Chicago Mercantile Exchange Inc.

Robert J Wilcox

Elizabeth D Freeman

Matthew J Kelly

Mazen Chadid

Mahesh G Hira

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.

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Chicago, IL, United States of America

Robert J Wilcox