BRIEF DESCRIPTION OF FIGURES
FIG. 1 illustrates an overview of an electronic exchange system wherein the monitoring system may be used.
FIG. 2 illustrates a central exchange comprising a monitoring module.
FIG. 3 illustrates an embodiment of a monitoring module.
FIG. 4 illustrates memories used for storing trade parameter values.
FIG. 5 illustrates memories and resent traded parameter (RTP) and how RTP may be calculated.
FIG. 6 illustrates the first step in the method for adding trade parameters to the memories.
FIG. 7 illustrates the second step in the method for adding trade parameters to the memories.
FIG. 8 illustrates the third step in the method for adding trade parameters to the memories.
FIG. 9 illustrates trade volume (TV) over time and a threshold value (th)
FIG. 10 illustrates aggregated trade volume (RTV) and when the RTV is greater than the threshold value.
FIG. 11 illustrates trade volume (TV) over time and a plurality of threshold values.
FIG. 12 illustrates an example of time intervals for the memories.
FIG. 13 illustrates an example of overlapping time intervals for the memories.
FIG. 14 illustrates a network device comprising a monitoring system according to the invention.
FIG. 15 illustrates examples of different number of memories according to the invention.
FIG. 16 illustrates an example wherein the connection between time periods and time buckets is shown.
FIG. 17 illustrates series for Ericsson options having different strike price and maturity date.
FIG. 18 illustrates what data a series for an Ericsson option may comprise
FIG. 19 illustrates that participants MM1 and MM2 may have different time bucket loops for different securities. The loops may comprise a different number of time buckets.
Figures are preferably schematically drafted in order to facilitate the understanding of the invention. Therefore other designs that could be drafted in the same schematic way are implicitly also disclosed in this document.
DESCRIPTION OF PREFERRED EMBODIMENTS
Embodiments of the invention are preferably implemented with computer devices and computer networks that allow participants to send and receive information such as trading information and so forth. An exemplary electronic exchange network environment is shown in FIG. 1. An electronic exchange 101 receives orders from client computers 102, either directly or via network devices 103 and networks 104 such as the Internet or the alike. The client computers may be located at a participant location; the participant may be a trader, a market maker and so forth.
The network device 103 can be routers, bridges, gateways, servers and other devices that can be a node in a network, also wireless electronic devices.
FIG. 2 illustrates a central electronic exchange 201 comprising a matching module 202 wherein matching of bids and offers takes place, an order book 203 wherein the orders not instantly traded may be stored, a participant database 204 comprising information about the participants at the electronic exchange, a deal capture module 206 that keeps track of who has traded what and with whom. The information stored in the database may be data such as name, password, what type of participant such as market maker or normal trader and other necessary data. The electronic exchange may also comprise a monitoring module 205 according to the present invention. The modules are implemented by software on hardware devices such as computers comprising a processor and memories. The monitoring module 205 may preferably contain information about a participants risk level or the monitoring module may at least have access to such data in order to be able to evaluate a recent trade parameter and execute necessary monitoring actions. Preferably the monitoring module 205 is integrated in the matching module where it resides and listens to the data (trade messages) that the matching module sends to the deal capture module 206.
FIG. 3 shows an embodiment of a monitoring module 301 comprising an interface 304 for receiving trade messages and sending monitoring action messages, a memory 302 for storing in a number of memories, trade parameter values, an extractor 305 for extracting a trade parameter value based on the trade parameter data of the trade message, a write unit 306 for accumulating extracted trade parameter values during a start time and stop time for each memory, a read unit 307 for reading accumulated trade parameter values from the memories, and a determiner 308 for determining a recent trade parameter 303 by utilizing the accumulated trade parameter values read from the memories. The memory thus, further comprises a recent trade parameter (RTP) 303. The number of memories may be memory allocations in the same physical memory. Furthermore one system may comprise one monitoring module 301 which further may comprise many memories 302 or a system may comprise many monitoring modules 310 that monitors different securities or grouping of derivative securities having the same underlying security.
FIG. 4 illustrates a first memory 401, a second memory 402, a third memory 403, and a fourth memory 404, constituting a memory loop/set of memories. Each memory comprises a trade parameter value, C1, C2, C3 and C4, for storing an accumulated trade parameter value. Each memory is active during a time limit defined by the time limits: T1-T2, T2,-T3, T3-T4 and T4-T5. By being active the memory is accessible for storing data such as trade parameter values. In this embodiment of the invention when the time period T4-T5, is finished the system continues to the first memory being active during the time period T1-T2.
The memories may be referred to as “time buckets” which describes how the memories or memory allocations are being used. Thus a time bucket can be a physical memory or a part of a memory (memory allocation). It is also possible to have time bucket on external memories. However in this document we will use the terminology memory or memory allocation when referring to time buckets.
FIG. 5 illustrates the memories shown in FIG. 4, furthermore a recent trade parameter 501 (RTP) is shown. The dotted lines 502 illustrates how the trade parameter values may be added to the RTP at regular time intervals or at predetermined time intervals decided by a participant.
Preferably an RTP is related to each memory loop comprising a plurality of memories, so as to calculate RTP for each memory loop.
FIG. 6 illustrates a situation wherein all memories or memory allocations have been used and currently the memory in the interval T1-T2 is activated as can be seen from the arrow 601 that represents which memory or memory allocations that is activated. FIG. 6 is the first figure in a loop for illustrating how the invention works. When the interval T1-T2 is finished the memory T2-T3 is activated as can be seen in FIG. 7. The trade parameter value in the memory may be set to 0, however a preferred solution is to overwrite the old trade parameter value when a trade occurs in the interval T2-T3 in this way unnecessary steps can be avoided and system resources is saved.
For example if trade volume is to be measured and the first trade has a volume of 15, the trade parameter value in the memory T2-T3 is overwritten with 15 as shown in the figure.
The Recent Trade Parameter (RTP) shown in FIG. 7 is calculated before the memory T2-T3 is overwritten with 15, hence the value 1621.
Next step can be seen in FIG. 8 where the next memory in turn is activated for recording trade parameter values. Again the memory is overwritten when the first trade occurs in the time interval T3-T4. In this case the volume in the first trade is 200, thus 200 is added to the memory or memory allocation active during T3-T4. A new RTP may be calculated anytime and is not restricted to the time intervals start and end times.
FIG. 9 illustrates trades and their trade volume (TV) 902 over time for one or a set of securities. In the figure the time intervals T1-T2 to T4-T5 is illustrated on the x-axis. A threshold value (th) 901 is also shown in the figure. If the trade volume is added and calculated after each time period RTP will be as shown in FIG. 10. This figure shows the RTP 1001 which is calculated by adding the trade parameter value from each memory. As shown in the figure RTP will pass the threshold after the time interval T3-T4 which means that the system would execute a monitoring action at this point.
When the system should execute a monitoring action which have been decided/set by a participant or by the electronic exchange. The monitoring action may be executed before the actual trade is made. Thus if there exist matches which would lead to that the trade volume would pass the threshold, the monitoring action would be executed before the actual trade takes place. Another solution would be to let the actual trade take place and thereafter execute the monitoring action.
When to execute a monitoring action is thus dependent on the situation or context wherein the invention is being used. When to execute a monitoring action may also be dependent on the participant/participants who may be affected by the monitoring action, how risk willing they are, credit worthiness and so forth.
In order to obtain a better resolution the RTP could be calculated as often as necessary. For example the RTP could be calculated X number of times within each time interval. X could be any number and is preferably chosen based on the specific situation the invention will be used in. Preferably the RTP is calculated whenever an accumulated trade parameter value has been updated.
FIG. 11 illustrates an embodiment wherein three thresholds are used 1101 (th1), 1102 (th2) and 1103 (th3). The system may execute different monitoring action when the RTP reaches each threshold. For example, a notification action may be executed on the threshold 1101, and a widening action may be executed on threshold 1102 and a canceling action may be executed on threshold 1103.
FIG. 12 illustrates how the time intervals may be located in time after each other. If only four intervals were used the time interval T5-T6 would be time interval T1-T2, as illustrated by the dotted line.
FIG. 13 illustrates an embodiment wherein the time intervals are at least partly overlapping each other.
FIG. 14 illustrates a network device 1401 such as a router, gateway, server comprising a monitoring module 1402 according to the invention. The network device may be located outside the electronic exchange for example at the client site. However, preferably the network device is as close to the electronic exchange as possible.
FIG. 15 illustrates four different embodiments of memories or memory allocations according to the invention. A first embodiment with two memories 1501, a second embodiment with three memories 1502, a third embodiment with four memories 1503 and a fourth embodiment with five memories 1504. This is a figurative representation of the memories or memory allocations according to the invention. In further embodiments more memories can be used, no upper limit does exist. How many memories to use is dependent on the situation, in one situation 10 memories is used in another situation where a higher accuracy is needed maybe 100 memories/memory allocations may be used.
FIG. 16 illustrates trades (X1-X6) 1601 over time t, wherein three trades (X1, X2, X3) occurs in the first time interval T1-T2, no trade in the second or third time interval, one trade (X4) in the fourth time interval T4-T5 and two trades (X5, X6) in the fifth time interval T5-T6. Each time interval is connected to a memory allocation 1602, 1603, 1604, 1605. As picturized in the memory allocations it can be seen that there is only four memories therefore the trades that occur in the time interval T5-T6 will be saved in the same memory as the trades that occurred in the first time interval T1-T2. Hence the figure illustrates a loop wherein four memories are being used.
The system does preferably only access memories when a trade occurs. Hence as can be seen in the FIG. 16 trades occur in the first time interval and in the fourth time interval. Thus the system adds the three trades to the first memory but then it does not access any of the memories until the trade occurs in the fourth time interval, at this time the memories associated with the second and third time interval receives the value 0. Therefore it may be necessary to save definition start time for each memory so that the system can decide if earlier trades have occurred or not in a time interval. In this way unnecessary steps can be avoided.
FIG. 17 illustrates a plurality of option series having a strike price and maturity date. Each dot 1703 is a series for an option. The dots in the same column in the ellipse 1701 represents options series with the same Maturity date and dots in the same row in the ellipse 1702 illustrates options series with the same strike price.
FIG. 18 illustrates a series for an option with the underlying stock Ericsson, a strike price at 35 Sek, maturity date in May and that it is a buy option.
FIG. 19 is an illustration of two Market Makers MM1 and MM2 each having a memory loop according to the invention for each security they are trading in. Thus MM1 has a memory loop for Ericsson Options and Microsoft options, whereas MM2 only has a memory loop for Ericsson futures. Thus one participant may have a monitoring system comprising a specific memory loop for each security they are trading in. It would also be possible to have a memory loop for a combination of securities such as a memory loop for monitoring the trade both for Ericsson options and Microsoft options, or combination of stocks and options and so forth. Which combinations of securities that would be monitored in the same memory loop is obvious to the person skilled in the art. For example it could be securities related to the same industry sector, securities related to the same country and so forth. The present invention may also apply to trading of energy contracts, oil and other commodities.
The invention could also be applicable for ordering systems and for online gaming systems where individuals are the participants.
In the above description the term “comprising” does not exclude other elements or steps and “a” or “an” does not exclude a plurality.
Furthermore the terms “include” and “contain” does not exclude other elements or steps.
Patent Application
20080015966
