Patent ID: 11900461
Assignee: LIFFE ADMINISTRATION AND MANAGEMENT
Field: IT methods for management (Electrical engineering)
Classification: CPC G | IPC G

Claim 2:
3. The non-transitory computer-readable medium of claim 1, wherein the one or more orders and the one or more counter orders form transaction data, the generating of the new price for the shares in the securities to be exchanged further comprises:
calculating a first delta percentage between the transaction data and an index based on an amount of securities to be exchanged, the price for the amount of securities to be exchanged, and a live index value among the one or more live index values;
applying the first delta percentage equally to each underlying component of the securities to be exchanged, thereby generating a new component security price for each of said at least one underlying component;
calculating a residual delta based on the first delta percentage and an index notional value; and
adjusting one or more of the new component security prices by a minimum tick size based on the residual delta.