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    • 5. 发明申请
    • Matched Order Fulfillment with Linear Optimization
    • 线性优化匹配订单履行
    • US20140081818A1
    • 2014-03-20
    • US13617845
    • 2012-09-14
    • Richard CoJohn NyhoffXing SuTuen Tuen WangJohn Labuszewski
    • Richard CoJohn NyhoffXing SuTuen Tuen WangJohn Labuszewski
    • G06Q40/04
    • G06Q40/04
    • A method for matching compound orders from a group of market participants includes receiving, via a communication network, compound order data, the compound order data specifying a maximum amount of a financial instrument of a plurality of financial instruments to be bought or sold by each market participant, accessing a memory in which price data is stored, the price data indicating a current price of each financial instrument, implementing, with a processor, a linear solver to maximize fulfillment of the compound orders via order matching for execution at the current prices in accordance with the maximum amounts specified in the compound order data and in accordance with a maximum net risk exposure level for each market participant arising from the fulfillment of the compound orders, and transmitting trade data indicative of the order matching for execution of trades among the market participants at the current prices.
    • 一种用于匹配来自一组市场参与者的复合订单的方法包括经由通信网络接收复合订单数据,指定每个市场要购买或出售的多种金融工具的金融工具的最大金额的复合订单数据 参与者访问存储价格数据的存储器,指示每个金融工具的当前价格的价格数据,用处理器实现线性求解器,以通过以当前价格执行的订单匹配来最大限度地实现复合订单 按照复合订单数据中规定的最大金额,并根据实现复合订单的每个市场参与者的最大净风险敞口水平,以及传达指示市场执行交易顺序匹配的交易数据 参与者以目前的价格。
    • 9. 发明申请
    • SYSTEM AND METHOD FOR IMPLEMENTING AND MANAGING BUNDLED OPTION BOX FUTURES
    • 用于实施和管理整套选购盒期货的系统和方法
    • US20120101931A1
    • 2012-04-26
    • US12911516
    • 2010-10-25
    • Richard CoTuen Tuen WangXing SuJohn Labuszewski
    • Richard CoTuen Tuen WangXing SuJohn Labuszewski
    • G06Q40/00
    • G06Q40/04
    • A system and method of providing a collateralized loan utilizing a clearing counterparty is disclosed. The method includes receiving an order at a match engine module, the order related to a futures contract based on an options box spread as the deliverable asset such that the futures contract represents a collateralized loan and such that the order includes an interest rate associated with the collateralized loan, analyzing, at the match engine, the order to determine a strike interval, scanning an order book module in communication with the match engine module, such that the scan is based on the determined strike interval, and automatically defining a first pair of options at a first strike price and a second pair of options at a second strike price, such that the determined strike interval defines the first and second strike prices, such that the first and second pair of options cooperate to define the option box spread.
    • 披露了利用清算交易对手提供抵押贷款的制度和方法。 该方法包括:在匹配引擎模块处接收与期货合约有关的订单,该期货合约基于作为可交付资产分散的期权箱,使得期货合约代表抵押贷款,并且使得该订单包括与该期权合约相关联的利率 抵押贷款,在匹配引擎处分析确定打击间隔的顺序,扫描与匹配引擎模块通信的订单簿模块,使得扫描基于确定的打击间隔,并且自动定义第一对 第一行使价的期权和第二行使价的第二对期权,使得所确定的敲击间隔定义第一和第二行使价格,使得第一和第二对选项合作以定义期权票据价差。