instruction, a first subset of eligible component contracts from a set of available component contracts provided by an exchange, each of said available component contracts are characterized by at least one attribute;
- and
- wherein, responsive to said identified first subset of eligible components contracts, said processor is operative to select a second subset of component contracts from said first subset, wherein said processor is further operative to generate said composite futures contract based on said second subset, said composite futures contract characterized by a price computed based on a price of each of said second subset of component contracts, wherein the price of said composite futures contract, once computed, is disassociated with the price of each of the second subset of component contracts and free to fluctuate independently thereof.
2 more elements
A system for generating a composite contract characterized by at least one parameter, said system comprising:
- means for receiving an instruction from a market participant to generate a composite contract;
- means for identifying, based on said instruction, a first subset of eligible component contracts from a set of available component contracts provided by an exchange, each of said available component contracts are characterized by at least one attribute;
- means for selecting a second subset of component contracts from said first subset;
- means for generating said composite contract based on said second subset, said composite contract characterized by a price computed based on a price of each of said second subset of component contracts, wherein the price of said composite contract, once computed, is disassociated with the price of each of the second subset of component contracts and free to fluctuate independently thereof;
- and
- means for transmitting said composite contract for trading.
3 more elements
An apparatus for a composite contract generator characterized by at least one parameter, said apparatus comprising:
- means for receiving an instruction from a market participant to generate a composite contract;
- means for selecting, based on said instruction, a set of component contracts from a set of available component contracts provided by an exchange, wherein each of said available component contracts are characterized by at least one attribute;
- and
- means for generating said composite contract based on said set of component contracts, said composite contract characterized by a price computed based on a price of each of said set of component contracts, wherein the price of said composite contract, once computed, is disassociated with the price of each of the set of component contracts and free to fluctuate independently thereof.
1 more element
Dependencies are inferred from the claim text.