Peter R Barker

US Patent:

8527393, Sep 3, 2013

Filed:

Jul 14, 2011

Appl. No.:

13/183061

Inventors:

James Boudreault - Palatine IL, US
John Wiley - New York NY, US
Frederick Sturm - Chicago IL, US
Jonathan Kronstein - Elmhurst IL, US
Suzanne Spain - Chicago IL, US
Peter Barker - Chicago IL, US

Assignee:

Chicago Mercantile Exchange Inc. - Chicago IL

International Classification:

G06Q 40/00
G06Q 40/02
G06Q 40/04
G06Q 40/08

US Classification:

705 37, 705 35, 705 36 R

Abstract:

The disclosed embodiments relate to determining a listing date, an expiration date and the cash settlement price of a futures contract, i. e. a Treasury Futures, for the delivery of the most recently issued, referred to as an on-the-run, US treasury Note of a particular maturity by reference to the U. S. Treasury Auction cycle and the difference between a resultant industry surveyed swap rate and a resultant industry surveyed swap spread of the respective tenors (time remaining until maturity) of the on-the-run treasury futures.

US Patent:

20140006243, Jan 2, 2014

Filed:

Jun 27, 2012

Appl. No.:

13/534399

Inventors:

James Boudreault - Palatine IL, US
Frederick Storm - Chicago IL, US
John Labuszewski - Westmont IL, US
Daniel Grombacher - Evanston IL, US
Jonathan Kronstein - Elmhurst IL, US
Peter Barker - Chicago IL, US
Suzanne Spain - Chicago IL, US

International Classification:

G06Q 40/04

US Classification:

705 37

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.