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1. 发明公开

EP3840337A1 DATA OBJECT COMPRESSION AND REDUCTION 审中-公开
公开(公告)号：EP3840337A1
公开(公告)日：2021-06-23
申请号：EP20214954.8
申请日：2020-12-17
申请人： Chicago Mercantile Exchange Inc.
发明人： PALM, Peter Mattias , HERMODSSON, Jesper Lars Wilhelm , DAHLIN, Sven Marcus , THORNBERG, Carl Erik
IPC分类号： H04L29/08
摘要： A system for data object compression and reduction includes a processor, a memory coupled with the processor, and first through fifth logic stored in the memory and executable by the processor to cause the processor to obtain a set of data objects from a plurality of data sources, each data object of the set of data objects specifying a data object type, a size, a polarity, and identification data, to obtain optimization constraint data for each data source of the plurality of data sources, to identify those data objects of the plurality of data objects for which the identification data matches, to implement, in accordance with the obtained optimization constraint data, an optimization procedure configured to determine an optimal set of adjustments to the set of data objects that maximizes reduction of both a data set aggregate magnitude and a data link composite magnitude for at least one pair of the plurality of data sources, the optimal set of adjustments including an offset of multiple data objects of the identified data objects of same data object type and opposite polarity, and to store data indicative of the optimal set of adjustments to the set of data objects. The data set aggregate magnitude is indicative of a sum of the size of each data object of the set of data objects, and the data link composite magnitude is indicative of a sum of the sizes of those data objects of the set of data objects linked to the pair of data sources.

2. 发明公开

EP3968262A1 LINEAR MODEL PARTITIONER 审中-公开
公开(公告)号：EP3968262A1
公开(公告)日：2022-03-16
申请号：EP21194137.2
申请日：2021-08-31
申请人： Chicago Mercantile Exchange Inc.
发明人： THORNBERG, Carl Erik
IPC分类号： G06Q40/04
摘要： The disclosed embodiments related to multilateral portfolio compression using general large-scale linear optimization which pre-processes a model to decrease model size using domain knowledge to remove variables to reduce dimensionality, thereby making the model faster to solve and improving numerical characteristics. but it would not remove, for example, as much as half of the model, but rather a smaller fraction. The disclosed pre-processing enables an approximate solution for large, linear optimization models by automatically iteratively and selectively partitioning them into independently easily solvable sub-models. The sub-models are themselves linear optimization models, which can be solved with any preferred algorithm or library. The solutions for each sub-model are aggregated to obtain an acceptable, e.g., approximate, solution for a large model without solving the full model. At each iteration the disclosed embodiments will have a valid, feasible solution, if the user is satisfied before full convergence.

3. 发明公开

EP3961547A1 ACCUMULATION-BASED DATA OBJECT PROCESSING 审中-公开
公开(公告)号：EP3961547A1
公开(公告)日：2022-03-02
申请号：EP21193452.6
申请日：2021-08-27
申请人： Chicago Mercantile Exchange Inc.
发明人： OGLESBY, Paul , THURIN, Kalle Tomas , THORNBERG, Carl Erik
IPC分类号： G06Q40/06
摘要： A system includes first logic to obtain a fixed constituent data object and a variable constituent data object for each data object of a set of objects, second logic to analyze the fixed constituent data objects to allocate each fixed constituent data object to one of a plurality of fixed groups, third logic to analyze the variable constituent data objects to allocate each variable constituent data object to one of a plurality of variable groups, fourth logic to determine a net magnitude for each fixed group and for each variable group, fifth logic to determine a historical component for each variable constituent data object, sixth logic to determine a net historical magnitude for each variable group based on the historical components, and seventh logic to define at least one representative data object to represent the fixed and variable constituent data objects in each pair of fixed and variable groups having a matching common set of properties, the at least one representative data object maintaining the net magnitudes and maintaining the net historical magnitude.

4. 发明公开

EP3770842A1 FACTORIZATION-BASED DATA OBJECT PROCESSING 审中-公开
公开(公告)号：EP3770842A1
公开(公告)日：2021-01-27
申请号：EP20150729.0
申请日：2020-01-08
申请人： Chicago Mercantile Exchange Inc.
发明人： THORNBERG, Carl Erik , THURIN, Kalle Tomas , KLEMMING, Jonas Christoffer , RYDBERG, David Sebastian
IPC分类号： G06Q40/04
摘要： A system includes first logic to obtain a plurality of constituent data streams for each data object of a plurality of objects, second logic to analyze the plurality of constituent data streams to allocate each constituent data stream to one of a set of primary groups, third logic to assign the constituent data streams within each primary group of the set of primary groups having aligned timing to a netting group of the primary group, fourth logic to generate, for each netting group of each primary group of the set of primary groups, a plurality of continuous data streams by combining two or more of the constituent data streams within the netting groups, fifth logic to define a plurality of new data objects from the generated plurality of continuous data streams, each new data object of the plurality of new data objects specifying a plurality of continuous data streams associated with a pair of primary groups of the set of primary groups, sixth logic to incorporate at least one new data object of the plurality of new data objects into the set of data objects to effectuate adjustments to the set of data objects, and seventh logic to cause the processor to incorporate store, the adjustments to the set of data objects.

5. 发明公开

EP3767496A1 OPTIMIZED BATCHED POLYTOPE PROJECTION 审中-公开
公开(公告)号：EP3767496A1
公开(公告)日：2021-01-20
申请号：EP20184573.2
申请日：2020-07-07
申请人： Chicago Mercantile Exchange Inc.
发明人： THORNBERG, Carl Erik
IPC分类号： G06F17/11 , G06Q40/04
摘要： The disclosed embodiments relate to systems and methods calculation of an estimation solution for a constraint polytope. The apparatus may include a database, a communication interface, and a polytope controller. The database stores data indicative of a constraint polytope. The communication interface is configured to receive a first point batch from an external computer system, and the first point batch includes a plurality of data points representing transactions. The polytope controller analyzes the plurality of data points and performs a projection of the plurality of data points to the constraint polytope and generates a dynamic adjustment for a second point batch for the constraint polytope.

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