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公开(公告)号:US08374942B2
公开(公告)日:2013-02-12
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 S. Thiruthuvadoss , David Salvadori
发明人: Scott Johnston , John Falck , Charlie Troxel, Jr. , James W. Farrell , Arjuna Ariathurai , Agnes S. 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。
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公开(公告)号:US08160949B2
公开(公告)日:2012-04-17
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 S. Thiruthuvadoss , David Salvadori
发明人: Scott Johnston , John Falck , Charlie Troxel, Jr. , James W. Farrell , Arjuna Ariathurai , Agnes S. 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。
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公开(公告)号:US07567932B1
公开(公告)日:2009-07-28
申请号:US11556499
申请日:2006-11-03
申请人: David Salvadori , Arjuna Ariathurai , John Falck , James W. Farrell , Scott Johnston , Agnes S. Thiruthuvadoss , Charlie Troxel, Jr.
发明人: David Salvadori , Arjuna Ariathurai , John Falck , James W. Farrell , Scott Johnston , Agnes S. Thiruthuvadoss , Charlie Troxel, Jr.
IPC分类号: G06Q40/00
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。
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公开(公告)号:US07991684B2
公开(公告)日:2011-08-02
申请号:US11951891
申请日:2007-12-06
申请人: David Salvadori , Arjuna Ariathurai , John Falck , James W. Farrell , Scott Johnson , Agnes S. Thiruthuvadoss , Charlie Troxel, Jr.
发明人: David Salvadori , Arjuna Ariathurai , John Falck , James W. Farrell , Scott Johnson , Agnes S. 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。
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公开(公告)号:US07778911B2
公开(公告)日:2010-08-17
申请号:US11951895
申请日:2007-12-06
申请人: David Salvadori , Arjuna Ariathurai , John Falck , James W. Farrell , Scott Johnson , Agnes S. Thiruthuvadoss , Charlie Troxel, Jr.
发明人: David Salvadori , Arjuna Ariathurai , John Falck , James W. Farrell , Scott Johnson , Agnes S. 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。
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公开(公告)号:US07152041B2
公开(公告)日:2006-12-19
申请号:US10385152
申请日:2003-03-10
申请人: David Salavadori , Arjuna Ariathurai , John Falck , James W. Farrell , Scott Johnston , Agnes S. Thiruthuvadoss , Charlie Troxel, Jr.
发明人: David Salavadori , Arjuna Ariathurai , John Falck , James W. Farrell , Scott Johnston , Agnes S. Thiruthuvadoss , Charlie Troxel, Jr.
IPC分类号: G06Q40/00
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.
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