Method and system for providing automatic execution of black box strategies for electronic trading

• US 20060259407A1
• Filed: 05/04/2006
• Published: 11/16/2006
• Est. Priority Date: 05/04/2005
• Status: Active Grant

• Current Assignee: Rosenthal Collins Group LLC (Marex Spectron Group Ltd.)
• Original Assignee: Rosenthal Collins Group LLC (Marex Spectron Group Ltd.)
• Inventors: Rosenthal, Leslie, Collins, J. Robert
• Granted Patent: US 7,801,801 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 40/06 Asset management; Financial planning or analysis

Abstract

A method and system for providing automatic execution of black box trading strategies for electronic trading. A black box trading entity is created from two or more real or synthetic trading entities including real or synthetic contracts or financial instruments. The black box trading entity is automatically traded via one or more electronic trading exchanges.

Claims

1. A method for automatically executing a black box trading entity, comprising:

creating a black box trading entity from two or more real or synthetic trading entities;

receiving two or more sets of electronic trading information from one or more electronic trading exchanges including trading information for the two or more real or synthetic trading entities for the created black box trading entity; and

automatically executing two or more electronic trades electronically for the black box trading entity on the appropriate one or more electronic trading exchanges to execute the black box trading entity.

2. The method of claim 1 further comprising a computer readable medium having stored therein a plurality of instructions for causing one or more processors to execute the steps of the method.

3. The method of claim 1 wherein the black box trading entity includes a real or synthetic trading entity created from two or more selected real or synthetic financial instruments.

4. The method of claim 1 wherein the black box trading entity includes a black box trading entity created from two or more selected real or synthetic financial contracts.

5. The method of claim 1 wherein the black box trading entity includes a black box trading entity created from a difference between a cash and futures price for a selected financial instrument or financial contract.

6. The method of claim 1 wherein the black box trading entity includes a black box trading entity created from two or more distinct markets including a cash market and a futures market.

7. The method of claim 1 wherein the black box trading entity includes a black box trading entity created with a pre-determined relationship between the two or more real or synthetic trading entities.

8. The method of claim 7 wherein the pre-determined relationship includes a one-to-one relationship or multi-to-one relationship.

9. The method of claim 1 wherein the black box trading entity is created via a graphical user interface by selecting two or more real trading entities from a list of a plurality of real trading entities.

10. The method of claim 1 wherein the black box trading entity includes a configurable slippage factor portion to execute an alternative real futures entity trade if a primary real futures entity trade is missed.

11. The method of claim 10 wherein configurable slippage factor potion is configured from a graphical user interface.

12. The method of claim 1 wherein the black box trading entity includes a configurable duration portion to create one-to-one synthetic trading durations including multi-to-one real trading entity durations.

13. The method of claim 1 wherein the configuration duration portion is configured from a graphical user interface.

14. The method of claim 1 wherein the black box trading entity includes a real or synthetic spread between two or more real or synthetic trading entities.

15. The method of claim 1 wherein the creating step includes creating the black box trading entity from an Aggregated Book View or Order Ticket graphical window on a graphical user interface.

16. A method for automatically creating a black box trading entity, comprising:

selecting a first real or synthetic trading entity from a plurality of real or synthetic trading entities displayed on a graphical user interface;

selecting one or more other real or synthetic trading entities from a plurality of real trading entities displayed on the graphical user interface;

creating a black box trading entity from the selected first real or synthetic trading entity and the selected one or more other real or synthetic trading entities; and

providing automatic electronic trading of the black box trading entity via the graphical user interface.

17. The method of claim 16 further comprising a computer readable medium having stored therein a plurality of instructions for causing one or more processors to execute the steps of the method.

18. The method of claim 16 wherein the black box trading entity includes one or more real or synthetic spreads between one or more real or synthetic entities, one or more real or synthetic one-to-one or multi-to-one trading durations, or one or more real or synthetic slippage factors to automatically execute a secondary trade if a primary trade is missed.

19. The method of claim 16 wherein the graphical user interface includes an Aggregated Book View or Order Ticket graphical window on the graphical user interface.

20. The method of claim 16 wherein the creating step includes entering a mathematical formula representing a real or synthetic trading entity thereby allowing automatic tracking and execution of both real and synthetic trading entities.

21. A black box trading entity system, comprising in combination:

means for selecting a first real or synthetic trading entity from a plurality of real or synthetic trading entities, for selecting one or more other real or synthetic trading entities from a plurality of real or synthetic trading entities;

means for creating a black box trading entity from the selected first real or synthetic trading entity and the selected one or more other real or synthetic trading entities; and

means for providing automatic electronic trading of the black box trading entity via one or more electronic trading exchanges.

22. The black box trading system of claim 21 wherein the black box trading entity includes one or more real or synthetic spreads between one or more real or synthetic entities, one or more real or synthetic one-to-one or multi-to-one trading durations, or one or more real or synthetic slippage factors to automatically execute a secondary trade if a primary trade is missed.

23. A black box trading entity system, comprising in combination:

a graphical user interface with a plurality of windows for creating and displaying a status electronic trades for a black box trading entity;

an application for displaying the graphical user interface, for receiving two or more sets of electronic trading information from one or more electronic trading exchanges including trading information for the black box trading entity, for automatically executing two or more electronic trades electronically for the black box trading entity on the appropriate one or more electronic trading exchanges and for displaying results on the graphical user interface.