Abstract: A computer-implemented method and system for allocating quantities of a plurality of orders stored in an order book side at a price level selected for execution is provided, wherein each order has a quantity and a entry time. A time sensitivity parameter is predefined, wherein the time sensitivity parameter is a non-negative real number representing a specific allocation scheme. The quantity to be allocated is received and is executable against the plurality of orders stored in the order book side at a price level selected for execution. A matched quantity is determined for each order of the plurality of orders stored in the order book side at the price level selected for execution.

Abstract: An order cross mechanism is provided where a cross request is received from a first market participant in a single transaction, the cross request specifying a client order and a predefined cross match type. Orders and/or quotes are received from second market participants within a predetermined or randomly determined period of time, and a cross match is performed in the order book immediately after expiration of the period of time. The client order is matched against an order of the first market participant and none, one or more of the orders or quotes received from the one or more second market participants, and the order of the first market participant is generated as an opposite order to the client order and having a higher priority than any orders or quotes received from the second market participants that are of the same price level than the order of the first market participant and that are entered during the period of time.

Abstract: A system and method for providing back-end functionality for order processing in electronic order book trading. A sell/buy order is received comprising a lower/upper limit and a conditional lower/upper limit defining a conditional selling/buying price range for executing the sell/buy order under certain selling/buying conditions. It is determined whether the selling/buying conditions are fulfilled, including determining whether the sum of the first and second part of the buy/sell order is superior or equal to a threshold volume. The sell/buy order and the buy/sell order are executed against each other if at least the selling/buying conditions are fulfilled. Embodiments allow rapidly executing large trading interests with minimized market impact and opportunity costs.

Abstract: There is provided a data processing system and method for valuing a bundle of constructs that may individually fail, in case of a separation event causing the bundle of constructs to separate a failing construct from the bundle. A present value determination unit applies a predefined model to determine a present value of the bundle of constructs after having separated the failing construct from the bundle. Further, a static value determination unit determines a static value by reducing a static base number each time a separation event occurs. Furthermore, a calculation unit calculates a value of the bundle of constructs based on the determined present value and the determined static value. The calculation unit is adapted to calculate a sum of the determined present value and the determined static value. In an embodiment, the bundle of constructs is a basket of credit default swaps.

Abstract: The invention provides back-end functionality for order processing in electronic order book trading. A sell/buy order is received comprising a lower/upper limit and a conditional lower/upper limit defining a conditional selling/buying price range for executing the sell/buy order under certain selling/buying conditions. It is determined whether the selling/buying conditions are fulfilled, including determining whether the sum of the first and second part of the buy/sell order is superior or equal to a threshold volume. The sell/buy order and the buy/sell order are executed against each other if at least the selling/buying conditions are fulfilled. Embodiments allow rapidly executing large trading interests with minimized market impact and opportunity costs.

Abstract: There is provided a data processing system and method for valuing a bundle of constructs that may individually fail, in case of a separation event causing the bundle of constructs to separate a failing construct from the bundle. A present value determination unit applies a predefined model to determine a present value of the bundle of constructs after having separated the failing construct from the bundle. Further, a static value determination unit determines a static value by reducing a static base number each time a separation event occurs. Furthermore, a calculation unit calculates a value of the bundle of constructs based on the determined present value and the determined static value. The calculation unit is adapted to calculate a sum of the determined present value and the determined static value. In an embodiment, the bundle of constructs is a basket of credit default swaps.

Abstract: A technique is provided for managing bundles of constructs that may individually fail. Each bundle has a repetitively updated resource amount for counterbalancing a transfer of a failure risk pertaining to the respective bundle. Construct data is stored and a value of the resource amount is calculated for an individual time instance based on the construct data. It is determined whether a construct of a first bundle has failed. If not, a value of a resource amount for the first bundle is calculated. If a construct has failed, a second bundle is generated that includes all constructs of the first bundle except for the construct having failed, and a value of a resource amount for the second bundle is calculated. The technique is particularly suitable for managing futures contracts that are based on a basket of credit default swaps as underlyings.

Abstract: A data processing system and method is provided for managing futures contracts that are based on baskets of credit default swaps as underlyings. A data storage stores data identifying each credit default swap of at least two baskets, and repetitively updated values for credit default swaps of the baskets. A parallelization command is received which indicates at least one credit default swap from a first basket, wherein the credit default swap is a credit default swap not having suffered a credit event. Further, second basket data is generated in response to a received parallelization command. The data storage stores repetitively updated values for credit default swaps of the second basket and continues storing repetitively updated values for credit default swaps of the first basket. In general, a data processing system and method is provided for managing bundles of constructs that may individually fail.

Abstract: A physical objects tracking system and a method for sharing information about objects and causing an action based on that information is provided. Short range communication networks collect data which identify physical objects and attributes associated with the objects. Long range communication networks provide both central data processing equipment, which is hosted by a trusted third party, for aggregating and storing the collected data and user terminals for enabling authorized user to access the data processing equipment and to evaluate the aggregated data. The authorized user is enabled to define a business rule, which specify a matching condition and an action. The matching condition is matched against the aggregated data and if it is determined that the matching condition is fulfilled, the action is executed. Embodiments implementing an auto-ID clearing and risk management process and a secondary market process are introduced.

Abstract: A system is provided for linking together a system of trading financial instruments to a system of clearing transactions in financial instruments. In a first aspect of the present invention, the linking system includes a network linking a plurality of trading systems and a clearing system. An external interface couples the trading systems to the network while a clearing interface couples the clearing system to the network. A transmitter module transmits trading information in a plurality of kinds of securities along the network from the trading system to the clearing system. That transmitting selectively occurs approximately simultaneously with the arrival of the trading information at the external interface. The transmitting also occurs independently of the selection of trading algorithm or clearing algorithm. A second aspect of the present invention involves a computerized method for coupling a plurality of trading systems and a clearing system with a network.

Abstract: The present invention relates to a system and method for performing a block auction. In a block auction, a block request is enabled to be executed against the plurality of quotes of different bidders, which comprise at least a part of the request volume. In accordance with the present invention, neither specification of the trade side of the request nor publication of the individual quotes submitted by bidders are required for performing the auction at an electronic trading system. Therefore, the auction can be performed anonymously and the trading of block requests comprising large volumes is enabled.

Abstract: Summarising, the present invention aims to provide a more efficient settlement engine requiring less computation effort and processing time. This is accomplished by establishing a total priority list of all transactions. The received transaction data to be settled are step-wisely transferred to an intermediate table storing the transaction data of highest priority for each security type, and transferring the transaction data of highest priority from the intermediate storage to the final total priority list.

Abstract: A data processing technique is provided that may be applied for trading and clearing a futures contract, and more generally, for processing data structures identifying two resources terminating at different times, a time instance earlier than these termination times, and a numeric data value which is time independent. At this time instance, resource values and resource amounts are determined. For determining the resource amounts, a sensitivity of the respective resource to a predefined parameter is determined, and the numeric data value is divided by the respective sensitivity.

Abstract: There is provided a data processing system and method for valuing a bundle of constructs that may individually fail, in case of a separation event causing the bundle of constructs to separate a failing construct from the bundle. A present value determination unit applies a predefined model to determine a present value of the bundle of constructs after having separated the failing construct from the bundle. Further, a static value determination unit determines a static value by reducing a static base number each time a separation event occurs. Furthermore, a calculation unit calculates a value of the bundle of constructs based on the determined present value and the determined static value. The calculation unit is adapted to calculate a sum of the determined present value and the determined static value. In an embodiment, the bundle of constructs is a basket of credit default swaps.

Abstract: A data processing system and method are provided for repetetively determining a resource amount for counterbalancing the transfer of a failure risk pertaining to a bundle of constructs that may individually fail. The system has a data storage for storing reference values of the bundle of constructs for distinct individual time instances during the resource amount determination. The reference values indicate a value of a respective reference construct or a value of a reference bundle of constructs. The system further has a calculation unit connected to the data storage for calculating a value of the resource amount for an individual time instance based on the reference values. The technique is suitable for valuing a futures contract that is based on a basket of credit default swaps as underlyings.

Abstract: A technique is provided for managing bundles of constructs that may individually fail. Each bundle has a repetitively updated resource amount for counterbalancing a transfer of a failure risk pertaining to the respective bundle. Construct data is stored and a value of the resource amount is calculated for an individual time instance based on the construct data. It is determined whether a construct of a first bundle has failed. If not, a value of a resource amount for the first bundle is calculated, but if a construct has failed, a second bundle is generated that includes all constructs of the first bundle except for the construct having failed, and a value of a resource amount for the second bundle is calculated. The technique is particularly suitable for managing futures contracts that are based on a basket of credit default swaps as underlyings.

Abstract: The present invention relates to a clearing link connecting a plurality of clearing houses for clearing and settling transactions stemming form a trading platform. The clearing link processes transaction data stemming from the trading platform to be forwarded to individual clearing houses. The clearing house(s) are selected based on a transaction data analysis and predefined forward conditions. A trade member is thus able to select a clearing house not directly linked to the market of the trade member.

Abstract: The present intention relates to techniques for handling trades, and in particular to a data processing system for handling a trade between execution and settlement of the trade, a trade handling system for handling a trade executed at a trading location, and a data processing system and method for processing trade execution data relating to an executed trade. According to one aspect, the invention provides a data processing system for handling a trade between execution and settlement of the trade, comprising a data input unit for receiving trade execution data relating to an executed trade; a data processing unit adapted to generate settlement instructions for the executed trade based on the trade execution data; and a data output unit for outputting the generated settlement instructions.