System and method for money management in electronic trading environment

• US 20040153391A1
• Filed: 01/31/2003
• Published: 08/05/2004
• Est. Priority Date: 01/31/2003
• Status: Active Grant

• Current Assignee: Trading Technologies International, Inc.
• Original Assignee: Trading Technologies International, Inc.
• Inventors: West, Robert A., Ziemkiewicz, Peter F., Burns, Michael J., Brumfield, Harris
• Granted Patent: US 7,752,117 B2
• Time in Patent Office: Days
• US Class Current: 705/37
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• 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 system and method for money management in an electronic trading environment are presented. According to one embodiment, a trader may configure a plurality of filters, each including at least one filter criteria and filter condition. When a money management module detects a new order, the money management module intercepts the order and determines if the order matches one or more predefined filters. If the order matches one or more filters then conditions associated with the applicable filter(s) are applied to the order. The application of one or more conditions to an order may result in sending a modified order, preventing the order from reaching the exchange, or sending order to the exchange without any modifications.

Claims

1. A method for money management in an electronic trading environment, the method comprising:

intercepting an order before the order reaches an exchange;

applying a plurality of money management filters to the order to determine if at least one filter matches the order; and

if so,

applying at least one condition associated with each applicable filter to the order.

2. A computer readable medium having stored therein instructions to execute the method of claim 1.

3. The method of claim 1, wherein the plurality of money management filters are user configurable.

4. The method of claim 3, wherein each of the plurality of money management filters comprises at least one filter criteria and at least one filter condition, and wherein applying a plurality of money management filters to the order to determine if at least one filter matches the order comprises determining if the at least one filter criteria associated with each filter matches the order.

5. The method of claim 4, wherein the at least one filter criteria comprises at least one trader-related criteria.

6. The method of claim 5, wherein the at least one trader-related criteria comprises a dynamically determined trader-related criteria.

7. The method of claim 5, wherein the at least one trader-related criteria comprises at least one trader performance related criteria.

8. The method of claim 7, wherein the at least one trader performance related criteria comprises at least one trader'"'"'s profit related criteria.

9. The method of claim 4, wherein the at least one filter criteria comprises at least one market data related criteria.

10. The method of claim 1, further comprising sending the order to the exchange.

11. The method of claim 10, wherein sending the order to the exchange comprises sending the intercepted order to the exchange.

12. The method of claim 1, wherein applying at least one condition associated with each applicable filter to the order comprises modifying at least one order parameter based on the at least one condition.

13. The method of claim 12, wherein the at least one order parameter comprises an order quantity, and modifying at least one order parameter comprises modifying the order quantity.

14. The method of claim 13, wherein modifying the order quantity comprises changing the order quantity to a quantity lower than a quantity specified in the intercepted order.

15. The method of claim 1, wherein the at least one filter condition comprises a quantity related filter condition.

16. The method of claim 1, wherein the at least one filter condition comprises a user configurable equation.

17. The method of claim 1, further comprising preventing the order from being sent to the exchange based on the at least one filter condition.

18. A method for money management in an electronic trading environment, the method comprising:

entering an order;

determining a profit value for a trader associated with the order; and

modifying at least one order parameter based on the profit value.

19. A computer readable medium having stored therein instructions to execute the method of claim 18.

20. The method of claim 18, further comprising:

defining a plurality of profit related filters associated with a plurality of profit level filter criteria, wherein each profit level filter criterion is associated with a maximum order quantity level and a profit level;

matching the profit value to one of the plurality of profit level filter criteria; and

if an order quantity associated with the order is higher than a maximum order quantity associated with the matched profit level filter criterion, modifying the order quantity to the maximum order quantity.

21. The method of claim 20, further comprising:

sending the order to an exchange.

22. The method of claim 20, further comprising:

preventing the order from being sent to the exchange.

23. The method of claim 20, wherein the plurality of profit level filter criteria are associated with a plurality of a maximum order quantity levels, wherein a higher profit level corresponds to a higher maximum order quantity.

24. The method of claim 20, wherein each of each profit level filter criterion is further associated with a maximum net position, the method further comprising:

determining a net position associated with the trader; and

preventing the order from being sent to the exchange if the trader'"'"'s net position is higher than a maximum net position corresponding to the matched profit level filter criterion.

25. The method of claim 20, wherein the plurality of profit level filter criteria is user configurable.

26. A system for money management in an electronic trading environment, the system comprising:

a trading application for entering an order; and

a money management application for intercepting the order before the order reaches an exchange, for applying a plurality of money management filters to the order, wherein each filter is associated with at least one filter condition, the money management application further for determining if at least one money management filter matches the order, and responsively applying at least one filter condition associated with the matched filter to the order.

27. The system of claim 26, wherein the plurality of money management filters are user configurable.

28. The system of claim 26, wherein the plurality of money management filters are associated with a plurality of profit levels and a plurality of maximum order quantity values corresponding to the profit levels, wherein the money management application is further configured to determine a profit level associated with a trader, match the profit level to one of the plurality of profit levels and adjust an order quantity associated with the order based on a maximum order quantity associated with the matched filter.

29. The system of claim 28, wherein the plurality of money management filters are further associated with a plurality of maximum net position levels, wherein the money management application further determines a net position of the trader, and if the net position is higher than a maximum net position level corresponding to the profit level, the money management module preventing the order from being sent to an exchange.

30. The system of claim 26, wherein the money management application is further configured to send the order comprising at least one modified order parameter to an exchange, wherein the at least one modified order parameter comprises an order quantity.

31. The system of claim 26, wherein the money management application is located on a client device.

32. The system of claim 26, wherein the money management application is located on a gateway.

33. The system of claim 26, wherein the money management application is further configured to prevent the order from being sent to an exchange based on an applicable filter.