System and method for aggressively trading a strategy in an electronic trading environment

• US 10,181,157 B2
• Filed: 07/02/2013
• Issued: 01/15/2019
• Est. Priority Date: 05/28/2008
• Status: Active Grant

• Current Assignee: Trading Technologies International, Inc.
• Original Assignee: Trading Technologies International, Inc.
• Inventors: Kontos, Nicholas G., Mintz, Sagy P., Deitz, Alexander D.
• Primary Examiner(s): Baird, Edward J
• Application Number:
  US13/933,262
• Publication Number:
  US 20140172665A1
• Time in Patent Office: 2,023 Days
• Field of Search: 705 35- 40
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Abstract

System and method for aggressively trading a spread trading strategy in an electronic environment are provided herein. According to the example embodiments, a trader may configure the automated trading tool to trade as aggressively as possible by leaning on a price without an associated quantity. This allows a trader to possibly obtain a more profitable price as well as get filled faster. Traders submit an order for a spread and the automated trading tool calculates the quote order price based on a defined level of aggressiveness, the leaned on price, and the desired spread price. Based on the level of defined aggressiveness and the gap in the market, the automated trading tool may lean on a mildly, moderately, or extremely aggressive price.

Claims

1. A method comprising:

receiving, via an automated trading tool having an electronic processor, a desired spread price for a spread trading strategy between a first tradeable object and a second tradeable object, the automated trading tool configured to determine parameters for an order for the first tradeable object and automatically send the order for the first tradeable object according to conditions in a market for the second tradeable object, a user-configuration for the spread trading strategy and the desired spread price;

receiving, at the automated trading tool, market information from an electronic exchange, that market information identifying a first inside market for the first tradeable object and a second inside market for the second tradeable object, where the first inside market includes a best ask in a market for the first tradeable object and a best bid in the market for the first tradeable object, and the second inside market includes a best ask in a market for the second tradeable object and a best bid in the market for the second tradeable object;

determining, by the automated trading tool based on the market information identifying the first inside market for the first tradeable object, whether the inside market for the first tradeable object includes a market gap between the best ask in the market for the first tradeable object and the best bid in the market for the first tradeable object, where the market gap includes a plurality of price levels between the best ask in the market for the first tradeable object and the best bid in the market for the first tradeable object without an available bid quantity and without an available ask quantity;

in response to determining that the inside market for the first tradeable object includes the market gap, determining, via the automated trading tool, a leaned-on price at a selected price level of the plurality of price levels within the market gap, where the selected price level of the leaned on price within the market gap is determined based on a level of quoting aggressiveness, and where the leaned-on price level comprises at least one price level above the best bid in the market for the first tradeable object according to the spread trading strategy being a buy and at least one price level below the best ask in the market for the first tradeable object according to the spread trading strategy being a sell;

calculating, via the automated trading tool, a quote order price for a quote order for the second tradeable object of the spread trading strategy based on the leaned-on price and the desired spread price; and

automatically submitting, via the automated trading tool, the quote order at the calculated quote order price.

2. The method of claim 1 where the leaned-on price comprises one price level below the best ask in the market for the first tradeable object according to the spread trading strategy being a buy and one price level above the best bid in the market for the first tradeable object according to the spread trading strategy being a sell.

3. The method of claim 1 where the leaned-on price comprises two price levels above the best bid in the market for the first tradeable object according to the spread trading strategy being a buy and two price levels below the best ask in the market for the first tradeable object according to the spread trading strategy being a sell.

4. The method of claim 1 where the level of quoting aggressiveness comprises a user-selected level of quoting aggressiveness.

5. The method of claim 4 further comprising selecting the level of quoting aggressiveness from a plurality of levels of aggressiveness.

6. The method of claim 1, further comprising adjusting the leaned-on price based on the level of quoting aggressiveness and the market gap.

7. The method of claim 6 further comprising adjusting the leaned-on price in response to a market fluctuation in the first tradeable object.

8. The method of claim 7, further comprising re-pricing the quote order according to the adjusted leaned-on price.

9. The method of claim 1 further comprising dynamically modifying the level of quoting aggressiveness according to at least any one of trading volume, market activity, a trader'"'"'s historical trading activity, and current trading activity.

10. The method of claim 1 where the quote order comprises a limit order.

11. The method of claim 1, further comprising submitting an offsetting hedge order for the first tradeable object in response to execution of at least a portion of the quote order.

12. A non-transitory computer storage medium having instructions stored thereon, which when executed by a processor cause the processor to carry out acts comprising:

receiving, via an automated trading tool having an electronic processor, a desired spread price for a spread trading strategy between a first tradeable object and a second tradeable object, the automated trading tool configured to determine parameters for an order for the first tradeable object and automatically send the order for the first tradeable object according to conditions in a market for the second tradeable object, a user-configuration for the spread trading strategy and the desired spread price;

receiving, at the automated trading tool, market information from an electronic exchange, that market information identifying a first inside market for the first tradeable object and a second inside market for the second tradeable object, where the first inside market includes a best ask in a market for the first tradeable object and a best bid in the market for the first tradeable object, and the second inside market includes a best ask in a market for the second tradeable object and a best bid in the market for the second tradeable object;

determining, by the automated trading tool based on the market information identifying the first inside market for the first tradeable object, whether the inside market for the first tradeable object includes a market gap between the best ask in the market for the first tradeable object and the best bid in the market for the first tradeable object, where the market gap includes a plurality of price levels between the best ask in the market for the first tradeable object and the best bid in the market for the first tradeable object without an available bid quantity and without an available ask quantity;

in response to determining that the inside market for the first tradeable object includes the market gap, determining, via the automated trading tool, a leaned-on price at a selected price level of the plurality of price levels within the market gap, where the selected price level of the leaned-on price within the market gap is determined based on a level of quoting aggressiveness, and where the leaned-on price level comprises at least one price level above the best bid in the market for the first tradeable object according to the spread trading strategy being a buy and at least one price level below the best ask in the market for the first tradeable object according to the spread trading strategy being a sell;

calculating, via the automated trading tool, a quote order price for a second tradeable object of the spread trading strategy based on the leaned-on price and the desired spread price; and

automatically submitting, via the automated trading tool, the quote order at the calculated quote order price.

13. The non-transitory computer storage medium of claim 12 where the leaned-on price comprises one price level below the best ask in the market for the first tradeable object according to the spread trading strategy being a buy and one price level above the best bid in the market for the first tradeable object according to the spread trading strategy being a sell.

14. The non-transitory computer storage medium of claim 12 where the leaned-on price comprises two price levels above the best bid in the market for the first tradeable object according to the spread trading strategy being a buy and two price levels below the best ask in the market for the first tradeable object according to the spread trading strategy being a sell.

15. The non-transitory computer storage medium of claim 12 where the level of quoting aggressiveness comprises a user-selected level of quoting aggressiveness.

16. The non-transitory computer storage medium of claim 15 where the acts further comprise selecting the level of quoting aggressiveness from a plurality of levels of aggressiveness.

17. The non-transitory computer storage medium of claim 12 where the acts further comprise adjusting the leaned-on price based on the level of quoting aggressiveness and the market gap.

18. The non-transitory computer storage medium of claim 17 where the acts further comprise adjusting the leaned-on price in response to a market fluctuation in the first tradeable object.

19. The non-transitory computer storage medium of claim 18 where the acts further comprise re-pricing the quote order according to the adjusted leaned-on price.

20. The non-transitory computer storage medium of claim 12 where the acts further comprise dynamically modifying the level of quoting aggressiveness according to at least any one of trading volume, market activity, a trader'"'"'s historical trading activity, and current trading activity.

21. The non-transitory computer storage medium of claim 12 where the quote order comprises a limit order.

22. The non-transitory computer storage medium of claim 12 where the acts further comprise submitting an offsetting hedge order for the first tradeable object in response to execution of at least a portion of the quote order.