Brian Thomas Wolf

US Patent:

20090048982, Feb 19, 2009

Filed:

Aug 13, 2007

Appl. No.:

11/891746

Inventors:

Dean Payton - Glen Ellyn IL, US
Brian M. Wolf - Roselle IL, US

International Classification:

G06Q 40/00

US Classification:

705 36 R, 705 37

Abstract:

A computer assisted method of operating a venue of an exchange comprises the steps of providing a market for trading of a product, acquiring a measure of trading volume of the product, and developing a measure of open interest in the product. A relationship is calculated between the measure of trading volume and the measure of open interest. A settlement price is computed in accordance with the relationship, and the settlement price is published.

US Patent:

20120054084, Mar 1, 2012

Filed:

Jul 18, 2011

Appl. No.:

13/185344

Inventors:

Brian M. Wolf - Roselle IL, US
Scott D. Banke - Hinsdale IL, US
Barry Lee Galster - Chicago IL, US
Troy C. Kane - Chicago IL, US
Mina Al-Saadi - Chicago IL, US
Andrew P. Czupek - New Lenox IL, US

International Classification:

G06Q 40/00

US Classification:

705 37

Abstract:

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. The method 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 quantity of the derivative financial product of the first and second orders, respectively, to substantially achieve the specified ratio, rounding the first quantity of the underlying financial product to determine a first whole number quantity of the underlying financial product for the first order, generating a composite quantity of the underlying financial product based on the first and second quantities of the derivative financial product, 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 of the composite quantity and the first whole number quantity.

US Patent:

20130041801, Feb 14, 2013

Filed:

Jun 27, 2012

Appl. No.:

13/534416

Inventors:

Brian M. Wolf - Roselle IL, US
John F. Curran - Chicago IL, US
James W. Farrell - Wheaton IL, US
Paul J. Callaway - Chicago IL, US
Barry L. Galster - Chicago IL, US
Andrew Milne - Maplewood NJ, US
Giuseppe Scimeca - Chicago IL, US
Pearce Peck-Walden - Chicago IL, US
James Wilcox - Wheaton IL, US

International Classification:

G06Q 40/04

US Classification:

705 37

Abstract:

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.

US Patent:

20130117171, May 9, 2013

Filed:

Nov 3, 2011

Appl. No.:

13/288397

Inventors:

Ari Studnitzer - Northbrook IL, US
Andrew P. Czupek - New Lenox IL, US
Brian M. Wolf - Roselle IL, US

Assignee:

CHICAGO MERCANTILE EXCHANGE, INC. - Chicago IL

International Classification:

G06Q 40/04

US Classification:

705 37

Abstract:

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.

US Patent:

20140040062, Feb 6, 2014

Filed:

Aug 2, 2012

Appl. No.:

13/564886

Inventors:

Ari Studnitzer - Northbrook IL, US
Nathan Ball - Ogden Dunes IN, US
Giuseppe Scimeca - Chicago IL, US
John Scheerer - Frankfort IL, US
Christopher Reithel - New Lenox IL, US
Jacob Doornebos - Riverside IL, US
Brian Wolf - Roselle IL, US

Assignee:

CHICAGO MERCANTILE EXCHANGE INC. - Chicago IL

International Classification:

G06Q 30/06

US Classification:

705 263

Abstract:

Systems and methods are provided for scoring the use of financial market messages. Uses of messages that are efficient and/or improve market liquidity receive positive scores. Traders are charge fees or receive rewards that are dependent upon message quality scores.

US Patent:

20150073963, Mar 12, 2015

Filed:

Sep 11, 2013

Appl. No.:

14/024467

Inventors:

- Chicago IL, US
Brian M. Wolf - Roselle IL, US

Assignee:

Chicago Mercantile Exchange Inc. - Chicago IL

International Classification:

G06Q 40/04

US Classification:

705 37

Abstract:

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.

US Patent:

20150026033, Jan 22, 2015

Filed:

Oct 3, 2014

Appl. No.:

14/506196

Inventors:

- Chicago IL, US
Akira Yamaguchi - Chicago IL, US
Brian Wolf - Chicago IL, US
Pearce Peck-Walden - Chicago IL, US
James Wilcox - Chicago IL, US
James Bailey - Chicago IL, US
Neil Lustyk - Chicago IL, US
Katherine Patrick - Chicago IL, US
Paul A. Bauerschmidt - Chicago IL, US
Ari L. Studnitzer - Chicago IL, US
William J. Albert - Chicago IL, US
Paul J. Callaway - Chicago IL, US
James W. Farrell - Chicago IL, US
A. Shanthi Thiruthuvadoss - Chicago IL, US

International Classification:

G06Q 40/04
G06F 17/30

US Classification:

705 37

Abstract:

Protections against self-matching trade orders are disclosed which maximize liquidity/efficiency by reducing/minimizing unnecessary cancelations and/or resubmissions. Rather than automatically cancel or modify the incoming and/or self-matching counter orders, those resting counter orders, which would result in the occurrence of a self-match with an incoming order, are placed in a hold state or otherwise set aside such that the incoming order may be matched with other non-self-matching orders. The held orders are subsequently returned to the order book at the same, or different, priority to await a subsequent incoming order. Where the incoming order is not fully satisfied, only self-matching counter orders are identified or the return of held orders would result in a crossed order book, a trader may include instructions with the incoming order directing the system to cancel the self-matching resting orders, cancel the incoming order, decrementing the quantity of the larger of the incoming and self-matching resting orders by the quantity of the smaller thereof, or take some other action.

US Patent:

20140143123, May 22, 2014

Filed:

Jan 24, 2014

Appl. No.:

14/163097

Inventors:

- Chicago IL, US
Stanislav Liberman - Chicago IL, US
Neil A. Lustyk - Chicago IL, US
James Bailey - Chicago IL, US
Ashraf Ansari - Chicago IL, US
Pearce Peck-Walden - Chicago IL, US
John Scheerer - Chicago IL, US
Haifeng Zheng - Chicago IL, US
Matthew J. Kelly - Chicago IL, US
Brian M. Wolf - Chicago IL, US
Troy C. Kane - Chicago IL, US

Assignee:

Chicago Mercantile Exchange Inc. - Chicago IL

International Classification:

G06Q 40/04

US Classification:

705 37

Abstract:

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.