System and method for performing automatic spread trading

• US 10,453,138 B2
• Filed: 04/06/2018
• Issued: 10/22/2019
• Est. Priority Date: 03/05/2002
• Status: Expired due to Fees

• Current Assignee: Pablo, LLC
• Original Assignee: Pablo, LLC
• Inventors: Kemp, II, Gary Allan, Schluetter, Jens-Uwe, Burns, Michael J., Singer, Scott F., Monroe, Fred, Babulak, David, Brumfield, Harris C.
• Primary Examiner(s): Liu, I Jung
• Application Number:
  US15/947,484
• Publication Number:
  US 20180225762A1
• Time in Patent Office: 564 Days
• CPC Class Codes: G06Q 30/0283 Price estimation or determination
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• CPC Class Codes: G06Q 40/03 Credit; Loans; Processing thereof
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis

Abstract

The present embodiments are provided to facilitate the automatic trading of spreads in a fast and accurate manner. One or more market data feeds that contain market information for tradeable objects are received at an exchange. A spread data feed is generated in response to the market data feeds and from one or more spread setting parameters, which can be entered by a user. The spread data feed is preferably displayed in a spread window as bid and ask quantities associated with an axis or scale of prices. The user can enter orders in the spread window and the legs will be automatically worked to achieve, or attempt to achieve, the spread. In addition, other tools disclosed herein may be utilized to assist the user in making such trades.

Claims

1. A method comprising:

receiving, via a computing device having an electronic processor, a market data feed for a first tradeable object and a market data feed for a second tradeable object;

displaying, via an output device of the computing device, a plurality of consecutive price levels along a price axis, where the plurality of consecutive price levels is determined according to the market data feed for the first tradeable object and the market data feed for the second tradeable object, and each price level of the plurality of consecutive price levels corresponds to a spread price for a spread between the first tradeable object and the second tradeable object;

displaying, via the output device, a plurality of locations where each location of the plurality of locations corresponds to a corresponding price level of the plurality of consecutive price levels displayed along the price axis and is configured to receive a command to initiate buying or selling the spread between the first tradeable object and the second tradeable object at the spread price corresponding to the price level;

receiving, via a user input device of the computing device, a user command to select a particular price level of the plurality of consecutive price levels to trade the spread between the first tradeable object and the second tradeable object at the spread price corresponding to the particular price level, where the user command comprises selecting a particular location with a pointer of the user input device positioned over the particular location through a single action of the user input device;

determining, via the computing device, a price for a first order for the first tradeable object according to the spread price corresponding to the particular price level and the market data feed for the second tradeable object;

submitting, via the computing device to an electronic exchange, the first order for the first tradeable object;

determining, via the computing device as the market data feed for the second tradeable object is received, a working price for the spread;

comparing, via the computing device, a price condition for the working price for the spread to a spread limit; and

submitting, via the computing device, a new order at a new price for the first tradeable object to the electronic exchange in response to the comparison of the price condition for the working price for the spread to the spread limit.

2. The method of claim 1 further comprising:

determining, via the computing device, the price for the first order based on the spread price and the market data feed for the second tradeable object at a first time; and

determining, via the computing device, the working price based on the market data feed for the second tradeable object at a second time.

3. The method of claim 2 further comprising determining, via the computing device, the new price based on the spread price and the market data feed for the second tradeable object at the second time.

4. The method of claim 2 further comprising determining, via the computing device, the new price based on the spread price and the market data feed for the second tradeable object at a third time.

5. The method of claim 1 further comprising causing, via the computing device, the first order to be cancelled in response to submitting the new order.

6. The method of claim 1 where the spread limit comprises at least one of an inside price limit and an outside price limit.

7. The method of claim 1 further comprising causing, via the computing device, a second order for the second tradeable object to be submitted to an exchange associated with the second tradeable object in response to receiving confirmation of execution of the first order.

8. The method of claim 1 where the comparison of the price condition for the working price for the spread to the spread limit comprises determining whether the working price is outside the spread limit.

9. The method of claim 1 where the comparison of the price condition for the working price for the spread to the spread limit comprises determining whether the working price is within the spread limit.

10. The method of claim 1 further comprising submitting the new order to the electronic exchange in response to the price condition being satisfied.

11. The method of claim 1 further comprising automatically changing the price of the first order only when a working spread price is outside of a range of prices determined by the spread price corresponding to the particular price level and a boundary parameter.