| CPC G06Q 40/04 (2013.01) [G06Q 40/06 (2013.01)] | 22 Claims |
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1. A computer implemented method comprising:
receiving, by a processor, a sequence of data records for a target financial instrument, each data record of the sequence of data records associated with a timestamp and including a near settlement price and a deferred settlement price;
determining, by the processor, a number of units of a target futures contract associated with a starting capital amount based on the near settlement price of an earliest data record of the sequence of data records with an earliest timestamp, wherein the number of units of the target financial instrument is initially calculated as:
Units=Starting Capital/(Settlement_Nearby_EarliestTimestamp*Multiplier), wherein the Starting Capital is the starting capital amount, the Settlement_Nearby_EarliestTimestamp is the near settlement price of the earliest data record with the earliest timestamp, and the Multiplier is a target futures contract multiplier;
processing, by the processor, each data record of the sequence of data records in order, wherein the processing includes:
determining, by the processor, whether to update the number of units of the target financial instrument based on whether the target financial instrument is within a threshold of a delivery date;
upon determining that the number of units of the target financial instrument should be updated, updating, by the processor, the number of units of the target financial instrument based thereon as:
Units=Capital/(Settlement_Deferred_CurrentTimestamp*Multiplier), wherein the Capital is the capital amount at the time of update and the Settlement_Deferred_CurrentTimestamp is the deferred settlement price of the data record with the timestamp at the time of update; and
determining, by the processor, a profit and loss (“PNL”) for the data record based on the number of units of the target financial instrument and a change in settlement price between a settlement price for each data record of the sequence of data records being processed and a settlement price for a previously processed data record;
calculating, by the processor, a tracking value for the target financial instrument based on the PNLs of the sequence of data records, wherein the calculating of the tracking value includes using a formula that includes PNL, a previous capital, and interest earned as inputs;
generating, automatically by the processor, at least one tracking financial instrument having a value that is automatically determined from the tracking value for the target financial instrument; and
upon completion of the generating, automatically introducing, by the processor, the at least one tracking financial instrument into a financial instrument exchange market via an exchange computing system where the at least one tracking financial instrument is automatically listed for trading.
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