Patent ID: 9607338
Date: 2017-03-28
CPC Classifications: G06Q

Claim:
1. A method of protecting against in-flight fills at an exchange, the method comprising: (a) receiving, at a processor of an order risk management module, derivative product order risk data including at least one threshold value corresponding to at least one order risk parameter; (b) receiving, at the processor of the order risk management module from a computing device of a trader an order for a derivative product that has a variable defined order price; (c) at the processor of the order risk management module, utilizing the derivative product order and a trader's current order risk utilization state to calculate utilization data, wherein the utilization data is calculated using the derivative product order and the trader's current order risk utilization state; and (d) processing the derivative product order at the processor of the order risk management module in a manner that is a function of the derivative product order risk data and the utilization data, wherein the processing comprises determining that the trader's current order risk utilization state exceeds a threshold value, and then cancelling all of the trader's resting orders at the exchange to protect against in-flight fills; wherein the variable defined order price of the derivative product is a function of an original order price, an updated price of an underlying product and at least one price determination variable value based on a predetermined formula.