Method and apparatus for electronic trading of financial instruments

• US 20070038549A1
• Filed: 02/24/2006
• Published: 02/15/2007
• Est. Priority Date: 08/10/2005
• Status: Active Grant

• Current Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Original Assignee: Itiviti USA, Inc. (Itiviti Group AB)
• Inventors: Ginzburg, Grigoriy, Janowski, Braden
• Granted Patent: US 7,624,066 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 method and apparatus is provided for electronic trading of financial instruments. Financial instruments may be electronically traded according to any of three modes, including single instrument mode, correlated mode, and aggregated mode. One of more market depth representations showing current market price levels, Bids and Asks of the financial instrument(s) to be traded are displayed on a GUI window. The user mouses parallel to the market depth representation to a price level at which the user wishes to initiate a trade, and the moused-over price level is selected. All trade order parameters are pre-constructed either prior to selecting or upon selecting of a price level. The user then clicks a mouse button or initiates some other action of a user input device to place one or more orders.

Claims

1. A method for placing a trade order bundle having trade order parameters for one or more financial instruments to be traded on one or more electronic exchanges the method comprising:

displaying on the screen of a graphical user interface a real time market depth representation with market price levels of one or more tradable financial instruments;

selecting through action of a user input device a market price level for at least one of the one or more tradable financial instruments; and

sending the trade order bundle to said one or more electronic exchanges through further action of the user input device;

wherein all parameters of the trade order are pre-constructed prior to said further action of the user input device.

2. The method of claim 1, wherein all parameters of the trade order bundle are pre-constructed prior to selection of the market price level.

3. The method of claim 1, wherein all parameters of the trade order bundle are pre-constructed upon selection of the market price level.

4. The method of claim 1, wherein said selecting step includes positioning an on-screen pointer of the user input device at said market price level.

5. The method of claim 4, wherein movement of the on-screen pointer along the market depth display changes the selected market price level.

6. The method of claim 1, wherein said one or more financial instruments includes only one tradable financial instrument.

7. The method of claim 1, wherein said one or more financial instruments includes a plurality of aggregated tradable financial instruments.

8. The method of claim 1, wherein said user input device includes a computer mouse with one or more mouse buttons, and said further action of the user input device includes clicking a mouse button.

9. The method of claim 1, wherein said user input device includes a computer mouse with one or more mouse buttons, and said further action of the user input device includes double-clicking a mouse button.

10. The method of claim 1 wherein said user input device includes a computer keyboard with keys, and said further action of the user input device includes striking a key on the computer keyboard.

11. The method of claim 1, wherein said step of sending further comprises:

sending a buy order bundle by activating a first active element of the user input device; and

sending a sell order bundle by activating a second active element of the user input device.

12. The method of claim 11 wherein said first active element includes the left button of a computer mouse and said second:

active element includes the right button of the computer mouse.

13. The method of claim 1, wherein one or more trade order parameters are pre-constructed according to a best execution algorithm.

14. The method of claim 13 wherein said best execution algorithm includes one or more normalization formulas for normalizing prices and quantities of the financial instruments represented by the market depth representations.

15. The method of claim 1 wherein said tradable financial instruments include stocks.

16. The method of claim 1 wherein said tradable financial instruments include commodities.

17. The method of claim 1 wherein said real time market depth representation comprises a price axis having a plurality of market prices for a financial instrument, a bid area having a plurality of displayed bid quantities each of which is associated with a market price level, and an ask area having a plurality of displayed ask quantities each of which is associated with a market price level.

18. The method of claim 17, wherein said market depth representation includes a static price interval that separates the display of quantities associated with the market price levels, wherein the static price interval may be defined by the user.

19. The method of claim 18, wherein bid quantities for one or more instruments having values that fall between the static market price levels are aggregated and rounded down to the closest market price level.

20. The method of claim 18, wherein ask quantities for one or more instruments having values that fall between the static market price levels are aggregated and rounded down to the closest market price level.

22. The method of claim 18, wherein said correlated price levels are displayed based in part on a correlation algorithm.

21. A method for displaying information for use in placing a trade order bundle having trade order parameters for one or more financial instruments to be traded on one or more electronic exchanges, the method comprising:

displaying on the screen of a graphical user interface a first real time market depth representation of one or more tradable financial instruments, said first real time market depth representation having multiple price levels representing market prices for the one or more financial instruments represented by the first market depth representation;

displaying on the graphical user interface screen a second real time market depth representation of one or more tradable financial instruments, said second real time market depth representation having multiple price levels representing market prices for the one or more financial instruments represented by the second market depth representation;

selecting through action of a user input device a market price level of the first market depth representation; and

in response to said step of selecting a market price level within the first market depth representation, displaying on the graphical user interface screen an indicator of one or more correlated price levels on the second real time market depth representation.

23. The method of claim 21, further comprising sending the trade order bundle to said one or more electronic exchanges through further action of a user input device.

24. The method of claim 23, wherein said user input device includes a computer mouse with one or more mouse buttons, and said further action of the user input device includes clicking a mouse button.

25. The method of claim 23, wherein said user input device includes a computer mouse with one or more mouse buttons, and said further action of the user input device includes double-clicking a mouse button.

26. The method of claim 23 wherein said user input device includes a computer keyboard with keys, and said further action of the user input device includes striking a key on the computer keyboard.

27. The method of claim 23, wherein said step of sending further comprises:

sending a buy order bundle by activating a first active element of the user input device; and

sending a sell order bundle by activating a second active element of the user input device.

28. The method of claim 27 wherein said first active element includes the left button of a computer mouse and said second active element includes the right button of the computer mouse.

29. The method of claim 23, wherein one or more trade order parameters are pre-constructed according to a best execution algorithm.

30. The method of claim 23, wherein all parameters of the trade order bundle are pre-constructed prior to said further action of the user input device.

31. The method of claim 23, wherein all parameters of the trade order bundle are pre-constructed prior to selection of the market price level.

32. The method of claim 23, wherein all parameters of the trade order bundle are pre-constructed upon selection of the market price level.

33. The method of claim 21 wherein a market price level of the first market depth representation displayed on the graphical user interface screen is positively correlated to the second market depth representation.

34. The method of claim 21 wherein a market price level of the first market depth representation displayed on the graphical user interface screen is negatively correlated to the second market depth representation.

35. The method of claim 21 wherein a market price level of the first market depth representation displayed on the graphical user interface screen is linearly correlated to the second market depth representation.

36. The method of claim-21 wherein a market price level of the first market depth representation displayed on the graphical user interface screen is non-linearly correlated to the second market depth representation.

37. The method of claim 21 wherein said tradable financial instruments include stocks.

38. The method of claim 21 wherein said tradable financial instruments include commodities.

39. The method of claim 21 wherein said real time market depth representation comprises a price axis having a plurality of market prices for a financial instrument, a bid area having a plurality of displayed bid quantities each of which is associated with a market price level, and an ask area having a plurality of displayed ask quantities each of which is associated with a market price level.

40. The method of claim 39, wherein said market depth representation includes a static price interval that separates the display of quantities associated with the market price levels, wherein the static price interval may be defined by the user.

41. The method of claim 40, wherein bid quantities for one or more instruments having values that fall between the static market price levels are rounded down to the closest market price level.

42. The method of claim 40, wherein ask quantities for one or more instruments having values that fall between the static market price levels are rounded down to the closest market price level.

43. The method of claim 21, wherein said selecting step includes positioning an on-screen pointer of the user input device at said market price level.

44. The method of claim 43, wherein movement of the on-screen pointer along the market depth display changes the selected market price level.

45. The method of claim 21, wherein said indicator is displayed by changing the font color at the selected price level.

46. The method of claim 21, wherein said indicator is displayed by placing an icon adjacent the selected price level.

47. The method of claim 21, wherein said indicator is displayed by highlighting an area adjacent the selected price level.

48. A system for placing a trade order bundle, having trade order parameters, for one or more financial instruments to be traded on one or more electronic exchanges, the system comprising:

a graphical user interface with a display screen;

a user input device; and

a computer readable medium programmed to;

display on the screen of the graphical user interface a real time market depth representation with market price levels of one or more tradable financial instruments;

select through action of the user input device a market price level for at least one of the one or more tradable financial instruments; and

send the trade order bundle to said one or more electronic exchanges through further action of the user input device;

wherein all parameters of the trade order bundle are pre-constructed prior to said further action of the user input device.

49. The system of claim 48, wherein said computer readable medium is further operable to pre-construct all parameters of the trade order bundle prior to selection of the market price level.

50. The system of claim 48, wherein said computer readable medium is further operable to pre-construct all trade order parameters upon selection of the market price level.

51. The system of claim 48, wherein said one or more financial instruments include only one tradable financial instrument.

52. The system of claim 48, wherein said one or more financial instruments include a plurality of aggregated tradable financial instruments.

53. The system of claim 48, wherein said user input device includes a computer mouse with one or more mouse buttons, and said further action of the user input device includes clicking a mouse button.

54. The system of claim 48, wherein said user input device includes a computer mouse with one or more mouse buttons, and said further action of the user input device includes double-clicking a mouse button.

55. The system of claim 48, wherein said user input device includes a computer keyboard with keys, and said further action of the user input device includes striking a key on the computer keyboard.

56. A system for displaying information for use in placing a trade order bundle, having trade order parameters, for one or more financial instruments to be traded on one or more electronic exchanges, the system comprising:

a graphical user interface with a display screen;

a user input device; and

a computer readable medium programmed to;

display on the screen of the graphical user interface a first real time market depth representation of one or more tradable financial instruments, said first real time market depth representation having multiple price levels representing market prices for the one or more financial instruments represented by the first market depth representation;

display on the screen of the graphical user interface a second real time market depth representation of one or more tradable financial instruments, said second real time market depth representation having multiple price levels representing market prices for the one ore more financial instruments represented by the second market depth representation;

select through action of the user input device a market price level of the first market depth representation; and

in response to selection of a market price level within the first market depth representation, display on the graphical user interface screen an indicator of one or more correlated price levels on the second real time market depth representation.

57. The system of claim 56, further comprising sending the trade order bundle to said one or more electronic exchanges through further action of a user input device.

58. The system of claim 57, wherein said user input device includes a computer mouse with one or more mouse buttons, and said further action of the user input device includes clicking a mouse button.

59. The system of claim 57, wherein one or more trade order parameters are pre-constructed according to a best execution algorithm.

60. The system of claim 57, wherein all parameters of the trade order are pre-constructed prior to said further action of the user input device.

61. The system of claim 57, wherein all parameters of the trade order are pre-constructed prior to selection of the market price level.

62. The system of claim 57, wherein all parameters of the trade order are pre-constructed upon selection of the market price level.

63. A method for placing a trade order bundle having trade order parameters for a financial instrument to be traded on one or more electronic exchanges, the method comprising:

displaying on the screen of a graphical user interface a real time market depth representation with market price levels of one or more tradable financial instruments, said graphical user interface including a plurality of user input devices, each of said plurality of user input devices being configured to submit trade orders at one market price level; and

sending the trade order bundle to said one or more electronic exchanges through action of a user input device;

wherein all parameters of the trade order bundle are pre-constructed prior to said action of a user input device.