Invention Grant
- Patent Title: Spread price scaling for implied trade matching
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Application No.: US16238246Application Date: 2019-01-02
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Publication No.: US11042935B2Publication Date: 2021-06-22
- Inventor: Richard Co , Thomas Patrick Rafferty , Murphy James Brennan , Timothy Francis McCourt , Giovanni Vicioso , David Paul Plandowski , Benjamin Carl Rutledge
- Applicant: Chicago Mercantile Exchange Inc.
- Applicant Address: US IL Chicago
- Assignee: Chicago Mercantile Exchange Inc.
- Current Assignee: Chicago Mercantile Exchange Inc.
- Current Assignee Address: US IL Chicago
- Agency: Lempia Summerfield Katz LLC
- Main IPC: G06Q40/04
- IPC: G06Q40/04 ; G06Q20/36
Abstract:
A computer implemented method for creating and matching implied inter-commodity spread orders where a spread ratio between legs of the inter-commodity spread is endogenous. The implied spread price is determined with a multi-step calculation including determining the price ratio between the underlying products and balancing the quantity of contracts required of each leg product.
Public/Granted literature
- US20200211111A1 SPREAD PRICE SCALING FOR IMPLIED TRADE MATCHING Public/Granted day:2020-07-02
Information query
