System and method for performing automatic spread trading

• US 20030200167A1
• Filed: 05/03/2002
• Published: 10/23/2003
• Est. Priority Date: 03/05/2002
• Status: Active Grant

• Current Assignee: Pablo, LLC
• Original Assignee: Pablo, LLC
• Inventors: Schluetter, Jens-Uwe, Singer, Scott, Brumfield, Harris, Monroe, Fred, Burns, Mike, Kemp, Gary Allen II, Babulak, David
• Granted Patent: US 7,437,325 B2
• Time in Patent Office: Days
• US Class Current: 705/37
• 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 for automatically generating a spread for trade, the method comprising:

receiving a plurality of market data feeds for a plurality of tradeable objects;

receiving a plurality of spread setting parameters;

generating a spread data feed corresponding to the plurality of market data feeds and the plurality of spread setting parameters; and

displaying a bid quantity and an ask quantity from the spread data feed in association with an axis representing prices.

2. The method of claim 1 wherein the step of receiving a plurality of spread setting parameters comprises a user entering at least one spread setting parameter.

3. The method of claim 1 wherein the step of receiving a plurality of spread setting parameters comprises a user entering a ratio and a multiplier for each leg that is selected for trade.

4. The method of claim 1 wherein the step of generating a spread data feed comprises calculating spread depth.

5. The method of claim 1 wherein the step of generating a spread data feed comprises calculating an inside market.

6. The method of claim 5 wherein the step of generating a spread data feed further comprises calculating market depth.

7. The method of claim 1 wherein the step of generating a spread data feed comprises calculating last traded quantity.

8. The method of claim 1 wherein the step of generating a spread data feed comprises calculating last traded price.

9. A method for generating a spread data feed, the method comprising:

receiving a plurality of market data feeds for a plurality of tradeable objects;

receiving a plurality of spread setting parameters that comprise a ratio and a multiplier for each of the plurality of market data feeds;

determining a minimum spread unit associated with quantity of the orders in the plurality of market data feeds and based upon the ratio for each of the plurality of market data feeds; and

determining a spread price corresponding to the minimum spread unit associated with prices of the orders in the plurality of market data feeds and based upon the multiplier for each of the plurality of market data feeds.

10. The method of claim 9 further comprising the step of calculating spread units in each leg by using the absolute value of the quantity available at a price level divided by the spread ratio for that leg.

11. The method of claim 9 wherein the step of determining a minimum spread unit comprises starting at the highest bid price in at least one leg.

12. The method of claim 11 wherein the step of determining a minimum spread unit further comprises analyzing a plurality of bid prices for a leg in which less than one spread unit is associated at the highest bid price.

13. The method of claim 9 wherein the step of determining a minimum spread unit comprises starting at the lowest ask price in at least one leg.

14. The method of claim 13 wherein the step of determining a minimum spread unit further comprises analyzing a plurality of ask prices for a leg in which less than one spread unit is associated at the lowest ask price.

15. The method of claim 9 wherein the step of determining a spread price corresponding to the minimum spread unit comprises calculating a weighted average of prices for those legs that have less than one spread unit available.

16. A method for spread trading in an electronic trading system, the method comprising:

entering an order associated with a spread at a desired spread price;

automatically entering an order in at least one leg of the spread based on a plurality of spread setting parameters and market conditions in at least one other leg;

automatically calculating the working spread price based on the order and market conditions in at least one other leg; and

refraining from changing the price of the order when the working spread price stays within a range of prices determined by the desired spread price and a boundary parameter.

17. The method of claim 16 further comprising determining the range of prices by adding the boundary parameter to the desired spread price.

18. The method of claim 16 further comprising determining the range of prices by subtracting the boundary parameter to the desired spread price.

19. A method for spread trading in an electronic trading system, the method comprising:

entering an order associated with a spread at a desired spread price;

automatically entering an order in at least one leg of the spread based on a plurality of spread setting parameters and market conditions in at least one other leg;

automatically calculating the working spread price based on the order and market conditions in at least one other leg; and

automatically changing the price of the order only when the working spread price goes outside of a range of prices determined by the desired spread price and a boundary parameter.

20. A method for spread trading in an electronic trading system, the method comprising:

entering a spread order at a desired spread price in a window, wherein the window displays a spread data feed as a plurality of bids and asks relative to an axis of prices;

automatically entering an order in a first a leg in response to the spread order; and

automatically entering a second order in a second leg when the first order is filled, wherein the second order is at a price that corresponds to the desired spread price within a range of ticks.

21. An electronic terminal for generating a spread for trade, the electronic terminal comprising:

a trading application for receiving a plurality of market data feeds for a plurality of tradeable objects;

an automatic spreader application for generating a spread data feed based on the plurality of market data feeds; and

a graphical user interface for displaying the spread data feed as a plurality of bids and asks in association with an axis of prices, wherein the plurality of bids and asks are displayed in alignment with the prices corresponding thereto.