U.S. patent application number 14/163097 was filed with the patent office on 2014-05-22 for detection and mitigation of effects of high velocity price changes.
This patent application is currently assigned to Chicago Mercantile Exchange Inc.. The applicant listed for this patent is Chicago Mercantile Exchange Inc.. Invention is credited to Ashraf Ansari, James Bailey, Scott D. Banke, Troy C. Kane, Matthew J. Kelly, Stanislav Liberman, Neil A. Lustyk, Pearce Peck-Walden, John Scheerer, Brian M. Wolf, Haifeng Zheng.
Application Number | 20140143123 14/163097 |
Document ID | / |
Family ID | 50115148 |
Filed Date | 2014-05-22 |
United States Patent
Application |
20140143123 |
Kind Code |
A1 |
Banke; Scott D. ; et
al. |
May 22, 2014 |
DETECTION AND MITIGATION OF EFFECTS OF HIGH VELOCITY PRICE
CHANGES
Abstract
The disclosed embodiments relate to mechanisms to rapidly detect
and respond to situations where a market is not operating in a fair
and balanced manner or otherwise where the market value is not
reflective of a true consensus of the value of the traded products
among the market participants. In particular, the disclosed
embodiments continually scan for, rapidly detect and respond to
extreme changes, either up ("spike") or down ("dip") in the market,
such as a "flash crash," where a precipitous market move occurs.
Generally, the disclosed embodiments determine when a market for a
particular product moves too quickly in too short of period of
time, e.g. the velocity of the market exceeds a defined threshold
limit.
Inventors: |
Banke; Scott D.; (Chicago,
IL) ; Liberman; Stanislav; (Chicago, IL) ;
Lustyk; Neil A.; (Chicago, IL) ; Bailey; James;
(Chicago, IL) ; Ansari; Ashraf; (Chicago, IL)
; Peck-Walden; Pearce; (Chicago, IL) ; Scheerer;
John; (Chicago, IL) ; Zheng; Haifeng;
(Chicago, IL) ; Kelly; Matthew J.; (Chicago,
IL) ; Wolf; Brian M.; (Chicago, IL) ; Kane;
Troy C.; (Chicago, IL) |
|
Applicant: |
Name |
City |
State |
Country |
Type |
Chicago Mercantile Exchange Inc. |
Chicago |
IL |
US |
|
|
Assignee: |
Chicago Mercantile Exchange
Inc.
Chicago
IL
|
Family ID: |
50115148 |
Appl. No.: |
14/163097 |
Filed: |
January 24, 2014 |
Related U.S. Patent Documents
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Application
Number |
Filing Date |
Patent Number |
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13633703 |
Oct 2, 2012 |
8660936 |
|
|
14163097 |
|
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61704173 |
Sep 21, 2012 |
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Current U.S.
Class: |
705/37 |
Current CPC
Class: |
G06Q 40/04 20130101 |
Class at
Publication: |
705/37 |
International
Class: |
G06Q 40/04 20120101
G06Q040/04 |
Claims
1. A computer-implemented method for mitigating an effect of a
change in a market for a product traded on an exchange, the change
in the market comprising a negative movement and/or a positive
movement, the method comprising: monitoring by a processor, the
market for the product; identifying, by the processor, a comparison
value of the product during each elapse of a duration of time and
at least one comparative value of the product upon each elapse of
the duration of time and determining each previously identified
comparative value identified within a threshold time thereof,
wherein the threshold time for a positive movement is different
than the threshold time for a negative movement; determining, by
the processor, a difference between the identified comparison value
and each of the determined previously identified comparative
values; determining, by the processor, if any of the determined
differences deviates from a threshold value; and performing, by the
processor, an action, when any of the determined differences
deviates from the threshold value.
2. The computer-implemented method of claim 1 wherein the change in
the market comprises a negative movement, and wherein the threshold
time is at least equal to a minimum amount of time needed by a
market participant to react to the negative movement and submit an
order responsive thereto.
3. The computer-implemented method of claim 1 wherein the action is
not performed until the threshold time is at least equal to a
minimum amount of time needed by a market participant to react to
the change in the market and submit an order responsive
thereto.
4. The computer-implemented method of claim 1 wherein the value of
the product comprises a bid price of the product, an ask price of
the product, a last traded price of the product, a last traded
quantity of the product, a volatility of the product, market
attribute, or a combination thereof.
5. The computer-implemented method of claim 4 wherein the
identifying further comprises determining the comparison value of
the product as a value of each order to trade the product received
during the elapse of the duration of time.
6. The computer-implemented method of claim 4 wherein the
identifying further comprises determining the at least one
comparative value of the product as a minimum value of the product
over the duration of time, maximum value of the product over the
duration of time, an average of the value of the product over the
duration of time, or combinations thereof.
7. The computer-implemented method of claim 1 wherein the threshold
time comprises a multiple of the duration of time.
8. The computer-implemented method of claim 1 wherein the action
comprises placing the market for the product in a reserved
state.
9. The computer-implemented method of claim 1 wherein the action
comprises sending an alert to an operator of the exchange, a trader
of the product, or a combination thereof.
10. The computer-implemented method of claim 1 wherein the action
comprises enabling trading opportunities for the product in a
different market.
11. The computer-implemented method of claim 1 wherein the action
comprises preventing trading of the product at a price outside of a
price limit.
12. The computer-implemented method of claim 1 further comprising:
receiving, by the processor, the duration of time, the threshold
time and the threshold value.
13. A system for mitigating an effect of a change in a market for a
product traded on an exchange, the change in the market comprising
a negative movement and/or a positive movement, the system
comprising: first logic stored in a memory and executable by a
processor to cause the processor to monitor the market for the
product; second logic stored in a memory and executable by a
processor to cause the processor to identify a comparison value of
the product during each elapse of a duration of time and at least
one comparative value of the product upon each elapse of the
duration of time and determining each previously identified
comparative value identified within a threshold time thereof,
wherein the threshold time for a positive movement is different
than the threshold time for a negative movement; third logic stored
in a memory and executable by a processor to cause the processor to
determine a difference between the identified comparison value and
each of the determined previously identified comparative values;
fourth logic stored in a memory and executable by a processor to
cause the processor to determine if any of the determined
differences deviate from a threshold value; and fifth logic stored
in a memory and executable by a processor to cause the processor to
perform an action, when any of the determined differences deviate
from the threshold value.
14. The system of claim 13 wherein the change in the market
comprises a negative movement, and wherein the threshold time is at
least equal to a minimum amount of time needed by a market
participant to react to the negative movement and submit an order
responsive thereto.
15. The system of claim 13 wherein the action is not performed
until the threshold time is at least equal to a minimum amount of
time needed by a market participant to react to the change in the
market and submit an order responsive thereto.
16. The system of claim 13 wherein the value of the product
comprises a bid price of the product, an ask price of the product,
a last traded price of the product, a last traded quantity of the
product, a volatility of the product, market attribute, or a
combination thereof.
17. The system of claim 13 wherein the action comprises placement
of the market for the product in a reserved state.
18. The system of claim 13 wherein the action comprises
transmission of an alert to an operator of the exchange, a trader
of the product, or a combination thereof.
19. The system of claim 13 wherein the action comprises enablement
of trading opportunities for the product in a different market.
20. The system of claim 13 wherein the action comprises prevention
of trading of the product at a price outside of a price limit.
21. A system for mitigating an effect of a change in a market for a
product traded on an exchange, the change in the market comprising
a negative movement and/or a positive movement, the system
comprising: means for monitoring the market for the product; means
for identifying a comparison value of the product during each
elapse of a duration of time and at least one comparative value of
the product upon each elapse of the duration of time and
determining each previously identified comparative value identified
within a threshold time thereof, wherein the threshold time for a
positive movement is different than the threshold time for a
negative movement; means for determining a difference between the
identified comparison value and each of the determined previously
identified comparative values; means for determining if any of the
determined differences deviate from a threshold value; and means
for performing an action, when any of the determined differences
deviate from the threshold value.
Description
REFERENCE TO RELATED APPLICATIONS
[0001] This application is a continuation under 37 C.F.R.
.sctn.1.53(b) of U.S. patent application Ser. No. 13/633,703 filed
Oct. 2, 2012 (Attorney Docket No. 4672-12012BUS) now U.S. Pat. No.
______, which claims the benefit of the filing date under 35 U.S.C.
.sctn.119(e) of U.S. Provisional Application Ser. No. 61/704,173
filed Sep. 21, 2012, which is hereby incorporated by reference.
BACKGROUND
[0002] A financial instrument trading system, such as a futures
exchange, referred to herein also as an "Exchange", such as the
Chicago Mercantile Exchange Inc. (CME), provides a contract market
where financial instruments, for example futures and options on
futures, are traded. Futures is a term used to designate all
contracts for the purchase or sale of financial instruments or
physical commodities for future delivery or cash settlement on a
commodity futures exchange. A futures contract is a legally binding
agreement to buy or sell a commodity at a specified price at a
predetermined future time. An option is the right, but not the
obligation, to sell or buy the underlying instrument (in this case,
a futures contract) at a specified price within a specified time.
The commodity to be delivered in fulfillment of the contract, or
alternatively the commodity for which the cash market price shall
determine the final settlement price of the futures contract, is
known as the contract's underlying reference or "underlier." The
terms and conditions of each futures contract are standardized as
to the specification of the contract's underlying reference
commodity, the quality of such commodity, quantity, delivery date,
and means of contract settlement. Cash Settlement is a method of
settling a futures contract whereby the parties effect final
settlement when the contract expires by paying/receiving the
loss/gain related to the contract in cash, rather than by effecting
physical sale and purchase of the underlying reference commodity at
a price determined by the futures contract, price.
[0003] Typically, the Exchange provides for a centralized "clearing
house" through which all trades made must be confirmed, matched,
and settled each day until offset or delivered. The clearing house
is an adjunct to the Exchange, and may be an operating division of
the Exchange, which is responsible for settling trading accounts,
clearing trades, collecting and maintaining performance bond funds,
regulating delivery, and reporting trading data. The essential role
of the clearing house is to mitigate credit risk. Clearing is the
procedure through which the Clearing House becomes buyer to each
seller of a futures contract, and seller to each buyer, also
referred to as a novation, and assumes responsibility for
protecting buyers and sellers from financial loss due to breach of
contract, by assuring performance on each contract. A clearing
member is a firm qualified to clear trades through the Clearing
House.
[0004] Current financial instrument trading systems allow traders
to submit orders and receive confirmations, market data, and other
information electronically via a network. These "electronic"
marketplaces have largely supplanted the pit based trading systems
whereby the traders, or their representatives, all physically stand
in a designated location, i.e. a trading pit, and trade with each
other via oral and hand based communication. Anyone standing in or
near the trading pit may be privy to the trades taking place, i.e.
both who is trading and what they are trading, allowing, for
example, one participant to derive and/or undermine another
participant's trading strategy and thereby garner an unfair
advantage or otherwise skew the market. Electronic trading systems,
in contrast, ideally attempt offer a more efficient, fair and
balanced market where market prices reflect a true consensus of the
value of traded products among the market participants, where the
intentional or unintentional influence of any one market
participant is minimized if not eliminated, and where unfair or
inequitable advantages with respect to information access are
minimized if not eliminated.
[0005] The speed in which trades are executed through electronic
trading systems provide many benefits. Electronic trading systems
can facilitate a large number of market transactions. The greater
the number of market transactions, the greater a market's
liquidity. In liquid markets, prices are driven by competition;
prices reflect a consensus of an investment's value; and trading
systems provide a free and open dissemination of information. With
the advent of improved computational and communications
capabilities, the speed and efficiency with which traders may
receive information and trade in electronic trading systems has
greatly improved. Algorithmic and high frequency trading utilize
computers to quickly analyze market information and place trades
allowing traders to take advantage of even smallest movements in
prices.
[0006] Unfortunately, this improved speed and efficiency also
improves the speed at which problems may occur and propagate, such
as where the market ceases to operate as intended, i.e. the market
no longer reflect a true consensus of the value of traded products
among the market participants. Such problems are typically evidence
by extreme market activity such as large changes in price, whether
up or down, over a short period of time or an extreme volume of
trades taking place.
[0007] In particular, traders, whether human or electronic, may not
always react in a rational manner, such as when presented with
imperfect information, when acting in fraudulent or otherwise
unethical manner, and/or due to faulty training or design. For
example, while communications technologies may have improved,
inequities in access to information and opportunities to
participate still exist, which may or may not be in compliance with
legislative, regulatory and/or ethical rules, e.g. some traders
receive information before other traders, some traders may be able
to place trader orders more quickly than others. In many cases,
irrational trader behavior may be triggered by a market event, such
as a change in price, creating a feedback look where the initial
irrational reaction may then cause further market events, such as a
continued price drop, triggering further irrational behavior and an
extreme change in the price of the traded product in a short period
of time. High speed trading exacerbates the problem as there may be
little time for traders, or those overseeing them, to contemplate
their reactions before significant losses may be incurred.
Furthermore, improved communications among traders facilitates
propagation of irrational behavior in one market to other markets
as traders in those other markets react to the results of the
irrational behavior.
[0008] To mitigate risk and ensure a fair and balanced market,
electronic trading systems need to provide mechanisms to rapidly
detect and respond to situations where a market is not operating in
a fair and balanced manner or otherwise where the market value is
not reflective of a true consensus of the value of the traded
products among the market participants.
BRIEF DESCRIPTION OF THE DRAWINGS
[0009] FIG. 1 depicts an illustrative computer network system that
may be used to implement aspects of the present invention
[0010] FIG. 2 a block diagram of an exemplary implementation of the
system of FIG. 1 for administering futures contracts, according to
one embodiment.
[0011] FIG. 3 depicts a flow chart showing operation of the system
of FIGS. 1 and 2.
[0012] FIG. 4 shows an illustrative embodiment of a general
computer system for use with the system of FIGS. 1 and 2.
[0013] FIG. 5 shows representations of the operation of the system
of FIG. 2.
[0014] FIG. 6 shows a graph of exemplar operation of the system of
FIG. 2.
DETAILED DESCRIPTION
[0015] The disclosed embodiments relate to mechanisms to rapidly
detect and respond to situations where a market is not operating in
a fair and balanced manner or otherwise where, for example, the
market value is not reflective of a true or rational consensus of
the value of the traded products among the market participants. In
particular, the disclosed embodiments continually scan for, rapidly
detect and respond to extreme changes, either up ("spike") or down
("dip") in the market where a precipitous market move/change
occurs. Once detected, the disclosed embodiments may respond by
taking an action such as notifying the operator of the exchange,
such as the Global Control Center ("GCC") of the Chicago Mercantile
Exchange ("CME"), placing the market in a paused or reserved state,
described in more detail below, establishing permanent or temporary
trade price limitations, or other actions, or combinations thereof,
to mitigate the effects of the extreme change, so as to, for
example, slow down the market or otherwise allow traders time to
adequately analyze and react to market conditions.
[0016] Systems exist to handle extreme market changes due to the
execution of stop orders as, in a futures market that has few
resting orders but many stop orders, an order executed at a limit
price can cause a cascading execution of buy or sell stop orders.
The triggering and election of these stop orders can seem almost
instantaneous lowering the value of a market in just a few seconds.
The problem may occur when one or more trades bring many stop
orders into the market. A fast execution of these stop orders may
prevent opposite side orders from entering the market, preventing
buyers from competing against other buyers and sellers from
competing against other sellers. See, for example, U.S. Pat. Nos.
8,103,576 and 8,112,347 and U.S. Patent Publication No.
2005/0108141 A1, herein incorporated by reference in their
entirety. However, extreme market moves can occur that are not
precipitated by Stop Orders, thereby making such "Stop Price Logic"
ineffectual. Accordingly, the disclosed embodiments detect and
respond to extreme market changes regardless of whether or not they
may be precipitated by a stop order.
[0017] While the disclosed embodiments may be described with
reference to their applicability to electronic trading systems
which trade futures contracts, and derivatives thereof, it will be
appreciated that they may be applicable to any electronic trading
system, e.g. which trade derivatives, equities or other
products.
[0018] It will be appreciated that a trading environment, such as a
futures exchange as described herein, implements one or more
economic markets where rights and obligations may be traded. As
such, a trading environment may be characterized by need to
maintain market integrity, transparency, predictability,
fair/equitable access and participant expectations with respect
thereto. For example, an exchange must respond to inputs, such as
trader orders, cancellation, etc., in a manner as expected by the
market participants, such as based on market data, e.g. prices,
available counter-orders, etc., to provide an expected level of
certainty that transactions will occur in a consistent and
predictable manner and without unknown or unascertainable risks. In
addition, it will be appreciated that electronic trading systems
further impose additional expectations and demands by market
participants as to transaction processing speed, latency, capacity
and response time, while creating additional complexities relating
thereto. Accordingly, as will be described, the disclosed
embodiments may further include functionality to ensure that the
expectations of market participant are met, e.g. that transactional
integrity and predictable system responses are maintained.
[0019] Generally, the disclosed embodiments determine when a market
for a particular product moves too quickly, either up or down, in
too short of period of time, e.g. the velocity of the market
exceeds a defined threshold limit. The market parameter(s), or
derivations thereof, monitored for movement, the basis for
determination of a qualifying magnitude of movement, and/or the
duration of the requisite period of time over which a qualifying
change may occur, may be configurable, as will be described, and
implementation dependent, so as to allow the disclosed embodiments
to balance performance versus the ability to accurately
discriminate between extreme movements in the market which are
reflective of valid market operation from those that are not. While
the disclosed embodiments will be described with respect to a
product by product or market by market implementation, e.g.
implemented for each market/order book, it will be appreciated that
the disclosed embodiments may be implemented so as to apply across
markets for multiple products traded on one or more electronic
trading systems, such as by monitoring an aggregate, correlated or
other derivation of the relevant indicative parameters as described
herein.
[0020] The disclosed embodiments effectively periodically sample,
derive or otherwise measure a parameter indicative of the market
value of a product, such as a futures contract. The market for the
product may also be referred to as an order book. Parameters
indicative of the market value include the most recent price at
which a trade was matched or quantity associated therewith, the
most recently received, i.e. via an incoming order, bid price or
quantity associated therewith, the most recently received, i.e. via
an incoming order, ask price or quantity associated therewith, the
current lowest ask price for an unmatched trade order resting in
the order book or quantity associated therewith, the current
highest bid price for an unmatched trade order resting in the order
book or quantity associated therewith, combinations thereof or
derivations therefrom, such as volatility, average, difference from
historical values or other parameter, statistical or otherwise,
indicative of the conditions under which the market is operating.
When monitoring price based parameters, the values associated
therewith may be measured in ticks, points or other metric. Time
may be measured in second or milliseconds, or other increment. When
sampling, deriving or otherwise measuring a parameter that is
derived from an incoming trade order, such as the order price,
every trade may be sampled or otherwise analyzed for comparison as
will be described.
[0021] The current sampled, derived or measured parameters are
compared with one or more sampled, derived, measured or computed
values, or ranges thereof, representative of each interval or slice
of time preceding the current sample, the collection of which may
be referred to as a window as well as, in one embodiment, with some
or all of the previous values sampled, derived or measured within
the current interval. FIG. 5 shows diagrams depicting various
representation of the manner in which samples are obtained and
compared according one embodiment. The disclosed embodiments sample
or otherwise derive the market value parameter (P.sub.n), or a high
(V.sub.hi) and/or low (V.sub.lo) value thereof, at a particular
frequency, e.g. upon the elapse of a duration of time or
interval/slice such as 1 second (i.sub.n) representative of the
value over the duration of the interval, e.g. the highest and/or
lowest value over the interval. Initially, when a trading period
commences or otherwise there is no market history, e.g. the market
opens, or otherwise when operation of the disclosed embodiments is
initiated (or after a sufficient period of market inactivity as
will be described below), the first sample of the market value
parameter (P.sub.1) may be defined, such as statically, or
otherwise derived, such as based on the parameter value at the
close of the prior trading period, the first value sampled, derived
or measured upon commencement of the trading period, or based on
some other method such as derivation of an indicative opening
price. During each interval or time slice, the sampled market
parameter value, e.g. of each incoming trade, is compared with one
or more parameters indicative of the market value determined during
each of a defined number of preceding intervals described above, as
well as, in one embodiment, each preceding market parameter value
sampled, derived or measured during the current interval. In one
embodiment, the sampled or derived parameter obtained during the
current interval may be compared with comparative parameters/values
such as the values of the previously acquired samples of the
requisite preceding intervals, as well as the preceding values of
the current interval. In an alternative embodiment, at each
interval other comparative parameters are determined, such as the
highest and lowest value of the monitored parameter over the
duration of particular interval, to which the sampled parameter
obtained during the current interval is compared. For the current
interval, such highest and lowest values are determined as each
market parameter is sampled, measured or derived, for comparison
with the most current market parameter value.
[0022] As noted above, the number of preceding intervals/slices
which are subject to comparison is configurable and effectively
defines a rolling window of time where older intervals are
discarded as time moves forward, e.g. new intervals commence. In
one implementation, this rolling time window may be structured or
otherwise conceptualized as multiple overlapping
sampling/monitoring windows or threads, referred to as overlapping
time buckets, (b.sub.n) 604 which run for a defined period of time
and where a new time bucket is commenced, the market value
parameter is sampled or otherwise determined or derived, upon each
elapse of the interval time i, and time buckets commenced at a time
older than the defined number of preceding intervals are discarded.
The number of active time buckets, the duration thereof, and the
interval at which buckets are started then defines the window of
time over which, or otherwise how far back, the disclosed
embodiments operate. In one embodiment, if there has been no market
activity during any of the intervals within the time window, the
disclosed system considers the next market event to be akin to the
start of a new trading period as described above.
[0023] It will be appreciated that whether the disclosed
embodiments are conceptualized as overlapping time buckets or as a
duration of firm defined by intervals or slices, as described, or
in any other manner, may be implementation dependent and all such
conceptualizations, now or later developed, are contemplated
herein.
[0024] In one embodiment, the time window over which an incoming
order is compared may be defined order by order, e.g. based on the
incoming order. That is, each incoming order has its own time
window wherein the incoming order is compared with values within
its associated time window. For example, each incoming order may be
compared with preceding order received in the window preceding the
current order. As described elsewhere, the window may be specified
as an amount of time or a number of intervals.
[0025] As noted above, each sampled, derived or measured value
obtained during the current interval or slice is compared with one
or more comparative values determined for each preceding
interval/slice with the defined time range of the current time,
referred to as the "time window," as well as, in one embodiment,
each preceding sampled, derived or measured value, or the highest
and or lowest thereof, of the current interval. If the sampled
value deviates, i.e. is above or below, from any of the comparative
values by a threshold amount, which may be configurable and may be
zero, the disclosed embodiments may indicate a qualifying event and
indicate that action should be taken. In one implementation, the
threshold amount is not less than 1. The threshold amount may be
statically or dynamically configured and reflects the magnitude of
market movement between compared values that may be tolerated, i.e.
the threshold amount delineates magnitude of movement/change, up or
down, considered to be normal for the market and avoids, for
example, placing a market in a reserved state that is not, in fact,
under duress. This comparison may be represented by the chart 606
shown in FIG. 6 which demonstrates, according to one embodiment,
how the sampled parameters obtained during the interval i.sub.4 are
compared with each of the preceding values sampled in interval
i.sub.4 as well as the values P.sub.4, P.sub.3, P.sub.2 and
P.sub.1, or the high (V.sub.hi) or low (V.sub.lo) values thereof,
of the preceding intervals. As shown in this chart 606, the
disclosed embodiments may effectively measure the steepness, which
may be positive, as shown in the Figure, or negative, of the slope
between the market value at the current interval and each of the
preceding intervals where a qualifying event may be determined when
the steepness of the slope, or angle or other value representative
thereof, whether positive or negative, exceeds, or otherwise
deviates from, a defined threshold value indicative, for example,
of an extreme market movement.
[0026] In one embodiment, rapid oscillation or thrashing of the
market value within the threshold values may also be detected and
may also signify that the market is not operating properly,
triggering the remedies described herein.
[0027] In one embodiment, the interval width, referred to below
also as the duration of time or time slice length, may be dynamic
and may vary interval to interval such as based on market activity,
e.g. volume or volatility. For example, an interval may be defined
as every 10 milliseconds or after 10 orders have been received. As
the comparative values computed at each interval are representative
of the activity during that interval, the amount of activity
aggregated together may thereby be normalized. In the case of
dynamic interval widths, the time window over which values are
compared, as described herein, may be specified in terms of an
amount of time, rather than a number of intervals, so that the
window may be a constant size even though the interval size may
vary.
[0028] When a qualifying event has been determined, as noted above,
the disclosed embodiments may take, or otherwise cause, an action
to occur. This action may include alerting the operator of the
electronic trading system or exchange, such as the GCC of the CME,
placing the market in a reserved state whereby orders may be
received and price discovery may occur but matching of trades is
otherwise suspended, or institute one or more temporary or
permanent limits, such as price limits, e.g. a maximum price and/or
minimum price, wherein only trades at prices within the limit(s)
are allowed, or combinations thereof. In an alternate embodiment,
other actions may include enabling additional liquidity, i.e.
trading opportunities, for the particular product, such as by
temporarily or permanently, enabling implied opportunities whereby,
for example, additional liquidity may be found in markets for
combination products, e.g. spreads, involving the particular
product.
[0029] With respect to placing the market in a reserved or paused
state, while an instrument may not trade when it is reserved; price
discovery may still occur, e.g. an indicative opening price of that
instrument may be derived and disseminated to the market. The
indicative opening price may reflect the price the instrument would
be trading at if the market were open. Placing an instrument in a
reserved state allows market participants to enter additional
orders that adjust the indicative opening price to a level that
reflects buyers competing with other buyers and sellers vying
against other sellers. The present embodiments may temporarily
suspend trading until the market is adjusted within a threshold
range, or when a period of time lapses. The period of time may vary
in length in relation to the time of day, the product traded,
market volatility and/or any other relevant market condition or
combination of market conditions. Similarly, the threshold range
may vary by the product and/or the time of day. It will be
appreciated that the indicative opening price determined when the
market is taken out of the reserved state, or a sampled, derived or
measured value thereof, may be used as the initial comparative
value(s) by the disclosed embodiments as described above upon
resumption of trading.
[0030] Because market participants may not be aware that a product
or an instrument is reserved due to the large volume of messages
sent over an electronic trading system or because the market
participants are no longer trading, the present system and method
also may encompass independent communication systems to convey
information, warnings, or alerts about an instrument in a reserved
state. Such systems can include devices that send and/or receive
messages via telecommunication or wireless links such as portable
phones, personal digital assistants ("PDAs"), and/or electronic
mail devices, devices that send and/or receive images and can print
them on a tangible media such as faxes, etc. Preferably, these
systems make market participants aware of the state of the market
in a narrow timeframe. It will be appreciated that the length of
time for which the market may be temporarily held in a reserved
state is implementation dependent and may be configurable,
statically or dynamically, and further may vary from market to
market. Once the market is reopened, or otherwise taken out of
reserved state, the disclosed embodiments may be re-enabled to
continue monitoring the market as described herein.
[0031] It will be appreciated that other systems designed to detect
and respond to extreme market changes may respond by merely setting
a hard price limit, i.e. minimum or maximum depending upon the
direction of the extreme movement, only within which trades are
allowed to occur. However, setting either a maximum or minimum
price limit and continuing to allow trading may not address the
underlying problem which caused the extreme market movement and the
market may reverse and undergo an extreme movement away from the
set limit, such as due to the reaction of algorithmic trading
systems. In contrast, the disclosed embodiments may place the
market in a reserved state whereby trades are not allowed but price
discovery can still occur. This effectively slows down the market
and enables traders to analyze the market and temper their
reactions thereto.
[0032] In accordance with aspects of the disclosure, systems and
methods are disclosed for detecting and responding to extreme
market movements. The disclosed embodiments are preferably
implemented with computer devices and computer networks, such as
those described with respect FIG. 4, that allow users, e.g. market
participants, to access exchange trading information. It will be
appreciated that the plurality of entities utilizing the disclosed
embodiments, e.g. the market participants, may be referred to by
other nomenclature reflecting the role that the particular entity
is performing with respect to the disclosed embodiments and that a
given entity may perform more than one role depending upon the
implementation and the nature of the particular transaction being
undertaken, as well as the entity's contractual and/or legal
relationship with another market participant and/or the exchange.
An exemplary trading network environment for implementing trading
systems and methods is shown in FIG. 1. An exchange computer system
100 receives orders and transmits market data related to orders and
trades to users, such as via computer devices 114, 116, 118, 120
and 122, as will be described below, coupled with the exchange
computer system 100. As used herein, an exchange 100 includes a
place or system that receives and/or executes orders for traded
products.
[0033] Herein, the phrase "coupled with" is defined to mean
directly connected to or indirectly connected through one or more
intermediate components. Such intermediate components may include
both hardware and software based components. Further, to clarify
the use in the pending claims and to hereby provide notice to the
public, the phrases "at least one of <A>, <B>, . . .
and <N>" or "at least one of <A>, <B>, . . .
<N>, or combinations thereof" are defined by the Applicant in
the broadest sense, superseding any other implied definitions
herebefore or hereinafter unless expressly asserted by the
Applicant to the contrary, to mean one or more elements selected
from the group comprising A, B, . . . and N, that is to say, any
combination of one or more of the elements A, B, . . . or N
including any one element alone or in combination with one or more
of the other elements which may also include, in combination,
additional elements not listed.
[0034] The exchange computer system 100 may be implemented with one
or more mainframe, desktop or other computers, such as the computer
400 described below with respect to FIG. 4. A user database 102 may
be provided which includes information identifying traders and
other users of exchange computer system 100, such as account
numbers or identifiers, user names and passwords. An account data
module 104 may be provided which may process account information
that may be used during trades. A match engine module 106 may be
included to match bid and offer prices and may be implemented with
software that executes one or more algorithms for matching bids and
offers. A trade database 108 may be included to store information
identifying trades and descriptions of trades. In particular, a
trade database may store information identifying the time that a
trade took place and the contract price. An order book module 110
may be included to compute or otherwise determine current bid and
offer prices for one or more products. A market data module 112 may
be included to collect market data and prepare the data for
transmission to users. A risk management module 134 may be included
to compute and determine a user's risk utilization in relation to
the user's defined risk thresholds. An order processing module 136
may be included to decompose delta based and bulk order types for
processing by the order book module 110 and/or match engine module
106. A volume control module 140 may be included to, among other
things, control the rate of acceptance of mass quote messages.
[0035] The trading network environment shown in FIG. 1 includes
exemplary computer devices 114, 116, 118, 120 and 122 which depict
different exemplary methods or media by which a computer device may
be coupled with the exchange computer system 100 or by which a user
may communicate, e.g. send and receive, trade or other information
therewith. It will be appreciated that the types of computer
devices deployed by traders and the methods and media by which they
communicate with the exchange computer system 100 is implementation
dependent and may vary and that not all of the depicted computer
devices and/or means/media of communication may be used and that
other computer devices and/or means/media of communications, now
available or later developed may be used. Each computer device 114
116, 118, 120 and 122, which may comprise a computer 400 described
in more detail below with respect to FIG. 4, may include a central
processor that controls the overall operation of the computer and a
system bus that connects the central processor to one or more
conventional components, such as a network card or modem. Each
computer device 114, 116, 118, 120 and 122 may also include a
variety of interface units and drives for reading and writing data
or files and communicating with other computer devices and with the
exchange computer system 100. Depending on the type of computer
device 114, 116, 118, 120 and 122, a user can interact with the
computer with a keyboard, pointing device, touch interface,
microphone, pen device or other input device now available or later
developed.
[0036] An exemplary computer device 114 is shown directly connected
to exchange computer system 100, such as via a T1 line, a common
local area network (LAN) or other wired and/or wireless medium for
connecting computer devices. The exemplary computer device 114 is
further shown connected to a radio 132. The user of radio 132,
which may include a cellular telephone, smart phone, or other
wireless proprietary and/or non-proprietary device, may be a trader
or exchange employee. The radio user may transmit orders or other
information to the exemplary computer device 114 or a user thereof.
The user of the exemplary computer device 114, or the exemplary
computer device 114 alone and/or autonomously, may then transmit
the trade or other information to the exchange computer system
100.
[0037] Exemplary computer devices 116 and 118 are coupled with a
local area network ("LAN") 124 which may be configured in one or
more of the well-known LAN topologies, e.g. star, daisy chain,
etc., and may use a variety of different protocols, such as
Ethernet, TCP/IP, etc. The exemplary computer devices 116 and 118
may communicate with each other and with other computer and other
devices which are coupled with the LAN 124. Computer and other
devices may be coupled with the LAN 124 via twisted pair wires,
coaxial cable, fiber optics or other wired or wireless media. As
shown in FIG. 1, an exemplary wireless personal digital assistant
device ("PDA") 122, such as a mobile telephone, tablet based
compute device, or other wireless device, may communicate with the
LAN 124 and/or the Internet 126 via radio waves, such as via WiFi,
Bluetooth and/or a cellular telephone based data communications
protocol. PDA 122 may also communicate with exchange computer
system 100 via a conventional wireless hub 128.
[0038] FIG. 1 a so shows the LAN 124 coupled with a wide area
network ("WAN") 126 which may be comprised of one or more public or
private wired or wireless networks. In one embodiment, the WAN 126
includes the Internet 126. The LAN 124 may include a router to
connect LAN 124 to the Internet 126. Exemplary computer device 120
is shown coupled directly to the Internet 126, such as via a modem,
DSL line, satellite dish or any other device for connecting a
computer device to the Internet 126 via a service provider
therefore as is known.
[0039] As was described above, the users of the exchange computer
system 100 may include one or more market makers 130 which may
maintain a market by providing constant bid and offer prices for a
derivative or security to the exchange computer system 100, such as
via one of the exemplary computer devices depicted. The exchange
computer system 100 may also exchange information with other trade
engines, such as trade engine 138. One skilled in the art will
appreciate that numerous additional computers and systems may be
coupled to exchange computer system 100. Such computers and systems
may include clearing, regulatory and fee systems.
[0040] The operations of computer devices and systems shown in FIG.
1 may be controlled by computer-executable instructions stored on a
non-transitory computer-readable medium. For example, the exemplary
computer device 116 may include computer-executable instructions
for receiving order information from a user and transmitting that
order information to exchange computer system 100. In another
example, the exemplary computer device 118 may include
computer-executable instructions for receiving market data from
exchange computer system 100 and displaying that information to a
user.
[0041] Of course, numerous additional servers, computers, handheld
devices, personal digital assistants, telephones and other devices
may also be connected to exchange computer system 100. Moreover,
one skilled in the art will appreciate that the topology shown in
FIG. 1 is merely an example and that the components shown in FIG. 1
may include other components not shown and be connected by numerous
alternative topologies.
[0042] As will be described, the disclosed embodiments may be
implemented as part of the Risk Management Module 134 and/or Match
Engine Module 106 as will be describe with reference to FIG. 2.
However, it will be appreciated that the disclosed mechanisms may
be implemented at any logical and/or physical point(s), or
combinations thereof, at which the relevant may be monitored or is
otherwise accessible or measurable, including one or more gateway
devices, modems, the computers or terminals of one or more traders,
etc.
[0043] FIG. 2 depicts a block diagram of a system 200, which may be
referred to as "Velocity Logic," for mitigating effects of change
in a market for a product, such as a financial instrument, which in
an exemplary implementation, is implemented as part of the risk
management module 134 and/or Match Engine Module 106 of the
exchange computer system 100 described above. The financial
instrument may be financial derivative product including futures
contracts, options on futures contracts, futures contracts that are
functions of or related to other futures contracts, swaps,
swaptions, or other financial instruments that have their price
related to or derived from an underlying product, security,
commodity, equity, index, or interest rate product. In one
embodiment, the orders are for options contracts that belong to a
common option class. Orders may also be for baskets, quadrants,
other combinations of financial instruments, etc. The option
contracts may have a plurality of strike prices and/or comprise put
and call contracts.
[0044] FIG. 2 shows a system 200 for mitigating an effect of a
change in a market, such as a precipitous or otherwise extreme
price change or other market move, either up or down, in short
amount of time, for a product traded on an exchange, such as a
financial instrument, e.g. futures contracts, options contracts,
etc. The system 200 includes a processor 202 and a memory 204
coupled therewith which may be implemented as a processor 402 and
memory 404 as described below with respect to FIG. 4. The system
200 further includes first logic 206 stored in the memory 204 and
executable by the processor 202 to cause the processor 202 to
monitor the market for the product. In one embodiment, the system
200 is coupled with the order books module 110 described above and
monitors the relevant parameters of the order book maintained for
the product. It will be appreciated that the system 200 may be
coupled other modules of the exchange computer system 100 so as to
have access to the relevant parameters as described herein and
initiate the requisite actions as further described. The disclosed
embodiments may be implemented separately for each market/order
book to be monitored, such as a separate process or thread, or may
be implemented as a single system for all markets/order books to be
monitored thereby. In one embodiment, data 218 representative of
each time interval/window/elapse of the duration of time, e.g. each
time slice, 220 may be stored in the memory 204 or elsewhere.
[0045] The system 200 further includes second logic 208 stored in
the memory 204 and executable by the processor 202 to cause the
processor 202 to identify, e.g. sample, a comparison value of the
product, e.g. a value during each elapse of a duration of time
which will be compared with prior values as described herein, such
as bid or ask price of an incoming order ("aggressor") or a trade
price thereof if matched to a resting order, and at least one
comparative value 222 of the product, which may be stored, such as
in the memory 204, for example in association with the data
representative of the time window 220, for later comparison with
future identified comparison values upon each elapse of the
duration of time, e.g. each interval i.sub.n as shown in FIG. 6,
and determining each previously identified comparative value
identified within a threshold time thereof. As described above,
during each the elapse of the time, each comparison value may
further be compared with comparative values comprising the
preceding comparison values, or a derivation thereof, determined
during the elapse of time. As described herein, the comparative
value may be derived from the same or a different parameter from
the comparison value and more than one comparative value may be
determined, such as a minimum and maximum thereof. Upon initiation
of monitoring, such as when the market opens or re-opens or trading
otherwise commences or after a sufficient period of inactivity
(such as within the threshold time), the initial comparison and
comparative values may be initialized to configured values or
otherwise defined according to rules such as being based on the
state of the market at the close of the prior trading period, e.g.
based on an indicative opening price.
[0046] In one embodiment for use in markets for which outright
orders (orders actually placed by a trader) as well as implied
orders (orders generated by the Exchange based on outright orders
placed in other markets, e.g. spread orders), may be received, only
aggressor orders, i.e. outright orders, may be included in the
derivation of the comparative values and further utilized as
comparison values. In this embodiment, received implied orders may
be ignored by the system 200.
[0047] In one embodiment, the value of the product comprises, for
example, a bid price of the product, an ask price of the product, a
last traded price of the product, a last traded quantity of the
product, a volatility of the product, or other market attribute
value, or combination thereof. It will be appreciated that the
value of the product may be determined according to other metrics
of product value.
[0048] In one embodiment, the second logic 208 is further
executable by the processor 202 to cause the processor 202 to
determine the comparison value of the product as a value of each
order to trade the product received during the elapse of the
duration of time, e.g. the bid price, the ask price or trade price.
In one embodiment, the comparative value is derived from the same
parameter as the comparison value. It will be appreciated that
fewer than all orders to trade may be compared, and that this
sampling frequency may be configurable.
[0049] Alternatively, the second logic 208 may be further
executable by the processor 202 to cause the processor 202 to
determine the at least one comparative value of the product as a
minimum value of the product over the duration of time, e.g. the
interval i.sub.n which just elapsed, maximum value of the product
over the duration of time, an average of the value of the product
over the duration of time, or combinations thereof. In one
embodiment, the comparative value(s) may be computed as a weighted
average wherein more recent values are favored over older
vales.
[0050] The threshold time, which in one implementation may be the
Time Slice Count, defines how far back the system 200 will look,
referred to above as a "window" or number of active slices or
intervals, i.e. how many intervals will be compared, and may be
specified in seconds, milliseconds and/or as a multiple of the
duration of time, i.e. interval i.sub.n, e.g. Time Slice Count. It
will be appreciated that different threshold times, e.g. asymmetric
time windows, may be specified for positive market changes and
negative market changes, such as where the rate of negative
movement, e.g. a dip, is determined to be more critical than the
rate of positive market movement, e.g. a spike. It will be
appreciated that the threshold time may be set so as not to be less
than a minimum amount of time required for a market participant to
react to a change in the market, e.g. receive and assimilate market
data indicative of the change and submit an order responsive
thereto. In other words, the threshold time should be set so as to
allow the market participants a chance to respond and correct an
extreme market change before the system 200 reacts thereto as
described.
[0051] The system 200 further includes third logic 210 stored in
the memory 204 and executable by the processor 202 to cause the
processor 202 to determine a difference between the identified
comparison value, e.g. sample, and each of the determined
previously identified comparative values. The current
sample/comparison value is compared only with previously identified
comparative values that are within the defined time window, i.e.
within the threshold time of the current time.
[0052] The system 200 further includes fourth logic 212 stored in
the memory 204 and executable by the processor 202 to cause the
processor 202 to determine if any of the determined differences
deviate, either higher or lower, from a threshold value. As
described above the threshold value defines the magnitude of
movement, either up (positive) or down (negative), which would be
tolerated, e.g. considered normal market behavior. The threshold
value may be specified in terms compatible with the values being
monitored and compared, such as price ticks, points or other
metric. For example, the threshold value may be 10 ticks. If the
comparison value differs from an of the relevant prior comparative
values but more than 10 ticks, either more than 10 ticks above or
more than 10 ticks below, a deviation is determined. It will be
appreciated that the threshold values may be asymmetric, i.e. a
threshold value may be specified for positive market changes and a
different threshold value may be specified for negative market
changes, such as where market dips are considered more critical
than market spikes. In one embodiment, the threshold value(s) may
be dynamic and may vary over time, such as from interval to
interval, such as based on market activity, e.g. volume or
volatility.
[0053] It will be appreciated that the comparative values and/or
the threshold values may be configured such that a comparison
subsequent to the elapse of the duration of time may not cause a
result different from than had the comparison been performed just
prior to the elapse of the duration of time. For example, it may be
desirable to configure the comparative and/or threshold values such
that an incoming order received after the end of an interval would
cause the same result as if that order had been received just prior
to the end of that interval.
[0054] The system 200 further includes fifth logic 214 stored in
the memory 204 and executable by the processor 202 to cause the
processor 202 to perform an action, when any of the determined
differences deviate the threshold value. That is, if the market
moved too far, up or down, too fast, e.g. the slope or gradient of
the movement (or angular or other measure thereof) vs. the time
over which the movement is measured is too steep, positive or
negative, it is determined that a qualifying event has occurred,
referred to as a "Velocity Logic Event," and one or more actions
may be take or caused to be taken.
[0055] In one embodiment, the action may include placement of the
market for the product in a reserved state, as was described above,
such as for a limited time period which may be configurable and may
be a static or dynamic value and may vary, among markets. In one
embodiment, if during the reserved state additional conditions,
such as based on whether the market is recovering to a normal
operating state or not as the reserved state is nearing an end, are
met, the time limit for staying in reserved state may be extended.
Alternatively, or in addition thereto, the action may include
transmission of an alert to an operator of the exchange, such as
the GCC of the CME, a trader of the product, or a combination
thereof. Alerts may be sent as market data. Where the market is
placed in a reserved state, the alert may further advise the
recipient of this state. A subsequent message may then be sent when
the market is taken out of the reserved state or if the reserved
state is extended. Alternatively, or in addition thereto, the
action may include permanent or temporary enablement of trading
opportunities for the product in a different market. For example,
implied markets for which the current product may be a leg, etc.
may be enabled to create additional matching opportunities, i.e.
additional liquidity. Alternatively, or in addition thereto, the
action may include permanent or temporary prevention of trading of
the product at a price outside of a price limit, i.e. a ceiling or
floor. If the detected extreme movement is downward, the limit may
set as a limit below which trading is not allowed, e.g. a floor.
Alternatively, if the detected extreme movement of the market is
upward, the limit may be set as a limit above which trading is not
allowed, e.g. a ceiling. In one embodiment, if orders to trade are
subsequently received substantially close to, or at, or otherwise
within a threshold of, the limit, the limit may be periodically
raised (or lowered), such as after a defined delay period, to
gradually allow a market, intent on reaching a particular price, to
eventually reach the price in a controlled manner, e.g. the market
is slowed down.
[0056] Alternatively, or in addition thereto, the action may
include modifying the matching/allocation algorithm used to
allocate incoming orders to resting orders. For example, if the
current matching algorithm is First-In-First-Out ("FIFO"), also
referred to as Price-Time, the algorithm may be changed to
Pro-Rata. Other algorithms which may be used include Price Explicit
Time, Order Level Pro Rata, Order Level Priority Pro Rata,
Preference Price Explicit Time, Preference Order Level Pro Rata,
Preference Order Level Priority Pro Rata, Threshold Pro-Rata,
Priority Threshold Pro-Rata, Preference Threshold Pro-Rata,
Priority Preference Threshold Pro-Rata, Split Price-Time Pro-Rata.
See U.S. patent application Ser. No. 13/534,399 entitled "MULTIPLE
TRADE MATCHING ALGORITHMS" herein incorporated by reference.
[0057] In one embodiment, the system 200 may further include sixth
logic 216 stored in the memory 204 and executable by the processor
202 to cause the processor 202 to receive the duration of time, the
threshold time and the threshold value, or other parameters which
control the operation of the disclosed embodiments, such as from
the operator of the exchange computer system, e.g. the GCC of CME.
These configurable parameters include: which markets to be
monitored if not all markets, such as where performance constraints
limit deployment or where it may be determined that some markets
are not susceptible to the problems described herein and therefore
need not be monitored; the comparison value (which may be referred
to below as the VL Price or Trade Price), such as which parameter
of the market should be used during the operation of the system 200
and/or the initial value thereof, which may be specified as a
dollar amount, tick value or other metric; the comparative values
(which may be referred to below as the VL Ref Low and VL Ref High
values), such as which parameter(s) of the market should be used
during the operation of the system 200 and/or the initial value(s)
thereof, which may be specified as a dollar amount, tick value or
other metric; the duration of time or interval (which may be
referred to below as the Time Slice Length) and may be specified as
a number of seconds or milliseconds; the threshold time or window
(which may be referred to below as the Time Slice Count or number
of intervals or alternatively as the Time Slice Count * Time Slice
Length) and may be specified as a number of intervals or a length
of time, in seconds or milliseconds for example, and may be a
multiple of the duration of time/interval/Time Slice Length; the
threshold value (which may be referred to below as the VL Value);
the action(s) to be taken; the time limit for keeping a market in a
reserved state; or other parameters. It will be appreciated that
any or all of these parameters may be statically defined for
application to all markets, may vary from market to market and/or
may be dynamically configured/re-configured during operation,
either automatically responsive to market conditions or manually,
e.g. by the operator of the exchange computer system 100.
[0058] FIG. 3 depicts a flow chart showing operation of the system
200 of FIG. 2. In particular FIG. 3 shows a computer implemented
method for mitigating an effect of a change in a market for a
product traded on an exchange. The operation includes: monitoring,
by a processor 202, the market for the product (Block 302);
identifying, by the processor 202, a comparison value of the
product during elapse of a period of time and at least one
comparative value of the product preceding the comparison value
and/or upon each elapse of the duration of time and determining
each previously identified comparative value identified within a
threshold time thereof (Block 304); determining, by the processor
202, a difference between the identified comparison value and each
of the determined previously identified comparative values (Block
306); determining, by the processor 202, if any of the determined
differences deviate from a threshold value (Block 308); and
performing, by the processor 202, an action, when any of the
determined differences deviate the threshold value (Block 310.
[0059] In one embodiment, the value of the product may include a
bid price of the product, an ask price of the product, a last
traded price of the product, a last traded quantity of the product,
a volatility of the product, or other market attribute value or
combination thereof.
[0060] In one embodiment, the identifying further includes
determining the comparison value of the product as a value of each
order to trade the product received during the elapse of the
duration of time. It will be appreciated that fewer than all orders
to trade may be compared, and that this sampling frequency may be
configurable.
[0061] In one embodiment, the identifying further includes
determining the at least one comparative value of the product as a
minimum value of the product over the duration of time, maximum
value of the product over the duration of time, an average of the
value of the product over the duration of time, or combinations
thereof.
[0062] In one embodiment, the threshold time may be specified as a
multiple of the duration of time, e.g. time slice length multiplied
by time slice count.
[0063] In one embodiment, the identifying further includes storing
the identified comparative value(s) in a memory.
[0064] In one embodiment, the action may include placing the market
for the product in a reserved state, sending an alert to an
operator of the exchange, a trader of the product, or a combination
thereof, enabling trading opportunities for the product in a
different market, preventing trading of the product at a price
outside of a price limit, or combinations thereof.
[0065] The operation of the system 200 may further include
receiving, by the processor, the duration of time, the threshold
time and the threshold value, or other configurable parameters,
prior to initiating operation of the system 200 or during the
operation thereof, as was descried above (Block 312).
[0066] An example of the operation of the system 200 is provided
below. In the examples which follow, the following definitions may
be used: [0067] Agressing/Aggressor order--an order that the engine
can attempt to match against the book; [0068] Velocity Logic ("VL")
Event--a condition detected by the system 200 wherein an incoming
Velocity Logic eligible Market Event violates the Floor or Ceiling
of a particular Time Slice/interval; [0069] VL, Value (threshold
value)--the GCC configured Value that is added or subtracted to
determine the VL Ref High or VL Ref Low (defined below). This value
may be specified as a number of points only, as opposed to ticks.
This value may acts as a +/- width; [0070] Time Slice--a
configurable period of time over which market attributes are
tracked and compared, also referred to as an interval. [0071] Time
Slice Count--the GCC configured number of Time Slices or intervals
the system 200 should use to detect VL, events; [0072] Time Slice
Length (duration of time)--the GCC configured length of time each
Time Slice/interval. May be specified as a number of milliseconds
or other time increment; [0073] VL Detection Duration=Derived as
Time Slice Count * Time Slice Length. In one embodiment this value
is derived from the Time Slice Count and Time Slice Length values.
However it will be appreciated that this value may instead be
specified along with one of the Time Slice Count or Time Slice
Length with the unspecified value being derived. [0074] VL
Prices--in the examples which follow, in the Open or non-reserved
state, the system 200 may use these prices to detect Velocity Logic
events: [0075] Better Bids/Offers; [0076] Trades; [0077] Implied
Better Bids/Offers; [0078] Curve Banding (if on); [0079] When using
the CurveBanding price, if GCC has configured an Offset, the Engine
will apply the offset to the CurveBanding price and then utilize
this price for Velocity Logic; or [0080] Actionable, tradeable or
otherwise executable price. [0081] VL Ref High (Comparative
Value)--the highest VL Price in a given Time Slice [0082] VL Ref
Low (Comparative Value)--the lowest VL Price in a given Time Slice
[0083] Floor--derived as VL Ref High-VL Value [0084]
Ceiling--derived as VL Ref Low +VL Value [0085] VL Range=the range
that VL detectable market activity can be within, derived as the
Ceiling--Floor.
[0086] In one embodiment, the system 200 may be described using
Overlapping Time Slices as follows:
[0087] Velocity Logic Order of Operations: [0088] 1. Bands are
checked first [0089] 2. Velocity is checked after bands [0090] 3.
Stop Logic is checked only if the order is a Stop order and after
#1 and #2
[0091] Velocity Logic Operates as Follows:
[0092] 1. a. Save the Hi & Lo VL Reference Value of the last
Time Slice [0093] b. Cleanup old VL Ref Vals [0094] c. Compare VL
Reference Values: [0095] i. How to compare: [0096] 1. Trade Price
is less than Lo VL Reference Value+VL Value [0097] 2. Trade Price
is greater than Hi VL Reference Value-VL Value [0098] ii. What to
Compare: [0099] 1. Current Time Slice [0100] 2. Prior Time Slice
[0101] iii. Result [0102] 1. All comparisons against Current and
Prior Time Slices must be True [0103] 2. If one comparison is
false, VL Event detected. [0104] d. Accumulate/Track VL Ref Vals of
the Current Time Slice
[0105] In exemplary operation wherein a GCC User wishes to detect
rapid price moves within a specified time, so that the system 200
can identify Velocity Logic events accurately and efficiently, the
system 200 may operate as follows (Refer to FIG. 5 for a graph of
the values described below):
[0106] Configurations: [0107] VL Value=10 [0108] Time Slice Count=2
[0109] Time Slice Length=500 ms [0110] VL Detection Duration=1000
ms
[0111] Step-by-Step: [0112] 1. Opening trade at 100 in TS:A (Time
Slice A) [0113] a. VL Reference Value of Current TS: Hi=100, Lo=100
[0114] 2. Trade at 102 in TS:A [0115] a. Save VL RefVal of Last
Time Slice=n/a [0116] b. Cleanup old VL RefVals=n/a [0117] c.
Compare [0118] i. Current Time Slice=(100-10) to (100+10), range is
90 to 110, trade of 102 passes [0119] ii. Prior Time Slices=n/a
[0120] d. Accumulate/Track VL RefVal of Current Time Slice: Hi=102,
Lo=100 [0121] 3. Trade at 105 in TS:A [0122] a. Save VL RefVal of
Last Time Slice=na [0123] b. Cleanup old VL RefVals=n/a [0124] c.
Compare [0125] i. Current Time Slice=(102-10) to (100+10), range is
92 to 110, trade of 105 passes [0126] ii. Prior Time Slices=n/a
[0127] d. Accumulate/Track VL RefVal of Current Time Slice: [0128]
Hi=105, Lo=100 [0129] 4. Trade at 101 in TS:B [0130] a. Save VL
RelVal of Last Time Slice--TS:A Hi=105, [0131] Lo=100 [0132] b.
Cleanup old VL RefVals=n/a [0133] c. Compare [0134] i. Current Time
Slice=n/a [0135] ii. Prior Time Slices=(105-10) to (100 +10), range
is 95 to 110, trade of 101 passes [0136] d. Accumulate/Track VL
RefVal of Current Time Slice: [0137] Hi=101, Lo=101 [0138] 5. Trade
at 110 in TS:B [0139] a. Save VL RefVal of Last Time Slice=n/a
[0140] b. Cleanup old VL RefVals=n/a [0141] c. Compare [0142] i.
Current Time Slice=(101-10) to (101+10) range is 91 to 111, trade
of 110 passes [0143] ii. Prior Time Slices=(105-10) to (100+10),
range is 95 to 110, trade of 110 passes [0144] d. Accumulate/Track
VL RefVal of Current Time Slice: [0145] Hi=110, Lo=101 [0146] 6.
Trade at 108 in TS:C [0147] a. Save VL RefVal of Last Time
Slice=TS:B=110, Lo=101 [0148] b. Cleanup old VL RefVals=n/a [0149]
c. Compare [0150] i. Current Time Slice=n/a [0151] ii. Prior Time
Slices [0152] 1. TS:B=(110-10) to (101+10), range is 100 to 111
trade of 108 passes [0153] 2. TS:A=(105-10) to (100+10), range is
95 to 110, trade of 108 passes [0154] d. Accumulate/Track VL RefVal
of Current Time Slice: [0155] Hi=108, Lo=108 [0156] 7. Trade at 111
in TS: D [0157] a. Save VL RefVal of Last Time of Current Time
Slice: [0158] Hi=108, Lo=108 [0159] b. Cleanup old VL
RefVals--clear TS:A values out [0160] c. Compare [0161] i. Current
Time Slice=n/a [0162] ii. Prior Time Slices [0163] 1. TS:C=(108-10)
to (108+10), range is 98 to 118, trade of 111 passes [0164] 2.
TS:B=(110-10) to (101+10), range is 100 to 111, trade of 111 passes
[0165] d. Accumulate/Track VL RelVal of Current Time Slice: [0166]
Hi=111, Lo=111 [0167] 8. Trade at 82 in TS:G [0168] a. Save VL
RefVal of Last Time Slice--TS: D Hi=111, Lo=111 [0169] b. Cleanup
old VL RefVals--clear all values from TS: D and prior [0170] c.
Compare [0171] i. Current Time Slice=n/a [0172] ii. Prior Time
Slices=n/a, trade of 82 passes [0173] d. Accumulate/Track VL RefVal
of Current Time Slice: [0174] Hi=82, Lo=82 [0175] 9. Trade at 93 in
TS:H [0176] a. Save VL RefVal of Last Time Slice--TS:G Hi=82, Lo=82
[0177] b. Cleanup old VL RefVals=n/a [0178] c. Compare [0179] i.
Current Time Slice=n/a [0180] ii. Prior Time Slices=(82-10) to
(82+10), range is 72 to 92, trade of 93 fails and is not allowed,
VL Event occurs
[0181] Additional examples of operation of the system 200
[0182] Given-- [0183] Price Banding is off [0184] a VL Value of 10
[0185] a Time Slice Length of 10000 ms (10 seconds) a Time Slice
Count of 0 [0186] a Trade of 100
[0187] When-- [0188] a Trade of 89 occurs (within the same Time
Slice as the Trade of 100)
[0189] Then-- [0190] The system 200 should detect a VL event, which
results in a Monitor Message stating "Warning: CLH3 Velocity Logic
Event detected. Trade Price [89], VL Ref Price [100]."
[0191] Example 2: wherein the system 200 compares current trades
against the current time slice's only trade, so that VL events are
detected
[0192] Given-- [0193] Price Banding is off [0194] a VL Value of 10
[0195] a Time Slice Length of 10000 ms (10 seconds) a Time Slice
Count of 0 [0196] a Trade of 100
[0197] When-- [0198] a Trade of 111 occurs (within the same Time
Slice as the Trade of 100)
[0199] Then-- [0200] The system 200 should detect a VL event, which
results in a Monitor Message stating "Warning: CLH3 Velocity Logic
Event detected. Trade Price [111], VL Ref Price [100]."
[0201] Example 3: Wherein only VL Prices in the current Time Slice
to trip VL, so that old VL Prices do not cause a VL event:
[0202] Given-- [0203] Price Banding is off [0204] a VL Value of 10
[0205] a Time Slice Length of 10000 ms (10 Seconds) a Time Slice
Count of 0 [0206] a Trade of 100 [0207] wait 11 seconds
[0208] When-- [0209] a Trade of 89 occurs
[0210] Then-- [0211] the trade should be allowed and no FAS Monitor
Message is displayed
[0212] Example 4
[0213] Given-- [0214] Price Banding is off [0215] a VL Value of 10
[0216] a Time Slice Length of 10000 ms (10 Seconds) a Time Slice
Count of 0 [0217] a Trade of 100 [0218] wait 11 seconds
[0219] When-- [0220] a Trade of 111 occurs
[0221] Then-- [0222] the trade should be allowed and no Monitor
Message is displayed
[0223] In one embodiment, the system 200 may not utilize settlement
prices as the comparison/comparative values. In one embodiment, the
system 200 may compare current trades against the current Time
Slice's Best Bid or Best Offer, so that VL events are detected. In
one embodiment, the VL Value may be added/subtracted in full when
calculating the VL Range, so that the VL Value acts as a width. In
one embodiment, the system 200 may compare prices to VL Reference
Values inclusive of the VL Range, so that Prices that occur that
are equal to the VL Range do not trigger a VL event. In one
embodiment, the system 200 may be enabled or disabled by the
operator of the electronic trading system 100 as to all markets or
particular markets.
[0224] In one embodiment, the system 200 uses a VL Reference Value
at the beginning of a Time Slice, so that Velocity Logic can be
consistent with current market conditions. This may be tested as
follows:
[0225] Test 1: [0226] VL Value=10, TSC=2, TSL=500 ms [0227] Trade
1@,100 [0228] Trade 1@91 [0229] Wait 500 ms [0230] Trade 1@112, VL
Event triggered, VL Range violated should be 90->111
[0231] In one embodiment, the VL Reference Values may be cleaned up
over time, so that they are not part of Velocity Logic beyond the
configured number of Time Slices. This may be tested as
follows:
[0232] Test 1: [0233] VL Value=10, TSC=2, TSL=500 ms [0234] Trade
1@100 [0235] Trade 1@91 [0236] Wait 1500 ms [0237] Trade 1@112,
trade is allowed
[0238] In one embodiment, the system 200 compares Prices to VL
Reference Values within the Current Time Slice and the Prior # of
Configured Time Slices, so that there are no gaps in VL detection,
This may be tested as follows:
[0239] Test 1: [0240] VL Value=10, TSC=2, TSL=500 ms [0241] Trade
1@100 [0242] Trade 1@91 [0243] Wait 500 ms [0244] Trade 1@95,
within VL Range of TS:1 90->111, trade passes. [0245] Hi/Lo of
CTS is 95/95 [0246] Trade 1@112, VL Event triggered since VL Range
of CTS violated (85->105)
[0247] In one embodiment, the system 200 accumulates prices toward
the future, so that prices that occur on the time slice boundary
count for the Current Time Slice. This may be tested as
follows:
[0248] Test 1: [0249] VL Value=10, TSC=2, TSL=500 ms [0250] IOP
Trade 1@100, Hi/Lo of CTS is 100/100 [0251] Trade 1@112, VL Event
triggered since VL Range of CTS is 90->110
[0252] In one embodiment, the VL, Value may be added/subtracted in
full when calculating the VL Range, so that the VL Value acts as a
width. This may be tested as follows:
[0253] Test 1: [0254] VL Value=10, IXM Tick=0.3333 [0255] Hi/Lo of
CTS is 100/100 [0256] Trade 1@112, VL Event triggered since VL
Range of CTS is 90->110
[0257] In one embodiment, the system 200 compares Prices to VL
Reference Values inclusive of the VL Range, so that the Prices that
occur that are equal to the VL Range do not trigger a VL event.
This may be tested as follows:
[0258] Test 1: [0259] VL Value=10, TSC=2, TSL=500 ms [0260] Trade
1@100, Hi/Lo of CTS is 100/100, VL Range is 90->110 [0261] Trade
1@91, Hi/Lo of CTS is 100/91, VL Range is 90->111 [0262] Trade
1@111, trade passes
[0263] In one embodiment, the system 200 uses Time Slice Length to
determine the duration of each Time Slice. This may be tested as
follows:
[0264] Test 1: [0265] VL Value=10, TSC=2, TSL=500 ms [0266] Trade
1@100 [0267] Trade 1@91, Hi/Lo of CTS is 100/91, VL Range is
90->111 [0268] Wait 1000 ms [0269] Trade 1@111, Hi/Lo of CTS is
111/111, VL Range is 91->121 [0270] Trade @112, VL Event
triggered because 112 violates VL Range of first Time Slice,
90->111
[0271] in one embodiment, the system 200 uses Time Slice Count to
determine how VL RefVals are cleaned up over time, In one
embodiment, the system 200 derives a VL Detection Duration from the
configuration, so that the length of time that the market will be
safeguarded may be known. In one embodiment, the
[0272] VL Reference Value may be specified in points only, rather
than ticks, so that exchange operator, e.g. GCC, can configure
markets consistently. In one embodiment, the system 200 uses a
minimum Time Slice Count of 0, so that the Engine can track the
market accurately during a specified time. In one embodiment, the
VL Reference Values may age only over time, so that they remain in
effect through changes in state. In one embodiment, the system 200
applies to Spread products, so that these markets can also be
safeguarded. In one embodiment, the system 200 may check Trade
Prices, so that Velocity Logic can detect events accurately.
[0273] In one embodiment, the system 200 checks the Arriving Order
Limit Prices, so that the system can detect events accurately. For
example:
[0274] VL Value=10, VL Ref Value Hi=100 Lo=100, VL Range is 90 to
110
[0275] Test 1 [0276] Ask 1@109.0 [0277] Bid 1@111.0 [0278] w/o VL,
Trade occurs 1@109.00 [0279] w/VL LMT price check, VL Event
occurs
[0280] Test 2 [0281] Ask 1@109.0 [0282] Bid 2@111.0 [0283] w/o VL,
Trade occurs 1@109.00, 1@111.0 rests, C.Last 111.0 [0284] w/VL LMT
price check, VL Event occurs
[0285] Test 3 [0286] Ask 1@109 [0287] Ask 1@111 [0288] Bid 2@111
[0289] w/o VL. Trade 1@109, Trade 1@111 [0290] w/VL LMT price
check, VL Event occurs
[0291] Test 4 [0292] Bid 1@112 [0293] w/o VL, 1@112 rests [0294]
w/VL LMT price check, VL Event occurs
[0295] In one embodiment, the system 200 checks MKT-Protect and
STP-Protect prices, so that the system 200 can detect events
accurately.
[0296] In one embodiment, the system 200 is configurable so that
the system 200 can be adapted to meet the needs of different
markets. [0297] VL Warning Value--the price range the market is
allowed to move before an alert is generated. Configuration is
needed to enable/disable and specify the numeric value. [0298]
Iteration--similar to Stop Logic ("SPL"); the number of iterations
a Velocity Logic action should occur before the market is allowed
to reopen. [0299] Reserve Time--the length of time a Velocity Logic
iteration will last. [0300] Config is needed for Regular and
Extended hours. [0301] Reserve Group--when enabled, the ability to
have a Velocity Logic action apply to the instrument and its
group.
[0302] In one embodiment, the system 200 is applicable to a Group
or an IXM, so that maximum flexibility in adapting the system 200
to a Market's specific needs is provided. It will be appreciate
that some markets are heavily dependent on lead-month trading
activity (e.g. Crude Oil), while others have activity across the
entire curve (e.g. Euro-Dollar). The operator of the exchange
computer system 100 should be able to configure the system 200 such
that lead-months are handled differently than the rest of a
group.
[0303] In one embodiment, the system 200 may include a user
interface (not shown) coupled with the processor 202 such as may be
implemented via the display 414 and user input device 416 which
allows the Configurations to be viewed an that the correct values
can be verified for each market, new Configurations to be created,
entirely or based on Stop Logic Configuration values, modify
configurations prior to or during operation of the system 200,
delete configurations, or combinations thereof.
[0304] In one embodiment, Velocity Logic Events may extend when the
time has elapsed and the market is outside a value from the
starting price, so that a market does not reopen very far away from
the Reference Value. In one embodiment, a Velocity Logic Event may
end when a time has elapsed, so that the Market can resume normal
trading. In one embodiment, a Velocity Logic Event may end after a
configured number of extensions, on that the Market can resume
normal trading.
[0305] One skilled in the art will appreciate that one or more
modules or logic described herein may be implemented using, among
other things, a tangible computer-readable medium comprising
computer-executable instructions (e.g., executable software code).
Alternatively, modules may be implemented as software code,
firmware code, hardware, and/or a combination of the
aforementioned. For example the modules may be embodied as part of
an exchange 100 for financial instruments.
[0306] Referring to FIG. 4, an illustrative embodiment of a general
computer system 400 is shown. The computer system 400 can include a
set of instructions that can be executed to cause the computer
system 400 to perform any one or more of the methods or computer
based functions disclosed herein. The computer system 400 may
operate as a standalone device or may be connected, e.g., using a
network, to other computer systems or peripheral devices. Any of
the components discussed above, such as the processor 202, may be a
computer system 400 or a component in the computer system 400. The
computer system 400 may implement a match engine, margin
processing, payment or clearing function on behalf of an exchange,
such as the Chicago Mercantile Exchange, of which the disclosed
embodiments are a component thereof.
[0307] In a networked deployment, the computer system 400 may
operate in the capacity of a server or as a client user computer in
a client-server user network environment, or as a peer computer
system in a peer-to-peer (or distributed) network environment. The
computer system 400 can also be implemented as or incorporated into
various devices, such as a personal computer (PC), a tablet PC, a
set-top box (STB), a personal digital assistant (PDA), a mobile
device, a palmtop computer, a laptop computer, a desktop computer,
a communications device, a wireless telephone, a land-line
telephone, a control system, a camera, a scanner, a facsimile
machine, a printer, a pager, a personal trusted device, a web
appliance, a network router, switch or bridge, or any other machine
capable of executing a set of instructions (sequential or
otherwise) that specify actions to be taken by that machine. In a
particular embodiment, the computer system 400 can be implemented
using electronic devices that provide voice, video or data
communication. Further, while a single computer system 400 is
illustrated, the term "system" shall also be taken to include any
collection of systems or sub-systems that individually or jointly
execute a set, or multiple sets, of instructions to perform one or
more computer functions.
[0308] As illustrated in FIG. 4, the computer system 400 may
include a processor 402, e.g., a central processing unit (CPU), a
graphics processing unit (GPU), or both. The processor 402 may be a
component in a variety of systems. For example, the processor 402
may be part of a standard personal computer or a workstation. The
processor 402 may be one or more general processors, digital signal
processors, application specific integrated circuits, field
programmable gate arrays, servers, networks, digital circuits,
analog circuits, combinations thereof, or other now known or later
developed devices for analyzing and processing data. The processor
402 may implement a software program, such as code generated
manually (i.e., programmed).
[0309] The computer system 400 may include a memory 404 that can
communicate via a bus 408. The memory 404 may be a main memory, a
static memory, or a dynamic memory. The memory 404 may include, but
is not limited to computer readable storage media such as various
types of volatile and non-volatile storage media, including but not
limited to random access memory, read-only memory, programmable
read-only memory, electrically programmable read-only memory,
electrically erasable read-only memory, flash memory, magnetic tape
or disk, optical media and the like. In one embodiment, the memory
404 includes a cache or random access memory for the processor 402.
In alternative embodiments, the memory 404 is separate from the
processor 402, such as a cache memory of a processor, the system
memory, or other memory. The memory 404 may be an external storage
device or database for storing data. Examples include a hard drive,
compact disc ("CD"), digital video disc ("DVD"), memory card,
memory stick, floppy disc, universal serial bus ("USB") memory
device, or any other device operative to store data. The memory 404
is operable to store instructions executable by the processor 402.
The functions, acts or tasks illustrated in the figures or
described herein may be performed by the programmed processor 402
executing the instructions 412 stored in the memory 404. The
functions, acts or tasks are independent of the particular type of
instructions set, storage media, processor or processing strategy
and may be performed by software, hardware, integrated circuits,
firm-ware, micro-code and the like, operating alone or in
combination. Likewise, processing strategies may include
multiprocessing, multitasking, parallel processing and the
like.
[0310] As shown, the computer system 400 may further include a
display unit 414, such as a liquid crystal display (LCD), an
organic light emitting diode (OLED), a flat panel display, a solid
state display, a cathode ray tube (CRT), a projector, a printer or
other now known or later developed display device for outputting
determined information. The display 414 may act as an interface for
the user to see the functioning of the processor 402, or
specifically as an interface with the software stored in the memory
404 or in the drive unit 406.
[0311] Additionally, the computer system 400 may include an input
device 416 configured to allow a user to interact with any of the
components of system 400. The input device 416 may be a number pad,
a keyboard, or a cursor control device, such as a mouse, or a
joystick, touch screen display, remote control or any other device
operative to interact with the system 400.
[0312] In a particular embodiment, as depicted in FIG. 4, the
computer system 400 may also include a disk or optical drive unit
406. The disk drive unit 406 may include a computer-readable medium
410 in which one or more sets of instructions 412, e.g. software,
can be embedded. Further, the instructions 412 may embody one or
more of the methods or logic as described herein. In a particular
embodiment, the instructions 412 may, reside completely, or at
least partially, within the memory 404 and/or within the processor
402 during execution by the computer system 400. The memory 404 and
the processor 402 also may include computer-readable media as
discussed above.
[0313] The present disclosure contemplates a computer-readable
medium that includes instructions 412 or receives and executes
instructions 412 responsive to a propagated signal, so that a
device connected to a network 420 can communicate voice, video,
audio, images or any other data over the network 420. Further, the
instructions 412 may be transmitted or received over the network
420 via a communication interface 418. The communication interface
418 may be a part of the processor 402 or may be a separate
component. The communication interface 418 may be created in
software or may be a physical connection in hardware. The
communication interface 418 is configured to connect with a network
420, external media, the display 414, or any other components in
system 400, or combination thereof. The connection with the network
420 may be a physical connection, such as a wired Ethernet
connection or may be established wirelessly as discussed below.
Likewise, the additional connections with other components of the
system 400 may be physical connections or may be established
wirelessly.
[0314] The network 420 may include wired networks, wireless
networks, or combinations thereof. The wireless network may be a
cellular telephone network, an 802.11, 802.16, 802.20, or WiMax
network. Further, the network 420 may be a public network, such as
the Internet, a private network, such as an intranet, or
combinations thereof, and may utilize a variety of networking
protocols now available or later developed including, but not
limited to TCP/IP based networking protocols.
[0315] Embodiments of the subject matter and the functional
operations described in this specification can be implemented in
digital electronic circuitry, or in computer software, firmware, or
hardware, including the structures disclosed in this specification
and their structural equivalents, or in combinations of one or more
of them. Embodiments of the subject matter described in this
specification can be implemented as one or more computer program
products, i.e., one or more modules of computer program
instructions encoded on a computer readable medium for execution
by, or to control the operation of, data processing apparatus.
While the computer-readable medium is shown to be a single medium,
the term "computer-readable medium" includes a single medium or
multiple media, such as a centralized or distributed database,
and/or associated caches and servers that store one or more sets of
instructions. The term "computer-readable medium" shall also
include any medium that is capable of storing, encoding or carrying
a set of instructions for execution by a processor or that cause a
computer system to perform any one or more of the methods or
operations disclosed herein. The computer readable medium can be a
machine-readable storage device, a machine-readable storage
substrate, a memory device, or a combination of one or more of
them. The term "data processing apparatus" encompasses all
apparatus, devices, and machines for processing data, including by
way of example a programmable processor, a computer, or multiple
processors or computers. The apparatus can include, in addition to
hardware, code that creates an execution environment for the
computer program in question, e.g., code that constitutes processor
firmware, a protocol stack, a database management system, an
operating system, or a combination of one or more of them.
[0316] In a particular non-limiting, exemplary embodiment, the
computer-readable medium can include a solid-state memory such as a
memory card or other package that houses one or more non-volatile
read-only memories. Further, the computer-readable medium can be a
random access memory or other volatile re-writable memory.
Additionally, the computer-readable medium can include a
magneto-optical or optical medium, such as a disk or tapes or other
storage device to capture carrier wave signals such as a signal
communicated over a transmission medium. A digital file attachment
to an e-mail or other self-contained information archive or set of
archives may be considered a distribution medium that is a tangible
storage medium. Accordingly, the disclosure is considered to
include any one or more of a computer-readable medium or a
distribution medium and other equivalents and successor media, in
which data or instructions may be stored.
[0317] In an alternative embodiment, dedicated hardware
implementations, such as application specific integrated circuits,
programmable logic arrays and other hardware devices, can be
constructed to implement one or more of the methods described
herein. Applications that may include the apparatus and systems of
various embodiments can broadly include a variety of electronic and
computer systems. One or more embodiments described herein may
implement functions using two or more specific interconnected
hardware modules or devices with related control and data signals
that can be communicated between and through the modules, or as
portions of an application-specific integrated circuit.
Accordingly, the present system encompasses software, firmware, and
hardware implementations.
[0318] In accordance with various embodiments of the present
disclosure, the methods described herein may be implemented by
software programs executable by a computer system. Further, in an
exemplary, non-limited embodiment, implementations can include
distributed processing, component/object distributed processing,
and parallel processing. Alternatively, virtual computer system
processing can be constructed to implement one or more of the
methods or functionality as described herein.
[0319] Although the present specification. describes components and
functions that may be implemented in particular embodiments with
reference to particular standards and protocols, the invention is
not limited to such standards and protocols. For example, standards
for Internet and other packet switched network transmission (e.g.,
TCP/IP, UDP/IP, HTML, HTTP, HTTPS) represent examples of the state
of the art. Such standards are periodically superseded by faster or
more efficient equivalents having essentially the same functions.
Accordingly, replacement standards and protocols having the same or
similar functions as those disclosed herein are considered
equivalents thereof.
[0320] A computer program (also known as a program, software,
software application, script, or code) can be written in any form
of programming language, including compiled or interpreted
languages, and it can be deployed in any form, including as a
standalone program or as a module, component, subroutine, or other
unit suitable for use in a computing environment. A computer
program does not necessarily correspond to a file in a file system.
A program can be stored in a portion of a file that holds other
programs or data (e.g., one or more scripts stored in a markup
language document), in a single file dedicated to the program in
question, or in multiple coordinated files (e.g., files that store
one or more modules, sub programs, or portions of code). A computer
program can be deployed to be executed on one computer or on
multiple computers that are located et one site or distributed
across multiple sites and interconnected by a communication
network.
[0321] The processes and logic flows described in this
specification can be performed by one or more programmable
processors executing one or more computer programs to perform
functions by operating on input data and generating output. The
processes and logic flows can also be performed by, and apparatus
can also be implemented as, special purpose logic circuitry, e.g.,
an FPGA (field programmable gate array) or an ASIC (application
specific integrated circuit).
[0322] Processors suitable for the execution of a computer program
include, by way of example, both general and special purpose
microprocessors, and anyone or more processors of any kind of
digital computer. Generally, a processor will receive instructions
and data from a read only memory or a random access memory or both.
The essential elements of a computer are a processor for performing
instructions and one or more memory devices for storing
instructions and data. Generally, a computer will also include, or
be operatively coupled to receive data from or transfer data to, or
both, one or more mass storage devices for storing data, e.g.,
magnetic, magneto optical disks, or optical disks. However, a
computer need not have such devices. Moreover, a computer can be
embedded in another device, e.g., a mobile telephone, a personal
digital assistant (PDA), a mobile audio player, a Global
Positioning System (GPS) receiver, to name just a few. Computer
readable media suitable for storing computer program instructions
and data include all forms of non volatile memory, media and memory
devices, including by way of example semiconductor memory devices,
e.g., EPROM, EEPROM, and flash memory devices; magnetic disks,
e.g., internal hard disks or removable disks; magneto optical
disks; and CD ROM and DVD-ROM disks. The processor and the memory
can be supplemented by, or incorporated in, special purpose logic
circuitry.
[0323] To provide for interaction with a user, embodiments of the
subject matter described in this specification can be implemented
on a device having a display, e.g., a CRT (cathode ray tube) or LCD
(liquid crystal display) monitor, for displaying information to the
user and a keyboard and a pointing device, e.g., a mouse or a
trackball, by which the user can provide input to the computer.
Other kinds of devices can be used to provide for interaction with
a user as well; for example, feedback provided to the user can be
any form of sensory feedback, e.g., visual feedback, auditory
feedback, or tactile feedback; and input from the user can be
received in any form, including acoustic, speech, or tactile
input.
[0324] Embodiments of the subject matter described in this
specification can be implemented in a computing system that
includes a back end component, e.g., as a data server, or that
includes a middleware component, e.g., an application server, or
that includes a front end component, e.g., a client computer having
a graphical user interface or a Web browser through which a user
can interact with an implementation of the subject matter described
in this specification, or any combination of one or more such back
end, middleware, or front end components. The components of the
system can be interconnected by any form or medium of digital data
communication, e.g., a communication network. Examples of
communication networks include a local area network ("LAN") and a
wide area network ("WAN"), e.g., the Internet.
[0325] The computing system can include clients and servers, A
client and server are generally remote from each other and
typically interact through a communication network. The
relationship of client and server arises by virtue of computer
programs running on the respective computers and having a
client-server relationship to each other.
[0326] The illustrations of the embodiments described herein are
intended to provide a general understanding of the structure of the
various embodiments. The illustrations are not intended to serve as
a complete description of all of the elements and features of
apparatus and systems that utilize the structures or methods
described herein. Many other embodiments may be apparent to those
of skill in the art upon reviewing the disclosure. Other
embodiments may be utilized and derived from the disclosure, such
that structural and logical substitutions and changes may be made
without departing from the scope of the disclosure. Additionally,
the illustrations are merely representational and may not be drawn
to scale. Certain proportions within the illustrations may be
exaggerated, while other proportions may be minimized. Accordingly,
the disclosure and the figures are to be regarded as illustrative
rather than restrictive.
[0327] While this specification contains many specifics, these
should not be construed as limitations on the scope of the
invention or of what may be claimed, but rather as descriptions of
features specific to particular embodiments of the invention.
Certain features that are described in this specification in the
context of separate embodiments can also be implemented in
combination in a single embodiment. Conversely, various features
that are described in the context of a single embodiment can also
be implemented in multiple embodiments separately or in any
suitable sub-combination. Moreover, although features may be
described above as acting in certain combinations and even
initially claimed as such, one or more features from a claimed
combination can in some cases be excised from the combination, and
the claimed combination may be directed to a sub-combination or
variation of a sub-combination.
[0328] Similarly, while operations are depicted in the drawings and
described herein in a particular order, this should not be
understood as requiring that such operations be performed in the
particular order shown or in sequential order, or that all
illustrated operations be performed, to achieve desirable results.
In certain circumstances, multitasking and parallel processing may
be advantageous. Moreover, the separation of various system
components in the embodiments described above should not be
understood as requiring such separation in all embodiments, and it
should be understood that the described program components and
systems can generally be integrated together in a single software
product or packaged into multiple software products.
[0329] One or more embodiments of the disclosure may be referred to
herein, individually and/or collectively, by the term "invention"
merely for convenience and without intending to voluntarily limit
the scope of this application to any particular invention or
inventive concept. Moreover, although specific embodiments have
been illustrated and described herein, it should be appreciated
that any subsequent arrangement designed to achieve the same or
similar purpose may be substituted for the specific embodiments
shown. This disclosure is intended to cover any and all subsequent
adaptations or variations of various embodiments. Combinations of
the above embodiments, and other embodiments not specifically
described herein, will be apparent to those of skill in the art
upon reviewing the description.
[0330] The Abstract of the Disclosure is provided to comply with 37
C.F.R. .sctn.1.72(b) and is submitted with the understanding that
it will not be used to interpret or limit the scope or meaning of
the claims. In addition, in the foregoing Detailed Description,
various features may be grouped together or described in a single
embodiment for the purpose of streamlining the disclosure. This
disclosure is not to be interpreted as reflecting an intention that
the claimed embodiments require more features than are expressly
recited in each claim. Rather, as the following claims reflect,
inventive subject matter may be directed to less than all of the
features of any of the disclosed embodiments. Thus, the following
claims are incorporated into the Detailed Description, with each
claim standing on its own as defining separately claimed subject
matter.
[0331] It is therefore intended that the foregoing detailed
description be regarded as illustrative rather than limiting, and
that it be understood that it is the following claims, including
all equivalents, that are intended to define the spirit and scope
of this invention.
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