System and Method for Dynamically Changing an Electronic Trade Order Quantity

• US 20080243709A1
• Filed: 03/28/2007
• Published: 10/02/2008
• Est. Priority Date: 03/28/2007
• Status: Active Grant

• Current Assignee: Trading Technologies International, Inc.
• Original Assignee: Trading Technologies International, Inc.
• Inventors: Mintz, Sagy P., Burns, Michael J., Peterson, Thomas A.
• Granted Patent: US 7,729,978 B2
• Time in Patent Office: Days
• US Class Current: 705/36R
• 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 methods for dynamically changing a trade order quantity in an electronic trading environment are described herein. According to one example embodiment, an automated trading tool determines if a leaned on quantity of a trading strategy has increased or decreased and if so, dynamically changing a desired order quantity to reflect the change in the leaned on quantity. Dynamically changing an order quantity may be more profitable for a trader as order queue position may be maintained and portion of the desired order quantity may get filled; rather than a trader losing their order queue position and/or taking a chance of not getting any of their order quantity filled.

Claims

1. A method for dynamically changing a trade order quantity in an electronic trading environment, comprising:

defining a trading strategy comprising a first tradeable object and a second tradeable object;

setting a decrease parameter, wherein the decrease parameter is used to determine when the trade order quantity is dynamically decreased;

setting a desired price and quantity to buy or sell the trading strategy;

upon receipt of the desired price and quantity for the trading strategy, automatically placing a first trade order in the first tradeable object, wherein based on the trading strategy, the first trade order leans on a quantity in the second tradeable object; and

determining if the leaned on quantity in the second tradeable object has decreased and if so, dynamically decreasing the order quantity of the trade order in the first tradeable object to reflect the change in the leaned on quantity in the second tradeable object according to the trading strategy.

2. The method of claim 1, wherein the decrease parameter is defined as a percentage value.

3. The method of claim 1, wherein the decrease parameter is defined as an integer value.

4. The method of claim 1, wherein the decrease parameter is based on one or more defined risk parameters that is intended to limit profit and loss.

5. The method of claim 1, wherein dynamically decreasing the order quantity of the first trade order in the first tradeable object further comprises:

comparing the decreased leaned on quantity in the second tradeable object to the decrease parameter;

determining if the leaned on quantity in the second tradeable object decreased by less than the decrease parameter and if so, decreasing the order quantity of the first trade order in the first tradeable object to reflect the decreased leaned on quantity in the second tradeable object; and

determining if the leaned on quantity in the second tradeable object decreased more than the decrease parameter and if so, re-pricing the trade order in the first tradeable object such that sufficient quantity in the second tradeable object may be leaned on.

6. The method of claim 5, wherein re-pricing the trade order to a price level where sufficient quantity is available to lean on results in a new leaned on quantity in the second tradeable object.

7. The method of claim 1, further comprising:

setting an increase parameter, wherein the increase parameter defines when the trade order quantity may be dynamically increased; and

determining if the leaned on quantity in the second tradeable object has increased and if so, dynamically increasing the order quantity of the first trade order in the first tradeable object to reflect the change in the leaned on quantity in the second tradeable object according to the trading strategy.

8. The method of claim 7, wherein the increase parameter is defined as a percentage value.

9. The method of claim 7, wherein the increase parameter is defined as an integer value.

10. The method of claim 7, wherein the increase parameter is based on one or more defined risk parameters that is intended to limit profit and loss.

11. The method of claim 7, wherein dynamically increasing the order quantity of the first trade order in the first tradeable object further comprises:

comparing the increased leaned on quantity in the second tradeable object to the increase parameter;

determining if the leaned on quantity in the second tradeable object increased more than the increase parameter and if so, increasing the order quantity of the first trade order in the first tradeable object to reflect the increase in the leaned on quantity in the second tradeable object; and

determining if the leaned on quantity in the second tradeable object increased less than the increase parameter and if so, maintaining the current order quantity of the first trade order in the first tradeable object.

12. The method of claim 11, further comprising:

determining if the leaned on quantity in the second tradeable object increased more than the increase parameter and if so, cancelling the first trader order and submitting a second trade order with a quantity equivalent to the desired quantity and increase in the leaned on quantity.

13. The method of claim 11, further comprising:

determining if the leaned on quantity in the second tradeable object increased more than the increase parameter and if so, submitting a second trade order with a quantity equivalent to the increase in the leaned on quantity.

14. The method of claim 1, further comprising:

setting a volume multiplier parameter, wherein the volume multiplier parameter defines the amount of quantity that is to be available in the second tradeable object for the trade order in the first tradeable object to lean on.

15. The method of claim 14, further comprising:

calculating a minimum leaned on quantity by multiplying the order quantity of the first trade order in the first tradeable object by the volume multiplier and a spread ratio.

16. The method of claim 14, wherein the volume multiplier parameter is defined as an integer value.

17. The method of claim 1, further comprising:

determining if a lesser quantity is available to lean on in the second tradeable object prior to placing the first trade order in the first tradeable object; and

if so

dynamically decreasing the order quantity of the first trade order in the first tradeable object.

18. The method of claim 1, further comprising:

checking a plurality of price levels closer to an inside market of the second tradeable object prior to placing the first trade order in the first tradeable object;

determining if lesser quantity is available to lean on at one of the plurality of price levels closer to the inside market of the second tradeable object; and

if so

dynamically decreasing the order quantity of the first trade order in the first tradeable object prior to placing the first trade order in the first tradeable object.

19. The method of claim 18, wherein the inside market comprises a highest bid price and a lowest ask price currently available in the market.

20. The method of claim 1, wherein the dynamically decreased or increased order quantity is displayed in relation to the first trade order in the first tradeable object.

21. A computer readable medium having program code recorded thereon for execution on a computer for dynamically changing a trade order quantity in an electronic trading environment, comprising:

a first program code for defining a trading strategy comprising a first tradeable object and a second tradeable object;

a second program code for setting a decrease parameter, wherein the decrease parameter is used to determine when the trade order quantity is dynamically decreased;

a third program code for setting a desired price and quantity to buy or sell the trading strategy;

a fourth program code for, upon receipt of the desired price and quantity for the trading strategy, automatically placing a first trade order in the first tradeable object, wherein based on the trading strategy, the first trade order leans on a quantity in the second tradeable object; and

a fifth program code for determining if the leaned on quantity in the second tradeable object has decreased and if so, dynamically decreasing the order quantity of the trade order in the first tradeable object to reflect the change in the leaned on quantity in the second tradeable object according to the trading strategy.