Patents by Inventor Brian M. Wolf
Brian M. Wolf has filed for patents to protect the following inventions. This listing includes patent applications that are pending as well as patents that have already been granted by the United States Patent and Trademark Office (USPTO).
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Publication number: 20230072217Abstract: An electronic trading system utilizes a Match Engine that receives orders, stores them internally, calculates tradable combinations and advertises the availability of real and implied orders in the form of market data. New tradable items defined as combinations of other tradable items may be included in the calculation of tradable combinations. A technique is disclosed for suppression of the calculation and/or subsequent listing of an implied order when the order is either undesired or unnecessary in the market therefore.Type: ApplicationFiled: November 14, 2022Publication date: March 9, 2023Applicant: Chicago Mercantile Exchange Inc.Inventors: Brian M. Wolf, John F. Curran, James W. Farrell, Paul J. Callaway, Barry Galster, Andrew Milne, Giuseppe Scimeca, Pearce Peck-Walden, James Wilcox
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Patent number: 11526939Abstract: An electronic trading system utilizes a Match Engine that receives orders, stores them internally, calculates tradable combinations and advertises the availability of real and implied orders in the form of market data. New tradable items defined as combinations of other tradable items may be included in the calculation of tradable combinations. A technique is disclosed for suppression of the calculation and/or subsequent listing of an implied order when the order is either undesired or unnecessary in the market therefore.Type: GrantFiled: January 7, 2019Date of Patent: December 13, 2022Assignee: Chicago Mercantile Exchange Inc.Inventors: Brian M. Wolf, John F. Curran, James W. Farrell, Paul J. Callaway, Barry Galster, Andrew Milne, Giuseppe Scimeca, Pearce Peck-Walden, James Wilcox
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Publication number: 20190139140Abstract: An electronic trading system utilizes a Match Engine that receives orders, stores them internally, calculates tradable combinations and advertises the availability of real and implied orders in the form of market data. New tradable items defined as combinations of other tradable items may be included in the calculation of tradable combinations. A technique is disclosed for suppression of the calculation and/or subsequent listing of an implied order when the order is either undesired or unnecessary in the market therefore.Type: ApplicationFiled: January 7, 2019Publication date: May 9, 2019Inventors: Brian M. Wolf, John F. Curran, James W. Farrell, Paul J. Callaway, Barry Galster, Andrew Milne, Giuseppe Scimeca, Pearce Peck-Walden, James Wilcox
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Patent number: 10204377Abstract: An electronic trading system utilizes a Match Engine that receives orders, stores them internally, calculates tradable combinations and advertises the availability of real and implied orders in the form of market data. New tradable items defined as combinations of other tradable items may be included in the calculation of tradable combinations. A technique is disclosed for suppression of the calculation and/or subsequent listing of an implied order when the order is either undesired or unnecessary in the market therefore.Type: GrantFiled: June 27, 2012Date of Patent: February 12, 2019Assignee: Chicago Mercantile Exchange Inc.Inventors: Brian M. Wolf, John F. Curran, James W. Farrell, Paul J. Callaway, Barry L. Galster, Andrew Milne, Giuseppe Scimeca, Pearce Peck-Walden, James Wilcox
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Publication number: 20150073963Abstract: The disclosed embodiments relate to systems and methods which match/allocate an incoming order to trade with “resting,” i.e. previously received but not yet matched, orders. A primary volume of the aggressor order is allocated to a first subset of orders of the set of previously received orders based on a first matching procedure in partial satisfaction of the aggressor order. A residual volume of the aggressor order remaining after the partial satisfaction of the aggressor order is computed. Unfilled orders of the set of previously received orders are arranged in a ranking based on a second matching procedure independent of order size. A predetermined, level quantity of the aggressor order is allocated to each order in a second subset of the set of previously received orders in accordance with the ranking until the residual volume is exhausted.Type: ApplicationFiled: September 11, 2013Publication date: March 12, 2015Applicant: Chicago Mercantile Exchange Inc.Inventors: Troy McDonald Kane, Brian M. Wolf
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Publication number: 20140304138Abstract: A method of order allocation is disclosed. The method includes receiving an incoming order, establishing an inner market representing a first portion of an order book which may be defined as a function of an inner market parameter, designating the first portion of the order book as a priority and allocating the first portion of the received incoming order based on the priority, establishing an outer market that represents a second portion of the order book that includes the remainder of the order book not represented by the inner market of the order book, assigning the received incoming order to one of the inner or outer markets as a function of the inner market parameter, allocating a first portion of the incoming order to the inner market utilizing a first-in, first-out (FIFO) algorithm, and allocating a second portion, in excess of the first portion, of the incoming order to the outer market using a pro-rata algorithm.Type: ApplicationFiled: April 4, 2014Publication date: October 9, 2014Applicant: CHICAGO MERCANTILE EXCHANGE INC.Inventors: Andrew P. Czupek, Bryan T. Durkin, Thomas G. McCabe, Brian M. Wolf, Donald M. Cuba, Jonathan G. Kronstein, Troy C. Kane
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Publication number: 20140164209Abstract: A method allocates quantities of an underlying financial product for a plurality of orders, each being for a quantity of a derivative financial product counter to a previously received order for the derivative financial product and characterized by a ratio of the quantity of the derivative financial product to a quantity of the underlying financial product, and includes receiving first and second orders for quantities of the derivative financial product, computing first and second quantities of the underlying financial product, based on the first and second orders to achieve the ratio, rounding the first quantity to determine a first whole number quantity, generating a composite quantity of the underlying financial product based on the first and second quantities, generating a rounded representation of the composite quantity, and determining a second whole number quantity of the underlying financial product based on the rounded representation and the first whole number quantity.Type: ApplicationFiled: December 6, 2013Publication date: June 12, 2014Applicant: Chicago Mercantile Exchange Inc.Inventors: Brian M. Wolf, Scott D. Banke, Barry Lee Galster, Troy C. Kane, Mina Al-Saadi, Andrew P. Czupek
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Publication number: 20140143117Abstract: A method of order allocation is disclosed. The method includes receiving an incoming order, establishing an inner market representing a first portion of an order book which may be defined as a function of an inner market parameter, designating the first portion of the order book as a priority and allocating the first portion of the received incoming order based on the priority, establishing an outer market that represents a second portion of the order book that includes the remainder of the order book not represented by the inner market of the order book, assigning the received incoming order to one of the inner or outer markets as a function of the inner market parameter, allocating a first portion of the incoming order to the inner market utilizing a first-in, first-out (FIFO) algorithm, and allocating a second portion, in excess of the first portion, of the incoming order to the outer market using a pro-rata algorithm.Type: ApplicationFiled: September 13, 2013Publication date: May 22, 2014Applicant: Chicago Mercantile Exchange Inc.Inventors: Andrew P. Czupek, Bryan T. Durkin, Thomas G. McCabe, Brian M. Wolf, Donald M. Cuba, Jonathan G. Kronstein, Troy C. Kane
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Publication number: 20140143123Abstract: 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.Type: ApplicationFiled: January 24, 2014Publication date: May 22, 2014Applicant: Chicago Mercantile Exchange Inc.Inventors: Scott D. Banke, Stanislav Liberman, Neil A. Lustyk, James Bailey, Ashraf Ansari, Pearce Peck-Walden, John Scheerer, Haifeng Zheng, Matthew J. Kelly, Brian M. Wolf, Troy C. Kane
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Patent number: 8732062Abstract: A method of order allocation is disclosed. The method includes receiving an incoming order, establishing an inner market representing a first portion of an order book which may be defined as a function of an inner market parameter, designating the first portion of the order book as a priority and allocating the first portion of the received incoming order based on the priority, establishing an outer market that represents a second portion of the order book that includes the remainder of the order book not represented by the inner market of the order book, assigning the received incoming order to one of the inner or outer markets as a function of the inner market parameter, allocating a first portion of the incoming order to the inner market utilizing a first-in, first-out (FIFO) algorithm, and allocating a second portion, in excess of the first portion, of the incoming order to the outer market using a pro-rata algorithm.Type: GrantFiled: October 7, 2008Date of Patent: May 20, 2014Assignee: Chicago Mercantile Exchange Inc.Inventors: Andrew P. Czupek, Bryan T. Durkin, Thomas G. McCabe, Brian M. Wolf, Donald M. Cuba, Jonathan G. Kronstein, Troy C. Kane
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Patent number: 8660936Abstract: 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.Type: GrantFiled: October 2, 2012Date of Patent: February 25, 2014Assignee: Chicago Mercantile Exchange Inc.Inventors: Scott D. Banke, Stanislav Liberman, Neil A. Lustyk, James Bailey, Ashraf Ansari, Pearce Peck-Walden, John Scheerer, Haifeng Zheng, Matthew J. Kelly, Brian M. Wolf, Troy C. Kane
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Patent number: 8566218Abstract: A method of order allocation is disclosed. The method includes receiving an incoming order, establishing an inner market representing a first portion of an order book which may be defined as a function of an inner market parameter, designating the first portion of the order book as a priority and allocating the first portion of the received incoming order based on the priority, establishing an outer market that represents a second portion of the order book that includes the remainder of the order book not represented by the inner market of the order book, assigning the received incoming order to one of the inner or outer markets as a function of the inner market parameter, allocating a first portion of the incoming order to the inner market utilizing a first-in, first-out (FIFO) algorithm, and allocating a second portion, in excess of the first portion, of the incoming order to the outer market using a pro-rata algorithm.Type: GrantFiled: October 7, 2008Date of Patent: October 22, 2013Assignee: Chicago Mercantile Exchange Inc.Inventors: Andrew P. Czupek, Bryan T. Durkin, Thomas G. McCabe, Brian M. Wolf, Donald M. Cuba, Jonathan G. Kronstein, Troy C. Kane
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Publication number: 20130117171Abstract: Prices for instances of an exchange-traded contract type can be submitted using one or more of at least two types of order pricing data. Explicit order pricing data may specify a price for one or more contracts in a first manner, e.g., by explicitly stating a specific amount of currency. Relational order pricing data may provide information that permits determination of prices for contracts based on other data.Type: ApplicationFiled: November 3, 2011Publication date: May 9, 2013Applicant: CHICAGO MERCANTILE EXCHANGE, INC.Inventors: Ari Studnitzer, Andrew P. Czupek, Brian M. Wolf
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Publication number: 20130041801Abstract: An electronic trading system utilizes a Match Engine that receives orders, stores them internally, calculates tradable combinations and advertises the availability of real and implied orders in the form of market data. New tradable items defined as combinations of other tradable items may be included in the calculation of tradable combinations. A technique is disclosed for suppression of the calculation and/or subsequent listing of an implied order when the order is either undesired or unnecessary in the market therefore.Type: ApplicationFiled: June 27, 2012Publication date: February 14, 2013Inventors: Brian M. Wolf, John F. Curran, James W. Farrell, Paul J. Callaway, Barry L. Galster, Andrew Milne, Giuseppe Scimeca, Pearce Peck-Walden, James Wilcox
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Publication number: 20120054084Abstract: In an Exchange which assigns only a whole number/integer representation of a computed number of futures contracts to a covered order for one or more option contracts, a method allocates quantities of an underlying financial product in connection with a plurality of orders, each being for a quantity of a derivative financial product derived from the underlying financial product and each being counter to a previously received order for a quantity of the derivative financial product, the previously received order being further characterized by a specified ratio of the quantity of the derivative financial product thereof to a quantity of the underlying financial product.Type: ApplicationFiled: July 18, 2011Publication date: March 1, 2012Inventors: Brian M. Wolf, Scott D. Banke, Barry Lee Galster, Troy C. Kane, Mina Al-Saadi, Andrew P. Czupek
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Publication number: 20110047104Abstract: A method of allocating a quantity of an incoming order to a plurality of standing orders, wherein the plurality of standing orders are contra to the incoming order and have an identical price is disclosed. The method includes allocating a first portion of the quantity of the incoming order to a first subset of the plurality of standing orders, wherein each order comprising the first subset is designated with a priority; allocating a second portion of the quantity of the incoming order to a second subset of the plurality of standing orders, wherein each order comprising the second subset was submitted by a preferred trader; allocating a third portion of the quantity of the incoming order to a third subset of the plurality of standing orders in accordance with when each order comprising the third subset was received; and allocating a fourth portion of the quantity of the incoming order to a fourth subset of the plurality of standing order proportionally.Type: ApplicationFiled: November 4, 2010Publication date: February 24, 2011Inventors: Andrew Czupek, Bryan T. Durkin, Thomas G. McCabe, Brian M. Wolf, Donald M. Cuba, Jonathan Kronstein, Troy C. Mathe
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Patent number: 7853499Abstract: A method of allocating a quantity of an incoming order for a product develops a value that indicates a portion of the incoming order this is to be allocated using a FIFO algorithm and allocates a first portion of the incoming order to standing orders using the FIFO algorithm. The method further allocates a second portion of the incoming order to standing orders using a pro-rata algorithm, wherein the step of allocating the second portion leaves a remaining quantity of the incoming order. In addition, the method allocates the remaining portion to the standing orders using a FIFO algorithm.Type: GrantFiled: March 29, 2007Date of Patent: December 14, 2010Assignee: Board of Trade of the City of ChicagoInventors: Andrew Czupek, Bryan T. Durkin, Thomas G. McCabe, Brian M. Wolf, Donald M. Cuba, Jonathan Kronstein, Troy C. Mathe
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Publication number: 20100088216Abstract: A method of order allocation is disclosed. The method includes receiving an incoming order, establishing an inner market representing a first portion of an order book which may be defined as a function of an inner market parameter, designating the first portion of the order book as a priority and allocating the first portion of the received incoming order based on the priority, establishing an outer market that represents a second portion of the order book that includes the remainder of the order book not represented by the inner market of the order book, assigning the received incoming order to one of the inner or outer markets as a function of the inner market parameter, allocating a first portion of the incoming order to the inner market utilizing a first-in, first-out (FIFO) algorithm, and allocating a second portion, in excess of the first portion, of the incoming order to the outer market using a pro-rata algorithm.Type: ApplicationFiled: October 7, 2008Publication date: April 8, 2010Inventors: Andrew P. Czupek, Bryan T. Durkin, Thomas G. McCabe, Brian M. Wolf, Donald M. Cuba, Jonathan G. Kronstein, Troy C. Kane
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Publication number: 20100088214Abstract: A method of order allocation is disclosed. The method includes receiving an incoming order, establishing an inner market representing a first portion of an order book which may be defined as a function of an inner market parameter, designating the first portion of the order book as a priority and allocating the first portion of the received incoming order based on the priority, establishing an outer market that represents a second portion of the order book that includes the remainder of the order book not represented by the inner market of the order book, assigning the received incoming order to one of the inner or outer markets as a function of the inner market parameter, allocating a first portion of the incoming order to the inner market utilizing a first-in, first-out (FIFO) algorithm, and allocating a second portion, in excess of the first portion, of the incoming order to the outer market using a pro-rata algorithm.Type: ApplicationFiled: October 7, 2008Publication date: April 8, 2010Inventors: Andrew P. Czupek, Bryan T. Durkin, Thomas G. McCabe, Brian M. Wolf, Donald M. Cuba, Jonathan G. Kronstein, Troy C. Kane
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Publication number: 20100088215Abstract: A method of order allocation is disclosed. The method includes receiving an incoming order, establishing an inner market representing a first portion of an order book which may be defined as a function of an inner market parameter, designating the first portion of the order book as a priority and allocating the first portion of the received incoming order based on the priority, establishing an outer market that represents a second portion of the order book that includes the remainder of the order book not represented by the inner market of the order book, assigning the received incoming order to one of the inner or outer markets as a function of the inner market parameter, allocating a first portion of the incoming order to the inner market utilizing a first-in, first-out (FIFO) algorithm, and allocating a second portion, in excess of the first portion, of the incoming order to the outer market using a pro-rata algorithm.Type: ApplicationFiled: October 7, 2008Publication date: April 8, 2010Inventors: Andrew P. Czupek, Bryan T. Durkin, Thomas G. McCabe, Brian M. Wolf, Donald M. Cuba, Jonathan G. Kronstein, Troy C. Kane