Automated Composite Futures Contract Generator

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Solution Overview

Problem

Existing systems for generating composite futures contracts are inefficient due to uneven weighting, limited availability, and lack of standardization, leading to slow trade execution and difficulty in interpreting performance.

Innovation Solution

A system comprising a terminal and a composite futures contract generator that identifies eligible component contracts, selects a subset based on attributes, and generates a composite futures contract for trading, providing a standardized and widely available benchmark for performance evaluation.

Engineering Contradictions & Design Principles

VSEngineering Contradiction Analysis

1Adaptability or versatility

If composite contracts are generated using traditional methods, then they can provide a way to trade multiple financial instruments together, but they suffer from uneven weighting, limited availability, and lack of standardization

Engineering Contradiction:

Improvecomposite contract availabilityVSAvoidweighting uniformity

Core Design Contradiction:

Adaptability or versatilityVSManufacturing precision

Solution Approach 1:

The system changes the parameter of weighting by applying uniform weighting to all component contracts in the composite contract, eliminating the uneven weighting problem of traditional methods while maintaining the ability to trade multiple instruments together

Inventive Principle:

Principle #35Parameter changes

Solution Approach 2:

The system creates a standardized composite contract generation mechanism that can be applied universally across different sets of component contracts, providing consistent availability and standardization while maintaining flexible composition of underlying assets

Inventive Principle:

Principle #6Universality (Multi-functionality)

2Adaptability or versatility

If composite contracts are created manually, then they can be customized to specific trading needs, but the process is slow and execution is delayed

Engineering Contradiction:

Improvecontract customizationVSAvoidtrade execution speed

Core Design Contradiction:

Adaptability or versatilityVSProductivity

Solution Approach 1:

The system replaces the manual mechanical process of composite contract creation with an automated electronic system that receives instructions, identifies component contracts, applies uniform weighting, and generates the composite contract automatically, eliminating delays while maintaining customization capability

Inventive Principle:

Principle #28Mechanics substitution (Replace mechanical system)

Solution Approach 2:

The system enables self-service composite contract creation where the automated system performs identification, selection, and generation of composite contracts based on received instructions, eliminating the need for manual intervention and accelerating execution speed

Inventive Principle:

Principle #25Self-service

3Ease of operation

If traditional composite contract systems are used, then they can facilitate trading of multiple instruments, but performance interpretation becomes difficult due to lack of standardization

Engineering Contradiction:

Improvetrading facilitationVSAvoidperformance interpretability

Core Design Contradiction:

Ease of operationVSLoss of information

Solution Approach 1:

The system changes the parameter of weighting consistency by applying uniform weighting to all component contracts, creating standardized composite contracts that maintain ease of trading while significantly improving performance interpretability through consistent and transparent weighting

Inventive Principle:

Principle #35Parameter changes

Solution Approach 2:

The standardized generation process provides clear feedback on the composition and weighting of composite contracts, making performance interpretation easier by eliminating the information loss associated with non-standardized, manually-created contracts

Inventive Principle:

Principle #23Feedback

Data Source

PatentUS7624062B1Method and system for generating and trading composite contracts

Publication Date: 2009.11.24 CHICAGO MERCANTILE EXCHANGE INC

AI summary

The disclosed embodiments provide a system and method for automatically generating a composite contract characterized by at least one parameter. A first subset of eligible component contracts is identified from a set of available component contracts wherein each of the available component contracts is characterized by at least one attribute. A second subset of component contracts is then selected from the first subset to generate the composite contract.