公开(公告)号：US20140067635A1

公开(公告)日：2014-03-06

申请号：US13605562

申请日：2012-09-06

Applicant: Peter Barker ,  Suzanne Spain ,  James Wilcox ,  Michael Kamradt ,  John Labuszewski

Inventor： Peter Barker ,  Suzanne Spain ,  James Wilcox ,  Michael Kamradt ,  John Labuszewski

IPC: G06Q40/06

CPC classification number: G06Q40/04

Abstract: The disclosed embodiments relate to systems and methods for determining a quotation price of a spread between multiple products, such as two or more futures contracts, having non-homogeneous construction, e.g. one may be specified in terms of an implied rate, such as a Eurodollar Futures contract, and the other may be specified in terms of a price, such a U.S. Treasury Futures contract. The disclosed embodiments normalize the valuation of each “leg” of the spread with respect to each other, accounting for the divergence of the underlying contract construction, so that a difference in those valuations may be computed.

Abstract translation: 所公开的实施例涉及用于确定具有非均匀构造的多个产品（例如两个或更多个期货合约）之间的差价的报价的系​​统和方法，例如。 可以以隐含利率（例如欧洲美元期货合约）来规定一个，另一个可以按照美国财政期货合约的价格来指定。 所公开的实施例将彼此的差价的每个“支”的估值归一化，考虑到基础合同结构的差异，从而可以计算这些估值的差异。

公开(公告)号：US20110208632A1

公开(公告)日：2011-08-25

申请号：US12708703

申请日：2010-02-19

Applicant: John Labuszewski ,  Steve Youngren ,  David Lehman

Inventor： John Labuszewski ,  Steve Youngren ,  David Lehman

IPC: G06Q40/00

CPC classification number: G06Q40/04 ,  G06Q40/00

Abstract: Systems, methods, and apparatuses are provided for processing a relationship metric comprising a plurality of components each having an associated percentage weight, selecting a plurality of financial instruments each corresponding to one of the plurality of components, determining an integer number of each of the plurality of financial instruments such that a relationship based on the integer numbers approximates the percentage weights, and composing an index that includes the respective integer numbers of each of the plurality of financial instruments.

Abstract translation: 提供了系统，方法和装置，用于处理包括多个组件的关系度量，每个组件各自具有相关联的百分比权重，选择多个与多个组件中的一个分量对应的金融工具，确定多个组合中的每一个的整数 的金融工具，使得基于整数的关系近似于百分比权重，并且构成包括多个金融工具中的每一个的相应整数的指数。

公开(公告)号：US20140074680A1

公开(公告)日：2014-03-13

申请号：US13613712

申请日：2012-09-13

Applicant: David Emerick ,  John Labuszewski ,  Will Patrick ,  Sandra Ro ,  Roger Rutherford ,  Steve Youngren

Inventor： David Emerick ,  John Labuszewski ,  Will Patrick ,  Sandra Ro ,  Roger Rutherford ,  Steve Youngren

IPC: G06Q40/04

CPC classification number: G06Q40/04

Abstract: A computer system associated with spot market trading in a particular subject matter may communicate with a computer system associated with trading in futures contracts or options in futures contracts for the subject matter. The communications may include pricing data for at least one of futures contracts or options in futures contracts for the subject matter, which pricing data may be used for spot market pricing. The communications may also include communications regarding futures hedging of spot trading in the subject matter.

Abstract translation: 与特定主题的现货市场交易相关联的计算机系统可以与与期货合约交易相关联的计算机系统或期货合约中的期权进行通信。 通信可以包括期货合约或期货合约中期权合约中的至少一个的定价数据，该定价数据可用于现货市场定价。 通信还可以包括关于主题的现货交易的期货对冲的通信。

公开(公告)号：US20120259795A1

公开(公告)日：2012-10-11

申请号：US13082704

申请日：2011-04-08

Applicant: Robert D. Hammond ,  Richard J. Stevens ,  Frederick Sturm ,  John Labuszewski

Inventor： Robert D. Hammond ,  Richard J. Stevens ,  Frederick Sturm ,  John Labuszewski

IPC: G06Q40/00

CPC classification number: G06Q40/06

Abstract: A futures contract and method of computing a settlement price thereof are disclosed that enables a market participant to shed or acquire financial exposure in a conventional bond spread, in the form of single futures contract, rather than as a bona fide spread requiring active management of distinct long and short component bond positions, e.g. legs. The notional financial exposure of the futures contract is sized, not in terms of notional amounts/quantities of assets represented in the components of the futures contract's reference spread, but rather in terms of the pecuniary value of one basis point (i.e., 0.01 percent per annum) of the spread between yields to maturity for each of the components of the futures contract's reference spread. Effectively, the spread between the yields is defined inversely, i.e. the price per increment of spread is fixed whereas the quantities/notional amounts of reference bonds and the spread between them are not.

Abstract translation: 披露了期货合约和计算其结算价格的方法，使市场参与者能够以单一期货合约的形式流通或获得传统债券利差的财务风险，而不是要求主动管理不同的 长和短组分键位置，例如 腿 期货合约的名义财务风险大小，而不是按期货合约参考利差组成部分的名义金额/资产数量，而是以一个基点的金额价值计算（即0.01％ 年度）期货合约参考利差的每个组成部分的收益率到期限之间的差额。 有效地，收益率之间的差额被定义为逆向，即每个扩展增量的价格是固定的，而参考债券的数量/名义数额和它们之间的差距不是。

公开(公告)号：US10417707B2

公开(公告)日：2019-09-17

申请号：US13613712

申请日：2012-09-13

Applicant: David Emerick ,  John Labuszewski ,  Will Patrick ,  Sandra Ro ,  Roger Rutherford ,  Steve Youngren

Inventor： David Emerick ,  John Labuszewski ,  Will Patrick ,  Sandra Ro ,  Roger Rutherford ,  Steve Youngren

IPC: G06Q40/04

Abstract: A computer system associated with spot market trading in a particular subject matter may communicate with a computer system associated with trading in futures contracts or options in futures contracts for the subject matter. The communications may include pricing data for at least one of futures contracts or options in futures contracts for the subject matter, which pricing data may be used for spot market pricing. The communications may also include communications regarding futures hedging of spot trading in the subject matter.

公开(公告)号：US20140006243A1

公开(公告)日：2014-01-02

申请号：US13534399

申请日：2012-06-27

Applicant: James Boudreault ,  Frederick Storm ,  John Labuszewski ,  Daniel Grombacher ,  Jonathan Kronstein ,  Peter Barker ,  Suzanne Spain

Inventor： James Boudreault ,  Frederick Storm ,  John Labuszewski ,  Daniel Grombacher ,  Jonathan Kronstein ,  Peter Barker ,  Suzanne Spain

IPC: G06Q40/04

CPC classification number: G06Q40/04

Abstract: The disclosed embodiments relate to systems and methods which match/allocate an incoming order to trade with “resting,” i.e. previously received but not yet matched, orders, recognizing that the algorithm or rules by which the incoming order is matched may affect the operation of the market for the financial product being traded. In particular, the disclosed embodiments relate to an adaptive match engine which draws upon different matching algorithms, e.g. the rules which dictate how a given order should be allocated among qualifying resting orders, depending upon market conditions, to improve the operation of the market. Thereby, by conditionally switching among matching algorithms within the same financial product, as will be described, the disclosed match engine automatically adapts to the changing market conditions of a financial product, e.g. a limited life product, in a non-preferential manner, maintaining fair order allocation while improving market liquidity, e.g., over the life of the product.

Abstract translation: 所公开的实施例涉及系统和方法，其匹配/分配进入的订单以“休息”交易，即先前接收但尚未匹配的订单，认识到输入订单匹配的算法或规则可能影响 金融产品交易市场。 特别地，所公开的实施例涉及一种自适应匹配引擎，其基于不同的匹配算法，例如， 规定如何根据市场条件在合格休息令中分配给定的订单以改善市场运作。 因此，如上所述，通过有条件地在相同的金融产品中的匹配算法之间切换，所公开的匹配引擎自动地适应金融产品的变化的市场状况，例如， 有限的生活产品以非优先的方式维持公平的订单分配，同时提高市场流动性，例如在产品的使用寿命内。

公开(公告)号：US20130179319A1

公开(公告)日：2013-07-11

申请号：US13348251

申请日：2012-01-11

Applicant: Peter Barker ,  James Boudreault ,  Daniel Grombacher ,  Michael P. Kamradt ,  Frederick Sturm ,  John Labuszewski

Inventor： Peter Barker ,  James Boudreault ,  Daniel Grombacher ,  Michael P. Kamradt ,  Frederick Sturm ,  John Labuszewski

IPC: G06Q40/04

CPC classification number: G06Q40/04

Abstract: The disclosed embodiments relate to an exchange-traded futures contract, guaranteed by a clearing house, and characterized by an embedded price dynamic comprising a compound accrual of a periodic interest rate up to a date on which trading therein is terminated, as specified in the futures contract terms and conditions. A trader may be allowed and/or enabled to take a position in a futures contract with respect to an interest bearing underlier with a variable interest rate and, thereby, minimize the number of transactions and attendant costs with respect to monitoring and correcting for divergences between the futures position and the notional interest rate swap exposure for which the futures position is intended to serve as a proxy. Variation margin for the position is computed based on an underlying reference interest rate as opposed to being computed solely on the basis of the end-of-business day price of the futures contract.

Abstract translation: 所披露的实施例涉及由结算所担保的交易所交易期货合约，其特征在于嵌入式价格动态，其包括在期货交易截止日期之前应计的定期利率的复合，如期货 合同条款和条件。 交易者可能被允许和/或能够在具有可变利率的利率低于期权的期货合约中担任职位，从而最大限度地减少交易数量和伴随成本，以监测和纠正两者之间的差异 期货头寸和期货头寸旨在作为代理人的名义利率掉期敞口。 基于相关参考利率计算头寸的变动幅度，而不是仅根据期货合约的工作结束日价格计算。

公开(公告)号：US08738503B2

公开(公告)日：2014-05-27

申请号：US13291618

申请日：2011-11-08

Applicant: Daniel Grombacher ,  James Boudreault ,  Frederick Sturm ,  John Labuszewski

Inventor： Daniel Grombacher ,  James Boudreault ,  Frederick Sturm ,  John Labuszewski

IPC: G06Q40/00

CPC classification number: G06Q40/04

Abstract: The disclosed system makes available multiple interest rate futures contracts (“IRFC”) for a given set of interest rate securities, such as US Treasury Notes, which may be used to satisfy the delivery obligation. The terms on which the delivery obligation of each such IRFC are met are governed by an associated conversion factor yield (“CFY”) value which is associated, in turn, with a corresponding set of conversion factors (“CF”), each of which corresponds to one member of the set of securities eligible for delivery, and which may be used at the time of delivery of such eligible interest rate security, to determine the delivery invoice price. Offering different CFY's and corresponding CF's may enable a market participant who seeks to use such futures to acquire or shed financial risk exposure to select from such array of futures contracts the member contract that most closely mirror the participant's intended risk profile.

Abstract translation: 所披露的系统为特定的一系列利率证券（如美国国库券）提供多种利率期货合约（“IRFC”），可用于满足交割义务。 每个这样的IRFC的交付义务符合的条款由相关的转换因子收益率（“CFY”）值决定，而相关的转换因子收益率又与相应的一组转换因子（“CF”）相关联， 对应于有资格交付的一组证券中的一个成员，并且可以在交付这种符合条件的利率保证金时使用，以确定交货发票价格。 提供不同的CFY和相应的CF可能使寻求使用这种期货的市场参与者获得或减少金融风险暴露，从这样的期货合约中选择最能反映参与者预期风险状况的成员合同。

公开(公告)号：US20130117172A1

公开(公告)日：2013-05-09

申请号：US13291618

申请日：2011-11-08

Applicant: Daniel Grombacher ,  James Boudreault ,  Frederick Sturm ,  John Labuszewski

Inventor： Daniel Grombacher ,  James Boudreault ,  Frederick Sturm ,  John Labuszewski

IPC: G06Q40/04

CPC classification number: G06Q40/04

Abstract: The disclosed system makes available multiple interest rate futures contracts (“IRFC”) for a given set of interest rate securities, such as US Treasury Notes, which may be used to satisfy the delivery obligation. The terms on which the delivery obligation of each such IRFC are met are governed by an associated conversion factor yield (“CFY”) value which is associated, in turn, with a corresponding set of conversion factors (“CF”), each of which corresponds to one member of the set of securities eligible for delivery, and which may be used at the time of delivery of such eligible interest rate security, to determine the delivery invoice price. Offering different CFY's and corresponding CF's may enable a market participant who seeks to use such futures to acquire or shed financial risk exposure to select from such array of futures contracts the member contract that most closely mirror the participant's intended risk profile.

Abstract translation: 所披露的系统为特定的一系列利率证券（如美国国库券）提供多种利率期货合约（“IRFC”），可用于满足交割义务。 每个这样的IRFC的交付义务符合的条款由相关的转换因子收益率（“CFY”）值决定，而相关的转换因子收益率又与相应的一组转换因子（“CF”）相关联， 对应于有资格交付的一组证券中的一个成员，并且可以在交付这种符合条件的利率保证金时使用，以确定交货发票价格。 提供不同的CFY和相应的CF可能使寻求使用这种期货的市场参与者获得或减少金融风险暴露，从这样的期货合约中选择最能反映参与者预期风险状况的成员合同。

公开(公告)号：US20070118455A1

公开(公告)日：2007-05-24

申请号：US11452653

申请日：2006-06-14

Applicant: William Albert ,  Lori Flemm ,  Paul Bauerschmidt ,  Paul Callaway ,  Dmitriy Glinberg ,  Edward Gogol ,  Stephen Goldman ,  Andrew Greta ,  Bryan Hunter ,  Matthew Kelly ,  John Labuszewski ,  Paul Lichter ,  Jeffrey Mitchell ,  Ari Studnitzer ,  Shanthi Thiruthuvadoss ,  Tae Seok Yoo

Inventor： William Albert ,  Lori Flemm ,  Paul Bauerschmidt ,  Paul Callaway ,  Dmitriy Glinberg ,  Edward Gogol ,  Stephen Goldman ,  Andrew Greta ,  Bryan Hunter ,  Matthew Kelly ,  John Labuszewski ,  Paul Lichter ,  Jeffrey Mitchell ,  Ari Studnitzer ,  Shanthi Thiruthuvadoss ,  Tae Seok Yoo

IPC: G06Q40/00

CPC classification number: G06Q40/04

Abstract: The disclosed systems and methods relate to allowing trading of over the counter (“OTC”) foreign exchange (“FX”) contracts on a centralized matching and clearing mechanism, such as that of the Chicago Mercantile Exchange's (“CME”'s) futures exchange system (the “Exchange”). The disclosed systems and methods allow for anonymous transactions, centralized clearing, efficient settlement and the provision of risk management/credit screening mechanisms to lower risk, reduce transaction costs and improve the liquidity in the FX market place. In particular, the disclosed embodiments increase speed of execution facilitating growing demand for algorithmic trading, increased price transparency, lower cost of trading, customer to customer trading, and automated asset allocations, recurring trades as well as clearing and settlement efficiencies.

Abstract translation: 所披露的系统和方法涉及允许在集中式配对清算机制（例如芝加哥商品交易所（CME））期货交易柜台（“OTC”）外汇交易（“外汇”）合约 交换系统（“交换”）。 所披露的系统和方法允许匿名交易，集中清算，有效结算和提供风险管理/信用审查机制，降低风险，降低交易成本，提高外汇市场的流动性。 特别地，所公开的实施例增加执行速度，促进对算法交易的日益增长的需求，增加的价格透明度，降低交易成本，客户到客户交易以及自动资产分配，经常性交易以及结算和结算效率。