Detection and mitigation of effects of high velocity value changes based upon match event outcomes

US10783532B2 · kind B2 · utility

Assignee

• Chicago Mercantile Exchange Inc. · US

Inventors

• Neil A. Lustyk · Chicago, US
• John Scheerer · Chicago, US
• James Bailey · Ontarioville, US
• Paul Millhuff · Tinley Park, US

Key dates

• Filing date: Apr 6, 2016
• Grant date: Sep 22, 2020
• Expiry date: Jan 23, 2039

Classification

• Technology area (CPC G): Physics
• CPC primary: G06Q40/03
• WIPO field: IT methods for management
• WIPO sector: Electrical engineering

Abstract

A processing module may be centralized and coupled to multiple inputs from customers, and behave deterministically, e.g., programmed to depend on state, inputs and outputs. The rapid speed of automated trading systems implementing such a centralized, deterministic module, where all users can access a central limit order object, can quickly result in an object state that does not reflect a true consensus or desirable state. Accordingly the resulting problem is a problem arising in computer systems due in part to the high speeds of computer systems. The solutions disclosed herein are, in one embodiment, implemented as automatic responses and actions by a computing system.