System Architect
Interactive Trade Clearing Platform
Chicago Mercantile Exchange

Developed trade clearing component for CME Future and Option Trades on Instant Messages.

Problem

CME’s Pivot trade messaging app required new means to clear trades that have been agreed upon by the counterparts.

Stakes

Instant messaging is a great way for counterparts to come to a deal. In order to clear a deal, however, it has to be well-specified.

Discovery

Commodity trades may involve complex strategies (e.g., butterfly condor, box), these can be considered part of a ‘language’ and verified using a PEG parser.

Outcome

Improved trade-clearing efficiency by reducing settlement issues. Defined platform architecture, extensible schema, and distributed protocols. Developed subsystem to translate option trade strategy to trade leg structure definitions.