System and method for variably regulating order entry in an electronic trading system

• US 20040193526A1
• Filed: 03/31/2003
• Published: 09/30/2004
• Est. Priority Date: 03/31/2003
• Status: Active Grant

• Current Assignee: Trading Technologies International, Inc.
• Original Assignee: Trading Technologies International, Inc.
• Inventors: Burns, Michael J., Carroll, Steven J., Singer, Scott F.
• Granted Patent: US 7,904,370 B2
• Time in Patent Office: Days
• US Class Current: 705/37
• CPC Class Codes: G06Q 20/10 specially adapted for electronic funds transfer [EFT] systems; specially adapted for home banking systems
• CPC Class Codes: G06Q 20/102 Bill distribution or payments
• 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 are provided to intelligently limit the frequency at which automated or semi-automated trading tools move or re-price orders in an exchange order book. A tolerance may be input that limits when one or more orders in the exchange order book are moved from one price to another. The system and method assist in reducing the number of orders that are entered into the system which can lead to reduced exchange transaction fees, lost queue position, and reduce network bandwidth consumption.

Claims

1. A method for variably regulating order entry in an electronic trading application, the method comprising:

setting a plurality of ranges, where each range has associated with it at least one tolerance parameter;

placing a first order having an order parameter;

calculating an effective order parameter in response to a command;

retrieving a range from the plurality of ranges, where the range that is retrieved is based in part on the order parameter of the first order;

determining if the effective order parameter remains within a plurality of values determined by the order parameter and the at least one tolerance parameter; and

if so,

refraining from replacing the first order having the order parameter with a second order having the effective order parameter.

2. The method of claim 1 wherein the at least one tolerance parameter is an inside parameter or an outside parameter.

3. The method of claim 1 wherein the order parameter comprises a price for the first order and the effective order parameter comprises a price for the second order.

4. The method of claim 1 wherein the command results from detecting a change in market conditions which causes the order parameter of the first order to be different from the effective order parameter.

5. The method of claim 1 wherein the command results from a timing signal indicating that the effective order parameter is to be calculated.

6. The method of claim 1 wherein the first order is placed into a market that has inside market prices, and wherein the range that is retrieved is referenced from one of the inside market prices.

7. The method of claim 1 wherein the range that is retrieved is referenced from a designated reference point.

8. The method of claim 1 wherein the plurality of values comprises a plurality of price levels.

9. The method of claim 1 further comprising determining the range of values by adding a tolerance parameter to the order parameter of the first order.

10. The method of claim 1 further comprising determining the range of values by subtracting a tolerance parameter to the order parameter of the first order.

11. The method of claim 1 wherein the step of refraining comprises not placing the second order having the effective order parameter.

12. The method of claim 1 wherein each leg of a spread has at least one of the plurality of ranges associated with it.

13. The method of claim 12 wherein the range that is retrieved is associated with the leg for which a market change has occurred.

14. The method of claim 1 wherein the first order is an order to buy a spread or an order to sell a spread.

15. The method of claim 1 wherein the step of placing a first order having an order parameter comprises placing the first order into an automated spread trading tool in which orders are automatically placed in legs of a spread to achieve the spread.

16. The method of claim 1 wherein the step of placing a first order having an order parameter comprises placing the first order onto an electronic exchange order book.

17. The method of claim 1 further comprising the step of determining if the effective order parameter remains within a plurality of values determined by the order parameter and the at least one tolerance parameter;

and if not,

replacing the first order having the order parameter with the second order having the effective order parameter.

18. The method of claim 17 wherein the step of replacing the first order comprises deleting the first order having the order parameter and placing the second order having the effective order parameter.

19. A method for variably regulating order entry in an electronic trading application, the method comprising:

setting, for each leg of a spread, a range that has associated with it at least one tolerance parameter;

placing a first spread order for the spread having an order parameter;

calculating an effective order parameter in response to a command;

retrieving a range from the plurality of ranges, where the range that is retrieved is based in part on the order parameter of the first spread order;

determining if the effective order parameter remains within a plurality of values determined by the order parameter and the at least one tolerance parameter; and

if so,

refraining from replacing the first spread order having the order parameter with a second spread order having the effective order parameter.

20. The method of claim 19 wherein the at least one tolerance parameter is an inside parameter or an outside parameter.

21. The method of claim 19 wherein the order parameter comprises a price for the first spread order and the effective order parameter comprises a price for the second spread order.

22. The method of claim 19 wherein the command results from a change in market conditions in one of the legs of the spread which causes the order parameter of the first spread order to be different from the effective order parameter.

23. The method of claim 19 wherein the command results from a timing signal indicating that the effective order parameter is to be calculated.

24. The method of claim 19 wherein the first spread order is placed into a market that has inside market prices, and wherein the range that is retrieved is referenced from one of the inside market prices.

25. The method of claim 19 wherein the range that is retrieved is referenced from a designated reference point in the spread.

26. The method of claim 19 wherein the plurality of values are price levels.

27. The method of claim 19 further comprising determining the range of values by adding a tolerance parameter to the order parameter of the first spread order.

28. The method of claim 19 further comprising determining the range of values by subtracting a tolerance parameter to the order parameter of the first spread order.

29. The method of claim 19 wherein the step of refraining comprises not placing the second spread order having the effective order parameter.

30. The method of claim 19 wherein each leg of a spread has at least one of the plurality of ranges associated with it.

31. The method of claim 19 wherein the range that is retrieved is associated with the leg for which a market change has occurred.

32. The method of claim 19 wherein the first spread order is an order to buy the spread or an order to sell the spread.

33. The method of claim 19 wherein the step of placing a first spread order having an order parameter comprises placing the first spread order into an automated spread trading tool in which orders are automatically placed in legs of a spread to achieve the spread.

34. The method of claim 19 wherein the step of placing a first spread order having an order parameter comprises placing the first spread order onto an electronic exchange order book.

35. The method of claim 19 further comprising the step of determining if the effective order parameter remains within a plurality of values determined by the order parameter and the at least one tolerance parameter;

and if not,

replacing the first spread order having the order parameter with the second spread order having the effective order parameter.

36. The method of claim 35 wherein the step of replacing the first spread order comprises deleting the first spread order and placing the second spread order.

37. A method for variably regulating order entry in an electronic trading application, the method comprising:

setting, for each leg of a spread, a range that has a tolerance parameter;

entering orders into each leg to achieve a desired spread price;

calculating an effective spread price in response to a market change in one of the legs of the spread;

retrieving a range from the plurality of ranges, where the range that is retrieved is based in part on the desired spread price;

comparing the change between the effective spread price and the desired spread price with the tolerance parameter of the retrieved range; and

determining whether to re-price an order in one of the legs to maintain the desired spread price based in part on the tolerance parameter and the step of comparison.