Patents Assigned to Chicago Mercantile Exchange, Inc.
  • Publication number: 20220253936
    Abstract: The disclosed systems and methods relate to allowing trading of over the counter (“OTC”) foreign exchange (“FX”) contracts on a centralized matching and clearing mechanism, such as that of the Chicago Mercantile Exchange's (“CME”'s) futures exchange system (the “Exchange”). The disclosed systems and methods allow for anonymous transactions, centralized clearing, efficient settlement and the provision of risk management/credit screening mechanisms to lower risk, reduce transaction costs and improve the liquidity in the FX market place. In particular, the disclosed embodiments increase speed of execution facilitating growing demand for algorithmic trading, increased price transparency, lower cost of trading, customer to customer trading, and automated asset allocations, recurring trades as well as clearing and settlement efficiencies.
    Type: Application
    Filed: April 19, 2022
    Publication date: August 11, 2022
    Applicant: Chicago Mercantile Exchange Inc.
    Inventors: Paul Andrew Bauerschmidt, Ari L. Studnitzer, William J. Albert, Paul J. Callaway, James W. Farrell, A. Shanthi Thiruthuvadoss
  • Publication number: 20220253854
    Abstract: A system, apparatus, and method for resolving a data transaction is provided in which data transactions are resolved by a hardware matching processor that identifies data transaction requests received from client devices over a data communication network, matches incoming transaction requests with previously received transaction requests, and, based thereon, transmits electronic data transaction results messages to the client device. An incoming data transaction request is received, and a match is attempted with one or more previously received but not yet resolved data transaction requests. It is identified whether either the incoming data transaction request or the matching data transaction request are dependent on the resolution of another data transaction request and whether that dependent data transaction request has been resolved. The data transaction requests are resolved and/or stored based on the match and resolution of dependencies.
    Type: Application
    Filed: May 2, 2022
    Publication date: August 11, 2022
    Applicant: Chicago Mercantile Exchange Inc.
    Inventor: Ari Studnitzer
  • Publication number: 20220253416
    Abstract: A system includes first logic to obtain a fixed constituent data object and a variable constituent data object for each data object of a set of objects, second logic to analyze the fixed constituent data objects to allocate each fixed constituent data object to one of a plurality of fixed groups, third logic to analyze the variable constituent data objects to allocate each variable constituent data object to one of a plurality of variable groups, fourth logic to determine a net magnitude for each fixed group and for each variable group, fifth logic to determine a historical component for each variable constituent data object, sixth logic to determine a net historical magnitude for each variable group based on the historical components, and seventh logic to define at least one representative data object to represent the fixed and variable constituent data objects in each pair of fixed and variable groups having a matching common set of properties, the at least one representative data object maintaining the net
    Type: Application
    Filed: April 26, 2022
    Publication date: August 11, 2022
    Applicant: Chicago Mercantile Exchange Inc.
    Inventors: Paul Oglesby, Kalle Tomas Thurin, Carl Erik Thornberg
  • Patent number: 11410231
    Abstract: An electronic trading system is configured to create speculative orders based on real orders. The speculative order differs from the real order by the price, quantity, or the type of financial instrument. The match engine chooses one or more speculative orders in an attempt to predict the next real order. Even though processing multiple trades at the same time is impossible, the use of speculative orders can permit the match engine to perform the calculations involved with the trade and generate the messages associated with the trade ahead of time. If the prediction was correct and the next order received by the match engine corresponds to one of the speculative orders, some of the matching activity has already been performed. This in effect, allows the match engine to process trades more efficiently and increases the total trading volume that can be handled by the electronic trading system.
    Type: Grant
    Filed: September 15, 2014
    Date of Patent: August 9, 2022
    Assignee: Chicago Mercantile Exchange Inc.
    Inventors: Stanislav Liberman, Michael H. Colligan, James Raitsev
  • Patent number: 11411907
    Abstract: The disclosed embodiments relate generally to efficient data transmission and receipt. Specifically, the disclosed embodiments provide systems and methods for selectively combining multiple, disparate message types and transmitting same via one data feed. A consolidation system determines whether data resulting from an event can be combined or merged based on pre-determined message characteristics and state or environment information, or should be sent via two separate feeds. The merged message may be backwards-compatible so that data recipient computing systems can easily and selectively decide which portion of the merged data is relevant to the data recipient computing system, only read the relevant portions. Thus, multiple data receivers, which typically consume different message types, can receive and consume the same merged or consolidated message.
    Type: Grant
    Filed: May 16, 2016
    Date of Patent: August 9, 2022
    Assignee: Chicago Mercantile Exchange Inc.
    Inventors: Pearce Peck-Walden, Rosa Frenkel, Arkadiusz Koziol, José Antonio Acuña-Rohter, Fred Malabre, Melissa Jenner, Priteshkumar Soni
  • Publication number: 20220245726
    Abstract: Systems and methods are provided for processing multi-dimensional orders. A data transaction request message is received at a data transaction system. The data transaction request message includes data representative of at least a first function for a first attribute of a commodity and a second function for a second attribute of the commodity. The data transaction system identifies a set of solutions described by the first function and the second function. The set of solutions including values for different variations of the object that the participant who submitted the data transaction request message is willing to offer or receive for the respective variation. The data transaction system attempts to match one or more of the values from the set of solutions to previously received but unsatisfied electronic data transaction request messages counter thereto stored in an order book data structure.
    Type: Application
    Filed: April 20, 2022
    Publication date: August 4, 2022
    Applicant: Chicago Mercantile Exchange Inc.
    Inventors: Carrick John Pierce, David Nathaniel Hoff
  • Patent number: 11399083
    Abstract: Systems, devices and methods for adaptive compression of stored information includes a memory management computing device programmed to monitor a size of a plurality of data structures stored in a data repository. The computing device compares the size of each of a plurality of data structures to a predetermined threshold. When a size of an uncompressed data structure meets the threshold, the memory management computing device calculates a value of a first compression parameter based on a value of a first parameter and a value of a second parameter of each data element of the uncompressed data structure, calculates a value of a second compression parameter based the value of the first parameter of each data element of the uncompressed data structure, generates a compressed data structure based on the value of the first compression parameter and the second compression parameter; and replaces, in the data repository, the uncompressed data structure with the compressed data structure.
    Type: Grant
    Filed: November 29, 2021
    Date of Patent: July 26, 2022
    Assignee: Chicago Mercantile Exchange Inc.
    Inventors: Fateen Sharaby, Sriram A. Raju Datla, Dhiraj Subhash Bawadhankar, John Charles Redfield, Justin Yeong-Juin Lee
  • Publication number: 20220230242
    Abstract: Disclosed are a system and method, also referred to herein as an architecture, for efficiently communicating a high volume of data from a server over an electronic communications network to geographically disperse recipients, where one or more of those recipients may receive a customized version of that data, e.g., content, timing and/or form. As the data is generated, timing information and/or changes to information regarding customizations is incorporated forming a data stream which is communicated to local data publishers (“LDP's”). Upon receipt, the LDP's extract the data, customization, or timing information and act accordingly when transmitting the received data to the recipients. Customization is applied to update local control databases which specify the customizations for subsequently received data before transmission. By acting on the messages in real time, e.g.
    Type: Application
    Filed: January 21, 2021
    Publication date: July 21, 2022
    Applicant: Chicago Mercantile Exchange Inc.
    Inventors: Arkadiusz Koziol, Priteshkumar Soni, Melissa Ann Jenner, Baris Mestanogullari, Pearce Peck-Walden
  • Patent number: 11393029
    Abstract: A clearinghouse computing device may be configured to generate a margin requirement for a portfolio of financial products and may include a processor to process instructions that cause the clearinghouse computing device to retrieve a plurality of pricing records from a historical pricing database, process the plurality of pricing records to generate rolling time series pricing records for at least one financial product having a plurality of dimensions, reduce the number of dimensions from a starting dimension to a reduced dimension, perform variance scaling and correlation scaling on the reduced dimension rolling time series pricing records, and generate a margin requirement based on a value-at-risk calculation.
    Type: Grant
    Filed: March 31, 2020
    Date of Patent: July 19, 2022
    Assignee: Chicago Mercantile Exchange Inc.
    Inventors: Jennifer Weng, Nikhil Joshi, Guo Chen, Siwen Yang, Zijiang Yang
  • Publication number: 20220222243
    Abstract: The disclosed embodiments relate to implementation of a syntax for altering one or more rules by which a blockchain may be modified wherein the software implementing each client of a blockchain network are programmed to be responsive to requests or directives to alter one or more rules by which blocks may be added to a blockchain responsive to transactions received for storage therein, the requests/directives being processed by the client as a transaction and added to the block in accordance with the current state of the operating rules, thereby adding a new rule or modifying an existing rule for subsequent operation of the client.
    Type: Application
    Filed: March 21, 2022
    Publication date: July 14, 2022
    Applicant: Chicago Mercantile Exchange Inc.
    Inventors: Ryan Pierce, Ajay Madhavan, Stanislav Liberman, Mansoor Ahmed
  • Patent number: 11386486
    Abstract: The disclosed embodiments relate to computing a forward interest rate for a select future time period subsequent to a current date, such as 1 month, 3 month, 6 month or 12 month term, utilizing data observed or otherwise derived from the trading of futures contracts having short term interest rate based underliers, e.g. based on overnight interest rates, and, in one embodiment, are integrated with an electronic transaction processing system, e.g. an electronic trading system, to access data indicative of the trading thereof, and therefore avoid reliance upon subjective/opinion inputs. Generally, the disclosed embodiments generate a model of expected interest rates for every day of the time period for which a forward interest rate is desired based on a set of interest rate futures contract whose expiration periods cover the period.
    Type: Grant
    Filed: April 16, 2018
    Date of Patent: July 12, 2022
    Assignee: Chicago Mercantile Exchange Inc.
    Inventors: Mark Andrew Rogerson, Kimberly Joy Eyers, David Edward Bixby, Jr., Agha Irtaza Mirza
  • Patent number: 11379918
    Abstract: Systems and methods for blending a plurality of swaps may include determining a fixed rate for use in blending a plurality of swaps, each of the plurality of swaps having matching economics and a different associated fixed rate. A computing device may determine a first remnant swap and a second remnant swap to blend the plurality of swaps using the determined fixed rates. This may reduce the gross notional and/or the total clearing line items associated with the original swaps. In some cases, the computing device may determine one single swap for blending the plurality of swaps.
    Type: Grant
    Filed: March 26, 2021
    Date of Patent: July 5, 2022
    Assignee: Chicago Mercantile Exchange Inc.
    Inventors: Wansu Zhan, Dhiraj Bawadhankar
  • Publication number: 20220207613
    Abstract: A computer system may compress value change data. Value change categories may be identified for value changes corresponding to different times. Codes may then be selected based on the identified value change categories and stored. The stored codes may be used for transaction validation.
    Type: Application
    Filed: March 17, 2022
    Publication date: June 30, 2022
    Applicant: Chicago Mercantile Exchange Inc.
    Inventor: Seo Wook Jang
  • Patent number: 11373242
    Abstract: A optimization processor in a data transaction processing system receives an electronic data multiple transaction request message including multiple electronic data transaction requests, and determines whether some of the electronic data transaction requests should be routed through or bypass transaction integrity modules designed to detect and mitigate undesirable object conditions. The optimization processor may also determine whether some of the electronic data transaction requests should be routed through or bypass transaction processing modules designed to match or attempt to match electronic data transaction requests. The optimization processor may, in one embodiment, rely upon previous decisions made by the modules. The optimization processor may also access data structures storing information about a current environment state to determine whether an electronic data transaction request should be routed through the time consuming transaction integrity and transaction processing modules.
    Type: Grant
    Filed: June 29, 2017
    Date of Patent: June 28, 2022
    Assignee: Chicago Mercantile Exchange Inc.
    Inventors: Aditya Arun Kapur, Pearce Ian Peck-Walden, Arkadiusz Koziol, Manmathasivaram Nagarajan, James Allen Bailey, Dileep Chakravarthi Konduru
  • Patent number: 11373238
    Abstract: The disclosed embodiments relate to improving the efficiency of an electronic trading system for interest rate swaps (“IRS”) by allowing for IRS contracts to be funded in a base currency while the cash flows, e.g. coupon payments, price alignment interest, variation margin, are denominated in a local currency different from the base currency. Thereby cash flows may be netted and offset minimizing the magnitude of funds needed to be moved and reducing the number of transactions processed by the electronic trading system as well as the consumption of computational resources thereby. Furthermore, the disclosed embodiments facilitate entering into IRS transactions is a currency different from the currency of cash flows while eliminating Herstatt risk due to volatility of foreign exchange rates, which allows for increased off shore participation and thereby increased transaction volume.
    Type: Grant
    Filed: July 9, 2020
    Date of Patent: June 28, 2022
    Assignee: Chicago Mercantile Exchange Inc.
    Inventors: Panagiotis Xythalis, Jay Zhu, Fateen Sharaby, Dhiraj Bawadhankar, Molang Dong
  • Publication number: 20220198564
    Abstract: The disclosed embodiments relate to implementation of a trading system, which may also be referred to as a trading system architecture, having improved performance which further assures transactional determinism under increasing processing transaction loads while providing improved trading opportunities, fault tolerance, low latency processing, high volume capacity, risk mitigation and market protections with minimal impact, as well as improved and equitable access to information and opportunities.
    Type: Application
    Filed: March 10, 2022
    Publication date: June 23, 2022
    Applicant: Chicago Mercantile Exchange Inc.
    Inventors: Ari Studnitzer, Zachary Bonig, Ryan Eavy, Frank Kmiec, Barry Galster, Paul Callaway
  • Patent number: 11367152
    Abstract: A physical container (e.g., a battery) may be filled up (charged) or emptied (discharged) with energy commensurate with requirements to post a particular amount of collateral. The disclosure provides computing systems and methods for processing data using a novel combination of wavelet techniques and rolling techniques to more efficiently detect seasonality in particular products (e.g., energy products) to more accurately model and determine collateral/margin requirements. A clearinghouse computing device may be configured to generate a margin requirement for a portfolio of products and may include a processor to process instructions that cause the clearinghouse computing device to perform wavelet decomposition and rolling methods on a historical database of records.
    Type: Grant
    Filed: September 25, 2020
    Date of Patent: June 21, 2022
    Assignee: Chicago Mercantile Exchange Inc.
    Inventors: Jennifer Yingying Weng, Nikhil Joshi, Guo Chen, Siwen Yang, Zijiang Yang, Xiaowen Xu, Shuo Liu, Sebastiano Rossi
  • Publication number: 20220188931
    Abstract: Systems and methods are provided for scoring the use of financial market messages. Uses of messages that are efficient and/or improve market liquidity receive positive scores. Traders are charge fees or receive rewards that are dependent upon message quality scores.
    Type: Application
    Filed: March 7, 2022
    Publication date: June 16, 2022
    Applicant: Chicago Mercantile Exchange Inc.
    Inventors: Ari Studnitzer, Nathan Ball, Wayne G. Arner, II, Giuseppe Scimeca, John Scheerer, Christopher Reithel, Jacob Doornebos, Brian Wolf
  • Publication number: 20220180438
    Abstract: The disclosed embodiments relate to communication of messages from a database to participants whereby messages, or at least a portion of the content thereof, indicative of changes in the database, due to one or more transactions between two or more participants, are structured so as to reduce redundant data therein and prioritize the transmission of that portion of the message which summarizes the event and result thereof. Further, these event reporting messages may further consolidate, or otherwise be combined with, the corresponding directed reporting messages communicated to the particular participants participating in the reported transaction while preserving the anonymity of those participants to which messages are particularly directed.
    Type: Application
    Filed: February 24, 2022
    Publication date: June 9, 2022
    Applicant: Chicago Mercantile Exchange Inc.
    Inventors: Paul Callaway, Fritz Caskey, Dennis Genetski, Pearce Peck-Walden, José Antonio Acuña-Rohter, Priteshkumar Soni, Rosa Frenkel
  • Publication number: 20220180445
    Abstract: A set of estimated allocations Nest(X1) through Nest(Xk) of portfolio positions to products X1 through Xk may be determined, with products X1 through Xk including portfolio products and spread-traded products based on some of the portfolio products. Utilizing the set of estimated allocations, an optimized liquidation cost LCopt may be designated. Data indicating at least a portion of a performance bond based on the optimized liquidation LCopt may be output.
    Type: Application
    Filed: February 28, 2022
    Publication date: June 9, 2022
    Applicant: Chicago Mercantile Exchange Inc.
    Inventors: Adam Olszewski, Dmitriy Glinberg, Edmund Li, Feliks Landa