Chicago Mercantile Exchange Inc.

Board of Trade of the City of Chicago, Inc.

Brian Wolf

Giuseppe Scimeca

John Paul Scheerer

Ari L Studnitzer

Pearce Peck-Walden

Jacob Doornebos

Jonathan Kronstein

Andrew P Czupek

Christopher Reithel

Bryan T Durkin

Thomas G McCabe

Donald M Cuba

Troy C Kane

Nathan Ball

Wayne G Arner, Ii

Paul J Callaway

James W Farrell

Barry Galster

Andrew Milne

John Curran

James Wilcox

James Allen Bailey

Stanislav Liberman

Neil Andrew Lustyk

Matthew J Kelly

Haifeng Zheng

Scott D Banke

Ashraf Ansari

Troy C Mathe

Systems and methods are provided for scoring the use of financial market messages. Uses of messages that are efficient and/or improve market liquidity receive positive scores. Traders are charge fees or receive rewards that are dependent upon message quality scores.

Message processing

An electronic trading system utilizes a Match Engine that receives orders, stores them internally, calculates tradable combinations and advertises the availability of real and implied orders in the form of market data. New tradable items defined as combinations of other tradable items may be included in the calculation of tradable combinations. A technique is disclosed for suppression of the calculation and/or subsequent listing of an implied order when the order is either undesired or unnecessary in the market therefore.

Selective suppression of implied contract generation

A method of order allocation is disclosed. The method includes receiving an incoming order, establishing an inner market representing a first portion of an order book which may be defined as a function of an inner market parameter, designating the first portion of the order book as a priority and allocating the first portion of the received incoming order based on the priority, establishing an outer market that represents a second portion of the order book that includes the remainder of the order book not represented by the inner market of the order book, assigning the received incoming order to one of the inner or outer markets as a function of the inner market parameter, allocating a first portion of the incoming order to the inner market utilizing a first-in, first-out (FIFO) algorithm, and allocating a second portion, in excess of the first portion, of the incoming order to the outer market using a pro-rata algorithm.

System and method for matching one or more incoming order to a standing order based on multi-level allocation

The disclosed embodiments relate to mechanisms to rapidly detect and respond to situations where a market is not operating in a fair and balanced manner or otherwise where the market value is not reflective of a true consensus of the value of the traded products among the market participants. In particular, the disclosed embodiments continually scan for, rapidly detect and respond to extreme changes, either up ('spike') or down ('dip') in the market, such as a &#x201c;flash crash,&#x201d; where a precipitous market move occurs. Generally, the disclosed embodiments determine when a market for a particular product moves too quickly in too short of period of time, e.g. the velocity of the market exceeds a defined threshold limit.

Detection and mitigation of effects of high velocity price changes

Systems and methods for matching one or more incoming order to a standing order as a function of an inner market parameter

A method of allocating a quantity of an incoming order for a product develops a value that indicates a portion of the incoming order this is to be allocated using a FIFO algorithm and allocates a first portion of the incoming order to standing orders using the FIFO algorithm. The method further allocates a second portion of the incoming order to standing orders using a pro-rata algorithm, wherein the step of allocating the second portion leaves a remaining quantity of the incoming order. In addition, the method allocates the remaining portion to the standing orders using a FIFO algorithm.

System and method of allocating an incoming order to standing orders

Growing community of inventors

Roselle, IL, United States of America

Brian Wolf