Granted Patent B1

US 12,586,129 · App. 17/738,406 · Granted Mar 24, 2026

Inventors: John Paul Scheerer (Frankfort, IL); Matthew Wayne Haynes (Chicago, IL); Francis Michael Cismoski (Mokena, IL); Andrew Peter Paso (Chicago, IL); Supreet Dhillon (Northbrook, IL); Paul Alan Millhuff (Tinley Park, IL); David Earl Swanson (Aurora, IL); James Allen Bailey (Western Springs, IL); Michal Pawel Rys (Elk Grove Village, IL)

Assignee: Chicago Mercantile Exchange Inc.

G06Q40/04

Abstract

Claims (70)

1 . A computer implemented method including:

determining, by a processor, a base value range based on a plurality of base electronic request messages including valid base transaction requests for a base product and without regard for any transactions for a related product different from the base product, base transaction requests being valid when within the base value range;

determining, by the processor, a related value range, the related value range based on a plurality of related electronic request messages including valid related transaction requests for the related product, related transaction requests being valid when within both the base value range and the related value range;

receiving, by the processor and via an electronic communications network, an incoming related electronic request message including an incoming related transaction request;

extracting, by the processor, data indicative of value for the incoming related transaction request from the incoming related electronic request message;

storing the data indicative of value in a first memory location;

comparing, by the processor in a first range comparison operation on the first memory location, the data indicative of value to the base value range to determine that the incoming related transaction request is outside of the base value range and is therefore invalid;

comparing, by the processor in a second range comparison operation on the first memory location, the data indicative of value to the related value range to determine whether the incoming related transaction request is inside of the related value range; and

aborting, based on determining that the incoming related transaction request is outside of the base value range, processing of the incoming related transaction request to prevent adjustment of the related value range in response to incoming related transaction request.

2 . The method of claim 1 , where:

the base value range is based on a base center value for the base product, the base center value based on values associated with the plurality of base electronic request messages including the valid base transaction requests; and

the related value range is based on a related center value for the related product, the related center value based on values associated with the plurality of related electronic request messages including the valid related transaction requests.

3 . The method of claim 2 , where:

the base value range extends a predetermined number of value increments above and below the base center value; and

the related value range extends the predetermined number of value increments above and below the related center value.

4 . The method of claim 1 , wherein determining whether the incoming related transaction request is within the related value range includes determining that the incoming related transaction request is within the related value range; and

the method further includes proceeding, after comparison with the related value range, to execute comparison with the base value range in lieu of aborting processing of the incoming related transaction request based on comparison with the related value range alone.

5 . The method of claim 1 , further including:

receiving, by the processor and via the electronic communications network, a second incoming related electronic request message including a second incoming related transaction request that is within the related value range and the base value range;

processing the second incoming related transaction request by:

determining that the second incoming related transaction request is within the base value range;

determining that the second incoming related transaction request is within the related value range; and

invoking velocity logic based on the second incoming related transaction request, the velocity logic configured to, when invoked, execute anomalous condition messaging to effect, at least in part, a request halt for the related product.

6 . The method of claim 1 , where aborting the processing of the incoming related transaction request includes preventing partial matching of the incoming related transaction request that results in a partial satisfaction of the incoming related transaction request within the base value range.

7 . The method of claim 1 , where aborting the processing of the incoming related transaction request includes preventing the incoming related transaction request from being forwarded to a match engine for match to a counterpart transaction request.

8 . The method of claim 1 , where aborting the processing of the incoming related transaction request includes preventing entry of the incoming related transaction request in an order book database for a financial products market.

9 . A system including:

an electronic communications network;

a processor in data communication with the electronic communications network; and

memory including executable instructions configured to cause the processor to:

determine a base value range based on a plurality of base electronic request messages including valid base transaction requests for a base product and without regard for any transactions for a related product different from the base product, base request transactions being valid when within the base value range;

determine a related value range, the related value range based on a plurality of related electronic request messages including valid related transaction requests for the related product, related transaction requests being valid when within both the base value range and the related value range;

invoke, when the related value range undergoes an above-threshold adjustment, velocity logic,

the velocity logic configured to, when invoked, execute anomalous condition messaging to effect, at least in part, a request halt for the related product;

receive, via the electronic communications network, one or more incoming related electronic request messages including one or more incoming related transaction requests within the related value range, the one or more incoming related transaction requests having an effect corresponding to the above-threshold adjustment;

extract data indicative of value for the one or more incoming related transaction requests from the one or more incoming related electronic request messages;

store the data indicative of value in a first memory location;

compare, in a first range comparison operation on the first memory location, the data indicative of value to the base value range to determine that each of the one or more incoming related transaction requests are outside of the base value range;

compare, in a second range comparison operation on the first memory location, the data indicative of value to the related value range to determine whether the incoming related transaction request is inside of the related value range; and

invalidate, based on determining that each of the one or more incoming related transaction requests are outside of the base value range, the one or more incoming related transaction requests and thereby prevent invocation of the velocity logic.

10 . The system of claim 9 , where the above-threshold adjustment includes a change in a related center value of the related product above a threshold magnitude defined based on a time interval within which the change to the related center value occurs.

11 . The system of claim 9 , where the request halt for the related product includes rejection of any new electronic request messages for the related product for a duration of the request halt.

12 . The system of claim 11 , where the anomalous condition messaging includes:

first messaging to indicate application of the request halt to one or more client nodes on the electronic communications network; and

second messaging to sources for any such new electronic request messages for the related product to provide notification of rejection.

13 . The system of claim 9 , where:

the base product includes contract for a first volume of an asset; and

the related product includes a contract for a second volume of the asset, the second volume different than the first volume.

14 . The system of claim 9 , where the executable instructions are further configured to cause the processor to abort processing of the one or more incoming related transaction requests to invalidate the one or more incoming related transaction requests.

15 . The system of claim 9 , where the executable instructions are further configured to cause the processor to prevent entry of the one or more incoming related transaction requests in an order book database for a financial products market to invalidate the one or more incoming related transaction requests.

16 . A system including:

means for determining a base value range based on a plurality of valid base electronic request messages including base transaction requests for a base product and without regard for any transactions for a related product different from the base product, base transaction requests being valid when within the base value range;

means for determining a related value range, the related value range based on a plurality of valid related electronic request messages including related transaction requests for the related product, related transaction requests being valid when within both the base value range and the related value range;

means for invoking, when the related value range undergoes an above-threshold adjustment, velocity logic,

the velocity logic configured to, when invoked, execute anomalous condition messaging to effect, at least in part, a request halt for the related product;

means for receiving, via an electronic communications network, one or more incoming related electronic request messages including one or more incoming related transaction requests within the related value range, the one or more incoming related transaction requests having an effect corresponding to the above-threshold adjustment;

means for extracting data indicative of value for the one or more incoming related transaction requests from the one or more incoming related electronic request messages;

means for storing the data indicative of value in a first memory location;

means for comparing, in a second range comparison operation on the first memory location, the data indicative of value to the base value range to determine that each of the one or more incoming related transaction requests are outside of the base value range and are therefore invalid;

means for comparing, in a second range comparison operation on the first memory location, the data indicative of value to the related value range to determine whether the incoming related transaction request is inside of the related value range; and

means for invalidating, based on determining that each of the one or more incoming related transaction requests are outside of the base value range, the one or more incoming related transaction requests and thereby prevent invocation of the velocity logic.

17 . The system of claim 16 , where the above-threshold adjustment includes a change in a related center value of the related product above a threshold magnitude defined based on a time interval within which the change to the related center value occurs.

18 . The system of claim 16 , where the request halt for the related product includes rejection of any new electronic request messages for the related product for a duration of the request halt.

19 . The system of claim 18 , where the anomalous condition messaging includes:

first messaging to indicate application of the request halt to one or more client nodes on the electronic communications network; and

second messaging to sources for any such new electronic request messages for the related product to provide notification of rejection.

20 . The system of claim 16 , where:

the base product includes contract for a first volume of an asset; and

the related product includes a contract for a second volume of the asset, the second volume different than the first volume.

21 . The system of claim 16 , further including means for invalidating the one or more incoming related transaction requests includes means for preventing the one or more incoming related transaction requests from being forwarded to a match engine for match to one or more counterpart transaction requests.

Assignments (1)

References Cited (11)