US 12,223,548 B2
Liquidation cost calculation
Adam Olszewski, London (GB); Dmitriy Glinberg, Northbrook, IL (US); Edmund Li, Chicago, IL (US); and Feliks Landa, Glenview, IL (US)
Assigned to Chicago Mercantile Exchange Inc., Chicago, IL (US)
Filed by Chicago Mercantile Exchange Inc., Chicago, IL (US)
Filed on Dec. 18, 2023, as Appl. No. 18/542,923.
Application 18/542,923 is a continuation of application No. 17/681,904, filed on Feb. 28, 2022, granted, now 11,887,194.
Application 17/681,904 is a continuation of application No. 16/835,860, filed on Mar. 31, 2020, granted, now 11,295,388, issued on Apr. 5, 2022.
Application 16/835,860 is a continuation of application No. 15/442,194, filed on Feb. 24, 2017, granted, now 10,643,282, issued on May 5, 2020.
Application 15/442,194 is a continuation of application No. 14/450,632, filed on Aug. 4, 2014, abandoned.
Prior Publication US 2024/0144376 A1, May 2, 2024
This patent is subject to a terminal disclaimer.
Int. Cl. G06Q 40/06 (2012.01); G06Q 40/04 (2012.01)
CPC G06Q 40/06 (2013.01) [G06Q 40/04 (2013.01); G05B 2219/35211 (2013.01)] 21 Claims
OG exemplary drawing
 
1. A computer implemented method comprising:
identifying, by a processor in a data structure coupled therewith which stores data indicative of a set of positions in a set of outright-traded products, another set of positions in a another set of products counter to and which offset one or more of the positions in the set of positions, the other set of products being selected from a plurality of outright-traded products and/or a plurality of spread-traded products each formed by a combination of two or more of the plurality of outright-traded products, wherein each of the positions in the other set is associated with an estimated effect on a cost to obtain that position;
maximizing, by the processor, a number of positions in the set of positions that are offset by a subset of the other set of positions while minimizing a cumulative cost to obtain the subset of the other set of positions, including reducing a number of combinations in the other set to evaluate by:
determining, by the processor, a set of estimated allocations of the set of positions in each of the set of outright-traded products among each of the positions in the other set; and
determining, iteratively by the processor using the set of estimated allocations and the estimated effect on the cost to obtain the position associated with each position of the other set, the estimated allocation of the set of estimated allocations that is characterized by a lowest cumulative estimated effect on the cost to obtain those positions of the other set; and
outputting, by the processor, data indicating at least a portion of a performance bond for the set of positions, subsequent to being offset by the subset of the other set of position, based on the determined lowest cumulative estimated effect on the cost to obtain those positions of the other set.