Chicago Mercantile Exchange Inc.

Matthew J Kelly

Elizabeth D Freeman

Mazen Chadid

Richard J McDonald

Mahesh G Hira

Robert J Wilcox

Pearce Peck-Walden

James Allen Bailey

Stanislav Liberman

John Paul Scheerer

Neil Andrew Lustyk

Brian Wolf

Haifeng Zheng

Troy C Kane

Scott D Banke

Ashraf Ansari

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

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.

Method and system for generating and trading composite contracts

An alert system that notifies an Exchange's staff of a trade that appears to be outside of an expected market range of prices includes an input device, determination logic, evaluation logic, and alert logic. The determination logic derives a theoretical no-bust range of prices based on data received from the input device. The theoretical no-bust range of prices are prices above and below a synthesized market price, within which an erroneous trade cannot be cancelled. The evaluation logic monitors trades and compares those trades to the theoretical no-bust range of prices. The alert logic notifies the Exchange's staff when the evaluation logic identifies a potentially erroneous trade that lies outside the theoretical no-bust range of prices. A method of notifying the Exchange of a trade that potentially lies outside of an expected range of prices includes monitoring an input range of prices and deriving the theoretical no-bust range of prices. The method then compares transactions prices to the theoretical no-bust range of prices and notifies the Exchange when a potentially erroneous trade can be cancelled.

System and method for monitoring trades outside of a no-bust range in an electronic trading system

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Western Springs, IL, United States of America

Matthew J Kelly