Chicago Mercantile Exchange Inc.

Troy C Kane

Brian Wolf

Jonathan Kronstein

Andrew P Czupek

Bryan T Durkin

Thomas G McCabe

Donald M Cuba

Pearce Peck-Walden

James Allen Bailey

Stanislav Liberman

John Paul Scheerer

Neil Andrew Lustyk

Haifeng Zheng

Matthew J Kelly

Scott D Banke

Ashraf Ansari

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

Growing community of inventors

Chicago, IL, United States of America

Troy C Kane