Out of Band Credit Control

Abstract

Systems and method for mediating risks associated with orders in an electronic trading system are provided. A front end component includes a plurality of trading engines that receive orders from traders. A back-end component includes a match system. The system includes a credit control module, which may be located at the back-end (e.g., clearinghouse), front end, a combination thereof, or other location that communicates with the plurality of trading engines. The credit control may monitor aggregate risk parameters for the trading engines and requests credits from trading engines.

We claim: 
     
         1 . A computing apparatus comprising:
 at least one computer processor; and   a computer memory storing computer-executable instructions that, when executed by the computer processor, cause the system to:
 receive outbound out-of-band data, wherein the outbound data comprises orders of a user; 
 process the outbound data to determine risk from trading activity of the user in a near real-time manner; 
 detect, by a credit control module using one or more rules, whether a predefined threshold of risk is exceeded by the trading activity of the user; and 
 generate, by the credit control module upon the detecting that the predefined threshold of risk is exceeded, an enforcement message, wherein the enforcement message is configured to prevent an exchange computer system from accumulating risk in at least one direction. 
   
     
     
         2 . The apparatus of  claim 1 , wherein the received executed orders are from a first trading engine, and wherein the computer memory stores further computer-executable instructions that, when executed by the computer processor, cause the system to:
 send a request, by the credit control module to a second trading engine, for an increase in credit capacity for the user.   
     
     
         3 . The apparatus of  claim 1 , wherein the processing of the outband data to determine risk includes calculating, by the credit control module, when a value of orders being placed at a first trading engine is approaching an aggregate risk parameter for that trading engine; and wherein the computer memory stores further computer-executable instructions that, when executed by the computer processor, cause the system to:
 send a request, by the credit control module, for a credit increase to a second trading engine.   
     
     
         4 . The apparatus of  claim 1 , wherein the processing of the outband data to determine risk comprises calculating, by the credit control module, when a number of orders being placed at a first trading engine exceeds a predetermined amount of a trading volume capacity for that trading engine; and wherein the computer memory stores further computer-executable instructions that, when executed by the computer processor, cause the system to:
 send a request, by the credit control module, for a credit increase to a second trading engine.   
     
     
         5 . The apparatus of  claim 1 , wherein the computer memory stores further computer-executable instructions that, when executed by the computer processor, cause the system to:
 send, by the credit control module, the enforcement message to an exchange computer system.   
     
     
         6 . The apparatus of  claim 5 , wherein the enforcement message comprises a maximum clip size set to a value that prevents accumulating risk in one direction while allowing orders that reduce risk. 
     
     
         7 . The apparatus of  claim 5 , wherein the enforcement message indicates that options trading is cutoff for the user with the exchange computer system. 
     
     
         8 . The apparatus of  claim 5 , wherein the enforcement message, upon receipt at a clearinghouse or exchange computer system, causes the system to prevent at least one of: further trading by a particular trader, further trading at a particular a trading engine, and halting trading of a particular product. 
     
     
         9 . The apparatus of  claim 1 , further comprising:
 a first trading engine; and   a second trading engine;   wherein the credit control module is configured to aggregate the received outbound data from at least the first trading engine and the second trading engine.   
     
     
         10 . The apparatus of  claim 9 , wherein the second trading engine transfers credit for execution of a placed order at the first trading engine. 
     
     
         11 . The apparatus of  claim 9 , wherein the credit control module further communicates the enforcement message to the first trading engine and the second trading engine, wherein the first trading engine is configured to reduce further trading using the first trading engine based on the enforcement message, and wherein the second trading engine is configured to reduce further trading using the second trading engine based on the enforcement message. 
     
     
         12 . The apparatus of  claim 1 , wherein the credit control module performs a credit check and the enforcement message includes results of the credit check, where the exchange computer system is communicable with the credit control module, and the credit control module is located outside of the exchange computer system. 
     
     
         13 . The apparatus of  claim 1 , wherein the enforcement message is a batch enforcement message. 
     
     
         14 . The apparatus of  claim 1 , wherein the one or more rules used by the credit control module in the detecting of risk consists of monitoring whether the user has lost more than a particular amount of money. 
     
     
         15 . A non-transitory computer-readable medium storing computer-executable instructions that, when executed by a computer processor, cause the processor to:
 receive out-of-band data related to at least one order associated with a trading engine, wherein the out-of-band data includes an aggregate risk parameter having a total credit value maximum and a feed of outbound data of an exchange computer system;   detect, by a credit control module, whether trading activity of a user corresponding to the out-of-band data results in losses exceeding a particular amount of money; and   generate, by the credit control module upon the detecting that the losses exceed the particular amount of money, an enforcement message, wherein the enforcement message is configured to prevent the exchange computer system from accumulating risk in at least one direction;   send the enforcement message to the exchange computer system.   
     
     
         16 . The computer-readable medium of  claim 15 , further comprise computer-executable instructions that, when executed by the computer processor, cause the processor to:
 compare a total credit value of the trading engine to the aggregate risk parameter of the trading engine;   determine that the total credit value is more than the aggregate risk parameter of the trading engine; and   send a second enforcement message requesting a credit value increase for the trading engine from a second trading engine.   
     
     
         17 . The computer-readable medium of  claim 15 , wherein the enforcement message, upon receipt at the exchange computer system, causes the system to perform at least one of: cancel the at least one order; request a credit value increase; notify the user; execute the at least one order; and execute a portion of the at least one order. 
     
     
         18 . The computer-readable medium of  claim 15 , wherein the detecting by a credit control module occurs in a near real-time manner, and wherein the enforcement message comprises a maximum clip size set to a value that prevents accumulating risk in one direction while allowing orders that reduce risk. 
     
     
         19 . A system comprising:
 a first trading engine;   a second trading engine;   at least one computer processor; and   at least one computer memory storing a credit control module that, when executed by a computer processor, cause the at least one processor to:
 receive out-of-band data from the first trading engine and the second trading engine, wherein the data comprises orders of a user, and wherein the data comprises an aggregate risk parameter having a total credit value maximum; 
 process the data, in a near real-time manner, to determine whether trading activity of the user results in losses exceeding a particular dollar amount; 
 generate, after the determining that the losses exceed the particular dollar amount, an enforcement message configured to prevent the first trading engine from accumulating risk in at least one direction; 
 send the enforcement message to the first trading system. 
   
     
     
         20 . The system of  claim 19 , wherein the first trading engine and the second trading engine are located in the exchange computer system, and the credit control module is located outside of the exchange computer system.