公开(公告)号：US20120041896A1

公开(公告)日：2012-02-16

申请号：US13282019

申请日：2011-10-26

申请人： Scott Johnston ,  John Falck ,  Charlie Troxel, JR. ,  James W. Farrell ,  Arjuna Ariathurai ,  Agnes Shanthi Thiruthuvadoss ,  David Salvadori

发明人： Scott Johnston ,  John Falck ,  Charlie Troxel, JR. ,  James W. Farrell ,  Arjuna Ariathurai ,  Agnes Shanthi Thiruthuvadoss ,  David Salvadori

IPC分类号： G06Q40/04

CPC分类号： G06Q40/04 ,  G06Q30/0283 ,  G06Q30/0601 ,  G06Q40/00 ,  G06Q40/06

摘要： Systems and methods are provided for processing derivative product orders at an exchange. Traders provide derivative product order risk data to the exchange. The order risk data may include maximum delta, gamma and/or vega utilization values for derivative product contracts based on the same underlying product. Before executing a trade, a match system analyzes the trader's current utilization state and the utilization that would result after the trade. The match system may then execute all or a portion of the trade.

摘要翻译： 提供系统和方法用于在交易所处理衍生产品订单。 交易商向交易所提供衍生产品订单风险数据。 订单风险数据可以包括基于相同底层产品的衍生产品合约的最大delta，gamma和/或vega利用率。 在执行交易之前，匹配系统分析交易者当前的利用状态和交易后产生的利用率。 然后，匹配系统可以执行交易的全部或一部分。

公开(公告)号：US20090265267A1

公开(公告)日：2009-10-22

申请号：US12496831

申请日：2009-07-02

申请人： Scott Johnston ,  John Falck ,  Charlie Troxel, JR. ,  James W. Farrell ,  Shanthi Thiruthuvadoss ,  Arjuna Ariathurai ,  David Salvadori

发明人： Scott Johnston ,  John Falck ,  Charlie Troxel, JR. ,  James W. Farrell ,  Shanthi Thiruthuvadoss ,  Arjuna Ariathurai ,  David Salvadori

IPC分类号： G06Q40/00

CPC分类号： G06Q40/04 ,  G06Q40/00 ,  G06Q40/06

摘要： Methods and systems for an exchange to handle variable derivative product order prices are disclosed. The price of a derivative product order (bid or offer) is updated based on changes in the price of a related underlying product. Price determination variable(s), such as delta and gamma, are used to determine the price of the order. The exchange may periodically recalculate the price without requiring the trader to transmit additional information to the exchange.

摘要翻译： 披露了交易所处理可变衍生产品订单价格的方法和系统。 衍生产品订单（出价或报价）的价格根据相关底层产品的价格变化进行更新。 价格确定变量（如delta和gamma）用于确定订单的价格。 交易所可以定期重新计算价格，而不要求交易者向交易所发送附加信息。

公开(公告)号：US09911157B2

公开(公告)日：2018-03-06

申请号：US12496831

申请日：2009-07-02

申请人： Scott Johnston ,  John Falck ,  Charlie Troxel, Jr. ,  James W. Farrell ,  Shanthi Thiruthuvadoss ,  Arjuna Ariathurai ,  David Salvadori

发明人： Scott Johnston ,  John Falck ,  Charlie Troxel, Jr. ,  James W. Farrell ,  Shanthi Thiruthuvadoss ,  Arjuna Ariathurai ,  David Salvadori

IPC分类号： G06Q40/00 ,  G06Q40/04 ,  G06Q40/06

CPC分类号： G06Q40/04 ,  G06Q40/00 ,  G06Q40/06

摘要： Methods and systems for an exchange to handle variable derivative product order prices are disclosed. The price of a derivative product order (bid or offer) is updated based on changes in the price of a related underlying product. Price determination variable(s), such as delta and gamma, are used to determine the price of the order. The exchange may periodically recalculate the price without requiring the trader to transmit additional information to the exchange.

公开(公告)号：US08060431B2

公开(公告)日：2011-11-15

申请号：US12966467

申请日：2010-12-13

申请人： James W. Farrell ,  Agnes Shanthi Thiruthuvadoss ,  David Salvadori ,  Scott Johnston ,  John Falck ,  Charlie Troxel, Jr. ,  Arjuna Ariathurai

发明人： James W. Farrell ,  Agnes Shanthi Thiruthuvadoss ,  David Salvadori ,  Scott Johnston ,  John Falck ,  Charlie Troxel, Jr. ,  Arjuna Ariathurai

IPC分类号： G06Q40/00

CPC分类号： G06Q40/04 ,  G06Q40/00 ,  G06Q40/025 ,  G06Q40/06

摘要： Systems and methods are provided for executing a hedge transaction in connection with the execution of a derivative product order in which the price of the derivative product is defined by one or more variables. The hedge transaction may be executed at an exchange or match engine that is different from the exchange or match engine executing the derivative product order. The execution of derivative product transaction may be contingent on the existence of an appropriate hedge transaction. Alternatively, a best efforts approach may be used to fill the hedge transaction order after executing the derivative product transaction.

摘要翻译： 提供系统和方法用于执行与衍生产品订单相关的套期交易，其中衍生产品的价格由一个或多个变量定义。 可以在与执行衍生产品订单的交换或匹配引擎不同的交换或匹配引擎执行套期交易。 衍生产品交易的执行可能取决于是否存在适当的对冲交易。 或者，在执行衍生产品交易之后，可以使用尽最大努力的方法填写对冲交易订单。

公开(公告)号：US08224737B2

公开(公告)日：2012-07-17

申请号：US13249984

申请日：2011-09-30

申请人： James W. Farrell ,  Agnes Shanthi Thiruthuvadoss ,  David Salvadori ,  Scott Johnston ,  John Falck ,  Charlie Troxel, Jr. ,  Arjuna Ariathurai

发明人： James W. Farrell ,  Agnes Shanthi Thiruthuvadoss ,  David Salvadori ,  Scott Johnston ,  John Falck ,  Charlie Troxel, Jr. ,  Arjuna Ariathurai

IPC分类号： G06Q40/00

CPC分类号： G06Q40/04 ,  G06Q40/00 ,  G06Q40/025 ,  G06Q40/06

摘要： Systems and methods are provided for executing a hedge transaction in connection with the execution of a derivative product order in which the price of the derivative product is defined by one or more variables. The hedge transaction may be executed at an exchange or match engine that is different from the exchange or match engine executing the derivative product order. The execution of derivative product transaction may be contingent on the existence of an appropriate hedge transaction. Alternatively, a best efforts approach may be used to fill the hedge transaction order after executing the derivative product transaction.

摘要翻译： 提供系统和方法用于执行与衍生产品订单相关的套期交易，其中衍生产品的价格由一个或多个变量定义。 可以在与执行衍生产品订单的交换或匹配引擎不同的交换或匹配引擎执行套期交易。 衍生产品交易的执行可能取决于是否存在适当的对冲交易。 或者，在执行衍生产品交易之后，可以使用尽最大努力的方法填写对冲交易订单。

公开(公告)号：US20110082786A1

公开(公告)日：2011-04-07

申请号：US12966467

申请日：2010-12-13

申请人： James W. Farrell ,  Agnes Shanthi Thiruthuvadoss ,  David Salvadori ,  Scott Johnston ,  John Falck ,  Charlie Troxel, JR. ,  Arjuna Ariathurai

发明人： James W. Farrell ,  Agnes Shanthi Thiruthuvadoss ,  David Salvadori ,  Scott Johnston ,  John Falck ,  Charlie Troxel, JR. ,  Arjuna Ariathurai

IPC分类号： G06Q40/00

CPC分类号： G06Q40/04 ,  G06Q40/00 ,  G06Q40/025 ,  G06Q40/06

摘要： Systems and methods are provided for executing a hedge transaction in connection with the execution of a derivative product order in which the price of the derivative product is defined by one or more variables. The hedge transaction may be executed at an exchange or match engine that is different from the exchange or match engine executing the derivative product order. The execution of derivative product transaction may be contingent on the existence of an appropriate hedge transaction. Alternatively, a best efforts approach may be used to fill the hedge transaction order after executing the derivative product transaction.

摘要翻译： 提供系统和方法用于执行与衍生产品订单相关的套期交易，其中衍生产品的价格由一个或多个变量定义。 可以在与执行衍生产品订单的交换或匹配引擎不同的交换或匹配引擎执行套期交易。 衍生产品交易的执行可能取决于是否存在适当的对冲交易。 或者，在执行衍生产品交易之后，可以使用尽最大努力的方法填写对冲交易订单。

公开(公告)号：US07890418B2

公开(公告)日：2011-02-15

申请号：US12688467

申请日：2010-01-15

申请人： James W. Farrell ,  Agnes Shanthi Thiruthuvadoss ,  David Salvadori ,  Scott Johnston ,  John Falck ,  Charlie Troxel, Jr. ,  Arjuna Ariathurai

发明人： James W. Farrell ,  Agnes Shanthi Thiruthuvadoss ,  David Salvadori ,  Scott Johnston ,  John Falck ,  Charlie Troxel, Jr. ,  Arjuna Ariathurai

IPC分类号： G06Q40/00

CPC分类号： G06Q40/04 ,  G06Q40/00 ,  G06Q40/025 ,  G06Q40/06

摘要： Systems and methods are provided for executing a hedge transaction in connection with the execution of a derivative product order in which the price of the derivative product is defined by one or more variables. The hedge transaction may be executed at an exchange or match engine that is different from the exchange or match engine executing the derivative product order. The execution of derivative product transaction may be contingent on the existence of an appropriate hedge transaction. Alternatively, a best efforts approach may be used to fill the hedge transaction order after executing the derivative product transaction.

公开(公告)号：US20100306133A1

公开(公告)日：2010-12-02

申请号：US12852656

申请日：2010-08-09

申请人： Scott Johnston ,  John Falck ,  Charlie Troxel, JR. ,  James W. Farrell ,  Arjuna Ariathurai ,  Agnes Shanthi Thiruthuvadoss ,  David Salvadori

发明人： Scott Johnston ,  John Falck ,  Charlie Troxel, JR. ,  James W. Farrell ,  Arjuna Ariathurai ,  Agnes Shanthi Thiruthuvadoss ,  David Salvadori

IPC分类号： G06Q40/00

CPC分类号： G06Q40/04 ,  G06Q30/0283 ,  G06Q30/0601 ,  G06Q40/00 ,  G06Q40/06

摘要： Systems and methods are provided for processing derivative product orders at an exchange. Traders provide derivative product order risk data to the exchange. The order risk data may include maximum delta, gamma and/or vega utilization values for derivative product contracts based on the same underlying product. Before executing a trade, a match system analyzes the trader's current utilization state and the utilization that would result after the trade. The match system may then execute all or a portion of the trade.

摘要翻译： 提供系统和方法用于在交易所处理衍生产品订单。 交易商向交易所提供衍生产品订单风险数据。 订单风险数据可以包括基于相同底层产品的衍生产品合约的最大delta，gamma和/或vega利用率。 在执行交易之前，匹配系统分析交易者当前的利用状态和交易后产生的利用率。 然后，匹配系统可以执行交易的全部或一部分。

公开(公告)号：US07440917B2

公开(公告)日：2008-10-21

申请号：US10676318

申请日：2003-10-01

申请人： James W. Farrell ,  David Salvadori ,  Arjuna Ariathurai ,  John Falck ,  Scott Johnston ,  Agnes Shanthi Thiruthuvadoss ,  Charlie Troxel, Jr.

发明人： James W. Farrell ,  David Salvadori ,  Arjuna Ariathurai ,  John Falck ,  Scott Johnston ,  Agnes Shanthi Thiruthuvadoss ,  Charlie Troxel, Jr.

IPC分类号： G06Q40/00

CPC分类号： G06Q40/04 ,  G06Q30/0283 ,  G06Q30/0601 ,  G06Q40/00 ,  G06Q40/06

摘要： Systems and methods are provided for processing derivative product orders at an exchange. Traders provide derivative product order risk data to the exchange. The order risk data may include maximum delta, gamma and/or vega utilization values for derivative product contracts based on the same underlying product. Before executing a trade, a match system analyzes the trader's current utilization state and the utilization that would result after the trade. The match system may then execute all or a portion of the trade.

摘要翻译： 提供系统和方法用于在交易所处理衍生产品订单。 交易商向交易所提供衍生产品订单风险数据。 订单风险数据可以包括基于相同底层产品的衍生产品合约的最大delta，gamma和/或vega利用率。 在执行交易之前，匹配系统分析交易者当前的利用状态和交易后产生的利用率。 然后，匹配系统可以执行交易的全部或一部分。

公开(公告)号：US08326738B2

公开(公告)日：2012-12-04

申请号：US13182178

申请日：2011-07-13

申请人： Scott Johnston ,  John Falck ,  Charlie Troxel, Jr. ,  James Farrell ,  Arjuna Ariathurai ,  Agnes Shanthi Thiruthuvadoss ,  David Salvadori

发明人： Scott Johnston ,  John Falck ,  Charlie Troxel, Jr. ,  James Farrell ,  Arjuna Ariathurai ,  Agnes Shanthi Thiruthuvadoss ,  David Salvadori

IPC分类号： G06Q40/00

CPC分类号： G06Q40/04 ,  G06Q30/0283 ,  G06Q30/0601 ,  G06Q40/00 ,  G06Q40/06

摘要： Systems and methods are provided for processing derivative product orders at an exchange. Traders provide derivative product order risk data to the exchange. The order risk data may include maximum delta, gamma and/or vega utilization values for derivative product contracts based on the same underlying product. Before executing a trade, a match system analyzes the trader's current utilization state and the utilization that would result after the trade. The match system may then execute all or a portion of the trade.

摘要翻译： 提供系统和方法用于在交易所处理衍生产品订单。 交易商向交易所提供衍生产品订单风险数据。 订单风险数据可以包括基于相同底层产品的衍生产品合约的最大delta，gamma和/或vega利用率。 在执行交易之前，匹配系统分析交易者当前的利用状态和交易后产生的利用率。 然后，匹配系统可以执行交易的全部或一部分。