Ebs Group Limited

Chicago Mercantile Exchange Inc.

Nasir Ahmed Zubairi

Edward Richard Howorka

Neena Jain

John Edward Schoen

David Jifeng Liu

Jeffrey Edward Power

An anonymous computerized trading system matches orders by conducting auctions at specified times. As well as entering orders, participants assign credit limits for the duration of the auction, thus minimizing the time for which credit is allocated to the system.

Anonymous trading system

Benchmarks for the price of a financial instrument such as FX spot rate for a currency pair are calculated by an algorithm based on a previous benchmark and a market price. The market price is derived from a deal price and a quote price. The deal price is based on deals conducted since the last benchmark and the quote price is based on bids and offers entered since the last benchmark. For each of the deal and quote prices, a price, weight and scatter is calculated which is used to calculate a benchmark price, weight and scatter and a benchmark error.

Method and apparatus for deriving benchmarks for trading instruments

A deal feed system for passing deal tickets to back office systems comprises a deal feed contributor which receives tickets from trades on a plurality of trading systems on a plurality of trading floors, a database for storing the tickets, and a distributor for passing the tickets to back office systems. Virtual deal codes are defined to which a plurality of real deal codes map. The virtual deal codes to which a ticket relates is stored in a table with a reference to the stored ticket. A deal code table is updated with the range of the virtual deal code and the update transmitted to the bank office systems and to traders.

Processing of deal tickets

An anonymous computerised trading system matches orders by conducting auctions at specified times. As well as entering orders, participants assign credit limits for the duration of the auction, thus minimizing the time for which credit is allocated to the system.

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London, United Kingdom

Nasir Ahmed Zubairi