Trading System

• US 20090012893A1
• Filed: 03/21/2008
• Published: 01/08/2009
• Est. Priority Date: 03/21/2007
• Status: Abandoned Application

• Current Assignee: BGC Partners Incorporated (BGC Group, Inc.)
• Original Assignee: eSpeed Incorporated (BGC Group, Inc.)
• Inventors: Davies, James
• Application Number:
  US12/053,487
• Publication Number:
  US 20090012893A1
• 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
• CPC Class Codes: G06Q 40/08 Insurance

Abstract

A method for enabling collaborative processing of data by one or more computers or digital data processing systems. The computer(s) compute a value representative of a first yield for a first instrument, the first instrument being a derivative of an underlying financial instrument, the first instrument being a non-fixed-income instrument. The computer(s) compute a second yield of a second financial instrument. The computer(s) control automated trading of the first instrument based at least in part on comparison of the first yield value with a computed second yield of a second financial instrument, and/or based on comparison of a differential of the first instrument value over change in market interest rates against a differential of the second instrument value over change in market interest rates, the control balancing sizes of positions in the first instrument and second instrument to achieve a desired financial risk profile.

Claims

1. A method, comprising the steps performed on one or more computers, of:

computing a value representative of a first yield for a first instrument, the first instrument being a derivative of an underlying financial instrument, the first instrument being a non-fixed-income instrument;

computing a second yield of a second financial instrument; and

controlling automated trading of the first instrument based at least in part on comparison of the first yield value with a computed second yield of a second financial instrument, and/or based on comparison of a differential of the first instrument value over change in market interest rates against a differential of the second instrument value over change in market interest rates, the control balancing sizes of positions in the first instrument and second instrument to achieve a desired financial risk profile.

2. The method of claim 1, wherein the first instrument is a bond futures contract.

3. The method of claim 2, wherein the second instrument is a bond futures contract.

4. The method of claim 2, wherein the second instrument is a bond.

5. The method of claim 2, wherein the controlling of automated trading is based at least in part on a comparison of the first yield value with a computed second yield of a second financial instrument

6. The method of claim 2, wherein the controlling of automated trading is based at least in part on comparison of a differential of the first instrument value over change in market interest rates against a differential of the second instrument value over change in market interest rates.

7. The method of claim 6, wherein at least one of the differentials is a DV01 value.

8. The method of claim 2, wherein the controlling of automated trading is designed to synthesize a financial instrument at the spread between the first and second instruments.

9. The method of claim 8, wherein a display screen displays a market for the synthesized financial instrument to a human user.

10. The method of claim 2, wherein the controlling uses a non-linear calculation of the first yield around a value calculated from a price of the first instrument.

11. The method of claim 2, wherein the first yield is calculated based on a yield of the underlying instrument, the underlying instrument being a bond.

12. The method of claim 11, wherein the underlying instrument is a cheapest-to-deliver bond from among a basket of bonds within the scope of the futures contract governing trading of the first instrument.

13. One or more tangible computer memories, having embedded thereon one or more programs to cooperate to cause one or more computers to:

compute a value representative of a first yield for a first instrument, the first instrument being a derivative of an underlying financial instrument, the first instrument being a non-fixed-income instrument;

compute a second yield of a second financial instrument; and

control automated trading of the first instrument based at least in part on comparison of the first yield value with a computed second yield of a second financial instrument, and/or based on comparison of a differential of the first instrument value over change in market interest rates against a differential of the second instrument value over change in market interest rates, the control balancing sizes of positions in the first instrument and second instrument to achieve a desired financial risk profile.

14. The method of claim 13, wherein the first instrument is a bond futures contract.

15. The method of claim 13, wherein the second instrument is a bond futures contract.

16. The method of claim 13, wherein the second instrument is a bond.

17. The method of claim 13, wherein the controlling of automated trading is based at least in part on a comparison of the first yield value with a computed second yield of a second financial instrument

18. The method of claim 13, wherein the controlling of automated trading is based at least in part on comparison of a differential of the first instrument value over change in market interest rates against a differential of the second instrument value over change in market interest rates.

19. The method of claim 13, wherein the controlling of automated trading is designed to synthesize a financial instrument at the spread between the first and second instruments.

20. The method of claim 13, wherein the first yield is calculated based on a yield of the underlying instrument, the underlying instrument being a bond.