Cboe Exchange, Inc.

An exchange computer system for multicast communication on an exchange network, the computer system comprising: at least one communication interface configured to bridge communication between liquidity providers and at least one liquidity consumer; and a trading engine configured to perform operations of: receiving liquidity offers from liquidity providers having a range of transaction sizes; establishing a series of liquidity pools for the liquidity offers, each liquidity pool corresponding to a transaction size; filtering the liquidity offers in each liquidity pool such that a top-of-the-book offer from each liquidity pool is streamed to the at least one liquidity consumer using the multicast communication; in response to matching a transaction request with a liquidity offer, executing a transaction; and in response to executing the transaction, updating the liquidity pool accordingly so that data from the updated liquidity pool is streamed to the at least one liquidity consumers using the multicast communication.

Systems, methods, devices, and non-transitory, computer-readable storage media are disclosed for execution of an order including a first portion and a second portion. A trading computer system includes a routing system and a processor configured to: determine that a leg of the first type is satisfied at a first computer network destination and a leg of the second type is satisfied at a second computer network destination; transmit a second electronic message to the first computer network destination and a third electronic message to the second computer network destination; receive a confirmation electronic message indicating that the leg of the first type and the leg of the second type were executed substantially simultaneously; generate an execution report that indicates that the leg of the first type and the leg of the second type were substantially executed simultaneously; and transmit the execution report to a portable electronic device.

An exchange computer system includes: at least one communication interface; a crossing facility configured to perform operations of: retrieving portfolio data encoding asset positions, a current measurement of capital efficiency, and participant-configured transaction portfolio attributes for at least two participants, wherein the participant-configured transaction portfolio attributes comprise a goal of capital efficiency, a transaction cost limit, and portfolio limits for each of the at least two participants; and performing a crossing operation between the portfolios of two of the at least two participants so that the at least two participants can each set and forget the respective transaction portfolio attributes by: based on the portfolio data of the two participants, identifying a network of single-leg transactions; and in response to determining that executing the network of single-leg transactions would not violate the transaction cost limit and the portfolio limits of each participant, executing the network of single-leg transactions.

An exchange computer system for improving risk management is described. A user may create a risk profile that includes a risk threshold, and may identify a set of one or more security transaction orders to be associated with the risk profile. The exchange computer system may receive the risk profile from a user device, determine that the set of one or more security transaction orders are associated with the risk profile, and monitor the one or more security transaction orders included in the set. Based on the monitoring, the exchange computer system may determine that the risk threshold is satisfied. In response to determining that the risk threshold is satisfied, the exchange computer system may alert the user and cancel the one or more security transaction orders included in the set.

Implementations provide an exchange computer system including at least one communication interface connecting a plurality of remote computing devices with the exchange computer system; a matching engine comprising at least one hardware processor configured to perform operations of: receiving, from a remote computing device, data encoding a first conditional transaction request; identifying a second transaction request that is a likely match for the first conditional transaction request when the first conditional transaction request is at least partially met by the second transaction request; transmitting, to the remote computing device, data encoding an invitation for the submitting user to firm up the first conditional transaction request; and responsive to receiving a reply indicating that the submitting user firms up the first conditional transaction request, executing the first conditional transaction request and the second transaction request such that the exchange computer allows the submitting user to conduct exchanges with algorithm-driven agents.

An exchange computer system, a method, and non-transitory computer-readable storage media for generating anonymized price values. The computer system includes a liquidity engine having one or more processors with machine-readable instructions that, when executed, cause the one or more processors to perform operations including receiving data from one or more liquidity providers, anonymizing the received data to remove identification information that is descriptive of the one or more liquidity providers, determining a midpoint price of a financial instrument based on the anonymized data, and determining a bid-offer spread corresponding to the midpoint price based on the anonymized data, and a transceiver coupled to the one or more processors of the liquidity engine and configured to transmit the midpoint price and the bid-offer spread over a computer network to one or more computing devices associated with a market participant.

Systems and techniques are described for implementing quote depletion protection via an exchange computer system. In some implementations, a financial instrument transaction order (e.g., a midpoint discretionary order for a financial instrument) with an instruction to apply quote depletion protection is received from a user device. Market conditions associated with the financial instrument transaction order (e.g., a National Best Bid (“NBB”) or National Best Offer (“NBO”)) are monitored. A quote depletion protection profile related to the financial instrument transaction order is accessed. An operation is then performed based on the market conditions and the quote depletion protection profile. The operation includes preventing execution of the order at a price between the NBB and NBO, or preventing execution of the order at a price between the NBB and NBO unless it can be executed at less than a threshold price differential relative to the NBB or NBO.

An exchange computer system and methods for using a moneyness index to provide a simplified and user-friendly way for users to trade daily positive or negative returns of an asset. A trade contract is built around a standardized index that tracks the return of an asset over a given period of time.

An exchange computer system, a method, and non-transitory computer-readable storage media for generating an implied liquidity index and values. The exchange computer system receives data related to a plurality of stocks, data related to a stock market index, and data related to a plurality of stock options. The exchange computer system selects a plurality of component stock options, determines a quantity of available stock option contracts for each of the stock options in the plurality of component stocks options, applies one or more of (i) a price normalization, (ii) a relative bid-ask spread normalization, or (iii) an expiry normalization. The exchange computer system determines an option contract multiplier and generates, for a particular period of time, an implied liquidity index value based the option contract multiplier and the applied normalization and transmits the implied liquidity index value to a device connected to the exchange computer system.

A method for virtual floor trading implemented via an exchange system includes establishing a secure connection with a first market participant and transmitting, to a computing device associated with a first market participant, data causing a graphical user interface (GUI) of the computing device to render a graphical representation of a virtual trading floor associated with the exchange system. The method also includes receiving a first order and transmitting, to a second computing device associated with a second market participant, data causing a GUI of the second computing device to render a second graphical representation of the virtual trading floor comprising a first virtual trader associated with the first market participant. The method includes receiving, from the second computing device, a second order, determining that the second order matches the first order, and executing a transaction based on the first order and the second order.