System and method for a risk check

• US 10,572,938 B2
• Filed: 09/18/2013
• Issued: 02/25/2020
• Est. Priority Date: 03/24/2009
• Status: Active Grant

• Current Assignee: Trading Technologies International, Inc.
• Original Assignee: Trading Technologies International, Inc.
• Inventors: Mintz, Sagy Pundak
• Primary Examiner(s): Baird, Edward J
• Application Number:
  US14/030,047
• Publication Number:
  US 20140025555A1
• Time in Patent Office: 2,351 Days
• Field of Search: 705 35- 40
• 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

A trading strategy may be controlled according to determining whether the order quantity for each leg of the trading strategy satisfies a certain condition. The quantity for each of the orders of the trading strategy, including the quantity of the initial order and subsequent orders, is compared to a corresponding risk value. When the order quantity for each of the orders is less than the corresponding risk value, the initial order can be sent. When the order quantity for any of the orders exceeds the risk value, the initial order is not sent. Quantity associated with the trading strategy is held or reserved for execution of the trading strategy regardless of the activity taken by the trader since initiating the trading strategy. The reserved quantity can be drawn from the trading strategy until the quantity is depleted, the trading strategy has ended, or both.

Claims

1. A method for implementing risk controls in an electronic trading system utilizing a gateway in communication with an electronic exchange, the method including:

receiving by a computing device in communication with the gateway, a definition for a trading strategy, wherein the definition for the trading strategy includes a first quantity for a first tradeable object and a second quantity for a second tradeable object, wherein the trading strategy is associated with a position risk value;

determining by the computing device, a first risk value associated with the first tradeable object;

determining by the computing device, a second risk value associated with the second tradeable object;

comparing by the computing device, the combined first and second risk values to the position risk value associated with the trading strategy;

establishing, by the computing device, an execution reserve equal to the combined first and second risk values when the first and second risk values are less than the position risk value;

submitting, by the computing device, a first order to a first electronic exchange when the combined first and second risk values are less than the position risk value, wherein the first order is associated with the first tradeable object;

receiving, by the computing device, a fill confirmation associated with the first order and updating the execution reserve based on the fill confirmation; and

submitting, by the computing device, in response to receiving the fill confirmation, a second order to a second electronic exchange, wherein the second order is associated with the second tradeable object.

2. The method of claim 1, wherein the first tradeable object is different than the second tradeable object.

3. The method of claim 1, wherein the first tradeable object is the same as the second tradeable object.

4. The method of claim 1, wherein the first electronic exchange is different than the second electronic exchange.

5. The method of claim 1, wherein the computing device is a client device.

6. The method of claim 1, wherein the computing device is a server-side device.

7. The method of claim 1, wherein the position risk value associated with the trading strategy is based on at least any one of the following:

a trader pre-configured first maximum position for the first tradeable object;

a trader pre-configured first maximum order quantity for the first tradeable object;

a trader pre-configured second maximum position for the second tradeable object; and

a trader pre-configured second maximum order quantity for the second tradeable object.

8. The method of claim 1, further including:

when the combined first and second risk values exceeds the position risk value, reducing at least one of the first quantity to a reduced first quantity prior to submitting the first order, and the second quantity to a reduced second quantity prior to submitting the first order and prior to submitting the second order.