System and method for automated trading

• US 20030236737A1
• Filed: 10/31/2002
• Published: 12/25/2003
• Est. Priority Date: 06/19/2002
• Status: Active Grant

• Current Assignee: Trading Technologies International, Inc.
• Original Assignee: Trading Technologies International, Inc.
• Inventors: Ebersole, Joan, Kemp, Gary Allan II, Kline, Robert J.
• Granted Patent: US 9,805,417 B2
• Time in Patent Office: Days
• US Class Current: 705/37
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
• CPC Class Codes: G06Q 50/22 Social work or social welfare, e.g. community support activities or counselling services
• CPC Class Codes: G16H 40/20 for the management or administration of healthcare resources or facilities, e.g. managing hospital staff or surgery rooms

Abstract

An automated trader facilitates automatic trading of tradeable objects over one or more electronic exchanges. According to one embodiment, an automated trader utilizes a user programmable interface. The user programmable interface allows the user to simply develop a program that is based on a set of specifications and relationships given by the user and input into a profile, or if desired, input directly into the programmable interface referred to as direct entry. For each tradeable object, a profile may be selected, and then an automated trader can execute the program to perform a series of actions according to that selected profile and directed order entry, if any. An automated trader may also be used at a communication level to create an intelligent interface between third-party trading-related applications and exchanges.

Claims

1. A method for use in an electronic trading environment that assists a trader in making trades in at least one market, the method comprising:

selecting a tradeable object from a market to trade;

selecting a first profile having at least one parameter associated with a first trading strategy;

automatically calculating an order parameter based on the first profile and conditions in the market; and

sending a first order to the market, where one or more parameters of the first order is associated with the calculated order parameter.

2. The method of claim 1 further comprising the step of:

creating through a graphical user interface the first profile having at least one parameter associated with the first trading strategy.

3. The method of claim 2 wherein the step of creating comprises entering values through the graphical user interface for at least one of the parameters associated with the first trading strategy.

4. The method of claim 2 wherein the step of creating comprises entering formulas into the graphical user interface for at least one of the parameters associated with the first trading strategy.

5. The method of claim 2 wherein the step of creating comprises linking formulas into the graphical user interface from another third-party software application for at least one of the parameters associated with the first trading strategy.

6. The method of claim 1 wherein one of the profile parameters is a bid offset, where the bid offset represents a positive or negative value that can be added to a base profile price to indicate a price at which the user is willing to submit a buy order into the market.

7. The method of claim 1 wherein one of the profile parameters is an ask offset, where the ask offset is a positive or negative value that can be added to a base profile price to indicate a price at which the user is willing to submit a sell order into the market.

8. The method of claim 1 wherein one of the profile parameters is a cover order offset, where the cover order offset is a positive or negative value that can be added to the base profile price, to indicate a price at which the user is willing to submit a cover order into the market.

9. The method of claim 1 wherein one of the profile parameters is a reserve offset, where the reserve offset is a positive or negative value that can be added to a base profile price to indicate a price at which the user is willing to submit a second order when the first order is filled.

10. The method of claim 1 wherein one of the profile parameters is a trading limit.

11. The method of claim 10 wherein the trading limit is a time period used to throttle transaction messages from being sent to the market.

12. The method of claim 10 wherein the trading limit is a maximum position value, where an open position in the market cannot exceed the maximum position value.

13. The method of claim 10 wherein the trading limit is a bid change allowance, where the bid change allowance represents a range of price levels that the market can move around the first order before the trader is willing to enter a re-priced buy order.

14. The method of claim 10 wherein the trading limit is an ask change allowance, where the ask change allowance represents a range of price levels that the market can move around the first order before the trader is willing to enter a re-priced buy order.

15. The method of claim 1 further comprising the steps of:

monitoring conditions of the market and automatically recalculating the order parameter in light of changed market conditions; and

sending a second order to the market based on the recalculated order parameter.

16. The method of claim 15 wherein in the second order is a cancel/replace order that cancels the first order and replaces with the second order.

17. The method of claim 15 further comprising the step of:

sending a delete transaction message to delete the first order from the market.

18. The method of claim 1 wherein the calculated order parameter is made known to the trader by a visual indicator.

19. The method of claim 1 wherein the calculated order parameter is a price.

20. The method of claim 1 wherein the calculated order parameter is a quantity.

21. The method of claim 1 wherein the step of sending a first order to the market occurs automatically.

22. The method of claim 1 wherein the step of sending a first order to the market is triggered manually.

23. The method of claim 1 further comprising the step of:

changing, on the fly, the first profile to a second profile, where the second profile characterizes a second trading strategy.

24. The method of claim 23 wherein changing, on the fly, the first profile to a second profile refers to changing the first profile to the second profile at any time during the method thereof.

25. The method of claim 1 further comprising the step of changing at least one of the parameters of the profile on the fly.

26. The method of claim 1 further comprising the steps of:

selecting a second profile having at least one parameter associated with a second trading strategy;

calculating an order parameter based on the second profile; and

sending a second order to the market, where one or more parameters of the second order is associated with the calculated order parameter based on the second profile.

27. The method of claim 1 wherein the method is performed by program instructions stored on a computer-readable medium.

28. A method for automatically trading using an integrated software application, the method comprising:

selecting a tradeable object from a market to trade;

selecting a profile having at least one parameter that characterizes a trading strategy;

calculating a first order parameter for a first suggested order based on the profile;

sending the first suggested order to the market for the tradeable object; and

calculating a second order parameter for a second suggested order based on the profile when market conditions change.

29. The method of claim 28 wherein the first order parameter and the second order parameter each comprise a price for the same tradeable object.

30. The method of claim 28 further comprising the step of:

refraining from replacing the first order when the second order parameter is within a range determined by a trading limit.

31. The method of claim 28 further comprising the step of:

replacing the first order in the market only when the second order parameter goes outside of a range determined by a trading limit.

32. The method of claim 31 wherein the step of replacing the first order in the market comprises sending a delete transaction message to the market to delete the first order followed by submitting the second order to the market.

33. The method of claim 31 wherein the step of replacing comprises sending a cancel/replace order to cancel the first order and replace with the second order.

34. The method of claim 28 further comprising the step of:

refraining from replacing the first order with the second suggested order during a pre-defined period of time.

35. A method for automatically trading using an integrated software application, the method comprising:

selecting a tradeable object from a market to trade;

selecting a profile having at least one parameter associated with a trading strategy;

calculating a price for a suggested order based on the profile; and

sending an order based on the suggested order to the market for the tradeable object; and

automatically sending a cover order based on the profile to the market after the first order is filled.

36. A system for performing user adaptive automated trading, the system comprising:

a profile manager that allows a user to create and edit profiles, where each profile comprises at least one parameter associated with a trading strategy;

a user programmable interface that allows a user to associate at least one profile created by the profile manager with a tradeable object;

a strategy processor that creates a first suggested order by calculating at least one order parameter based on the associated profile; and

an order processor that sends orders to the market based on the first suggested order received from the strategy processor.

37. The system of claim 36 wherein the user programmable interface allows external software programs to provide input to the strategy processor.

38. The system of claim 36 further comprising a cover order processor that enables the system to automatically send cover orders to the market after an order is filled.

39. The system of claim 36 wherein the user programmable interface allows a user to change a profile parameter on the fly.

40. The system of claim 36 wherein the strategy processor monitors market activity and recalculates at least one order parameter based on the selected profile to create a second suggested order.

41. The system of claim 36 wherein at least one parameter associated with a trading strategy comprises a trading limit.

42. The system of claim 36 wherein the strategy processor refrains from sending orders to the order processor where the price of an order is within a range of prices determined by a trading limit.