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 computer implemented method and system for publishing best public limits and corresponding quantity and for matching an incoming outright order against price best match limits at corresponding quantities during the continuous trading phase is provided. An incoming outright order is entered in an incoming order book side. It is determined if the incoming outright order satisfies a matching condition by evaluating the sum of the incoming outright order limit and the best match limit of the outright order book side opposing to the incoming outright order book side wherein the best match limit of the outright order book side opposing to the incoming outright order book side also considers outright order book combinations resulting to the outright order book side opposing the incoming outright order book side.

Abstract: A data processing system and a corresponding method and data package are provided where a packaging component builds a data package by combining bond future data and matching swap data, and stores the built data package in a storage. A calculation component calculates a value for the data package and repeats the calculation to calculate updated values until a predetermined time period has expired. A separation component generates, after the predetermined time period has expired, first data and second data and output this data. The first data indicates a bond associated with the bond future data, and the second data indicates a swap associated with the swap data.

Abstract: A computer-implemented method for reducing a computational effort of finding a solution of a first model modeling a real-world scenario is presented. The first model has model variables and is defined by a set of rules comprising a first subset of rules and a second subset of rules, wherein each rule of the set of rules defines at least one condition for at least one model variable. A set of relaxed rules is built by relaxing each rule of the first subset of rules of the first model, wherein relaxing a rule comprises modifying at least one condition of said rule. Further, an initial model is constructed using the set of relaxed rules and the second subset of rules. A solution of the initial model is computed, wherein the solution of the initial model is a set of model variables satisfying each rule defining the initial model. For each rule in the first subset of rules, it is determined if the solution of the initial model satisfies the rule.

Abstract: A computer implemented method and system for publishing best public limits and corresponding quantity and for matching an incoming outright order against price best match limits at corresponding quantities during the continuous trading phase is provided. An incoming outright order is entered in an incoming order book side. It is determined if the incoming outright order satisfies a matching condition by evaluating the sum of the incoming outright order limit and the best match limit of the outright order book side opposing to the incoming outright order book side wherein the best match limit of the outright order book side opposing to the incoming outright order book side also considers outright order book combinations resulting to the outright order book side opposing the incoming outright order book side.

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: 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: A computer system performs an opening auction of a derivative such as a financial futures. The computer system comprises an order maintenance module and an optimizing module. The order maintenance module maintains a plurality of order books for said derivative. The plurality of order books comprises a first set of order books and a second set of order books. Each order book of the first set of order books comprises bid and ask orders for a specific tradable series of the derivative. Each order book of the second set of order books comprises bid and ask orders for a specific combination of two tradable series of the derivative. Each bid and ask order is associated with an integer volume of tradable contracts of the derivative. The optimizing module maximizes a total volume of executed contracts using integer optimization to determine opening prices for the tradable series of the derivative.

Abstract: A data processing system and method are provided for repetitively 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 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 data processing apparatus and method are provided for calculating an implied correlation and/or dispersion of an index that has a plurality of constituents. Data is received which describes properties of the index and properties of at least some of its constituents. An implied variance of the index and an implied variance of each of the at least some constituents are determined based on the received data. The implied correlation and/or dispersion of the index are calculated using the determined implied variances. A variance calculation scheme may be used which does not require the calculation of a volatility. Further, a model-free algorithm may be used to determine the implied valiances. Furthermore, an implied volatility of the index and an implied volatility for constituents may be determined from the implied variances.

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 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: 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: A computer-implemented method for visualizing trading data may be used together with a graphical user interface of a computer system. The method performs the displaying of a price range including graduated price levels for a tradable item. Data of a stop order is received and evaluated to determine price levels associated with the stop order. Further, a graphical representation of the stop order is displayed in the price range according to the evaluated data. The method may be stored as computer-executable instructions. The instructions are executable by a processor of a computer system which may include a memory for storing the instructions and a display to be used for the visualization. Moreover, a computer-readable medium may include further computer-executable instructions which may perform creating of new price levels in the price range corresponding to each determined price level and calculating executable order volumes for each price level.

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: A data processing apparatus and method are provided for calculating an implied correlation and/or dispersion of an index that has a plurality of constituents. Data is received which describes properties of the index and properties of at least some of its constituents. An implied variance of the index and an implied variance of each of the at least some constituents are determined based on the received data. The implied correlation and/or dispersion of the index are calculated using the determined implied variances. A variance calculation scheme may be used which does not require the calculation of a volatility. Further, a model-free algorithm may be used to determine the implied valiances. Furthermore, an implied volatility of the index and an implied volatility for constituents may be determined from the implied variances.

Abstract: The present invention relates to an electronic trading system and a method for automatically performing an execution of an order from a market participant against a quote of a market maker. According to the present invention, an order from a market participant is executed against the matching quote of a market maker only, if a corresponding hedge transaction for mitigating the market maker's execution risk has been generated and successfully executed. Thereby the initial order and the hedge transaction preferably relate to different markets, such that the invention provides a conditional link between trades performed in these markets.

Abstract: The present invention provides an automated settlement system and method for receiving appropriate information, monitoring and controlling the timely interaction between the participants to settle trade and to guarantee the irrevocable and inseparable exchange of cash against securities. Two market participants which have agreed to exchange securities against cash forward their request to the automated settlement system of the present invention. The settlement system takes over control of the further procedure by initiating and monitoring a timely transfer of cash to a trust account, initiating and monitor the transfer of securities from the seller's securities deposit account to the buyer's securities deposit account, and to finally credit the seller's cash account. The central settlement system is responsible for involving and processing the interactions between the market participants, the custodians/((I)CSDs) and cash correspondent banks.