METHOD AND SYSTEM FOR PROVIDING RISK MANAGEMENT FOR MULTI-MARKET ELECTRONIC TRADING

• US 20090276367A1
• Filed: 04/28/2009
• Published: 11/05/2009
• Est. Priority Date: 04/30/2008
• Status: Abandoned Application

• Current Assignee: Rosenthal Collins Group LLC (Marex Spectron Group Ltd.)
• Original Assignee: Rosenthal Collins Group LLC (Marex Spectron Group Ltd.)
• Inventors: ROSENTHAL, Leslie
• Application Number:
  US12/430,918
• Publication Number:
  US 20090276367A1
• Time in Patent Office: Days
• US Class Current: 705/36.R
• 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 risk management for multi-market electronic trading. The method and system allow risk associated with one or more trading accounts for an electronic trader in multi-market electronic trading to be analyzed and managed in real-time. The method and system includes graphical display of risk assessments for plural traders. The risk assessment includes a set of risk parameters with current risk parameters and historical risk parameters and provides an integrated view of current and historical trading activities and trading resources of the electronic trader across all electronic trading exchanges the electronic trader is trading on (e.g. Chicago Board of Trade (CBOT), New York Stock Exchange (NYSE), NASDAQ, Tokyo Stock Exchange (TSE), London International Financial and Futures Options Exchange (LIFFE), etc.).

Claims

1. A method for analyzing risk for electronic trading, comprising:

collecting automatically and periodically in real-time electronic trading information for an electronic trader via a communications network via a risk application executing in a memory on a network device,

wherein the collected electronic trading information includes current and historical electronic trading execution information and current market trading information from a plurality of data streams from a plurality of electronic trading exchanges;

processing the electronic trading information with a pre-determined method to create a set of risk parameters, wherein the set of risk parameters include current risk parameters and historical risk parameters and provide an integrated view of current and historical trading activities and trading resources of the electronic trader across all electronic trading exchanges the electronic trader is trading on;

determining a risk assessment from the created set of risk parameters, wherein the risk assessment includes one or more risk thresholds determined automatically and dynamically from the created set of risk parameters;

conducting a test to determine if the risk assessment exceeds one or more determined risk thresholds,

and if so, issuing one or more risk trading alerts in real-time,

wherein the test is conducted periodically and continuously in real-time as the electronic trader'"'"'s positions dynamically change and as market conditions dynamically change on the plurality of electronic trading exchanges,

wherein the one or more risk trading alerts are used to notify one or more brokers servicing the electronic trader and other designated parties that the electronic trader has currently exceed one or more risk thresholds.

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

3. The method of claim 1 wherein the set of risk parameters include maximum absolute position value by all accounts on all trading exchanges, absolute net position change by all accounts on all trading exchanges, total change in all positions in all accounts in all trading exchanges, total account value decline of greater than a pre-determined threshold, total trade volume and net profit and loss.

4. The method of claim 1 wherein the processing the electronic trading information with a pre-determined method includes producing real-time statistical studies of the collected electronic trading information including real-time statistical studies of historical electronic trading information and real-time statistical studies of current electronic trading information.

5. The method of claim 1 wherein the risk thresholds include risk thresholds created in real-time using current trading information and historical trading information.

6. The method of claim 1 wherein the determining steps includes:

dynamically and automatically determining in real-time a plurality of risk threshold values for a plurality of different current trading alerts using the created set of risk parameters, wherein the plurality of risk threshold values are dynamically and automatically determined using a pre-determined hierarchy; and

dynamically and automatically determining in real-time a plurality of risk threshold values for a plurality of different historical trading alerts using the created set of risk parameters, wherein the plurality of risk threshold values are dynamically and automatically determined using real-time statistical modeling of historical trading data.

7. The method of claim 6 wherein the pre-determined hierarchy includes a trading account hierarchy comprising a trading firm, a trading firm office and a trading account.

8. The method of claim 1 wherein the one or more risk trading alerts include a plurality of different notification, warning and emergency risk trading alerts.

9. The method of claim 1 wherein the integrated view of current and historical trading activities and trading resources of the electronic trader also includes electronic information about trades that were executed other than electronically.

10. The method of claim 1 wherein the risk assessment includes total account values, prior trading histories, current trading histories across all accounts with all brokers on all electronic trading exchanges the electronic trader is trading on.

11. The method of claim 1 wherein the one or more trading alerts are displayed graphically using one more different colors in one or more windows on a graphical user interface on the network device.

12. The method of claim 1 wherein the risk application uses an event-driven architecture (EDA) with complex event processing (CEP) to provide risk management dynamically and automatically in real-time.

14. The method of claim 1 wherein the network device is a target network device used by an electronic trader or a server network device.

15. A method for analyzing risk for electronic trading, comprising:

receiving continuously and dynamically in real-time a plurality of risk assessments for electronic trading for a plurality of electronic traders on a risk application a network device via a communications network, wherein the risk assessment includes one or more risk thresholds determined automatically and dynamically from a created set of risk parameters, wherein the created set of risk parameters include current risk parameters and historical risk parameters and provide an integrated view of current and historical trading activities and trading resources of the plurality of electronic traders;

displaying continuously and dynamically in real-time the plurality of risk assessments in a plurality colors in one more windows on a graphical user interface in on the network device; and

displaying continuously and dynamically in real-time one or more risk trading alerts for one or more electronic traders who have exceeded one or more pre-determined risk assessment thresholds, wherein the one or more risk trading alerts are used to alter trading activity of electronic traders who have exceeded one or more risk thresholds.

16. A computer readable medium having stored therein a plurality of instructions in a memory for causing one or more processors to execute the steps of the method of claim 15.

17. The method of claim 16 wherein the one or more risk thresholds determined automatically and dynamically from a created set of risk parameters includes:

dynamically and automatically determining in real-time a plurality of risk threshold values for a plurality of different current trading alerts using the created set of risk parameters, wherein the plurality of risk threshold values are dynamically and automatically determined using a pre-determined hierarchy; and

dynamically and automatically determining in real-time a plurality of risk threshold values for a plurality of different historical trading alerts using the created set of risk parameters, wherein the plurality of risk threshold values are dynamically and automatically determined using real-time statistical modeling of historical trading data.

18. The method of claim 15 wherein the one or more risk trading alerts include current risk trading alerts and historical risk trading alerts.

19. The method of claim 18 wherein the current risk trading alerts and the historical risk trading alerts each include a plurality of different notification, warning and emergency risk trading alerts.

20. A system for analyzing risk for electronic trading, comprising in combination:

means for collecting automatically and periodically in real-time electronic trading information for an electronic trader via a communications network via a risk application executing in a memory on a network device, wherein the collected electronic trading information includes, current and historical electronic trading execution information and current market trading information from a plurality of data streams from a plurality of electronic trading exchanges;

means for processing the electronic trading information with a pre-determined method to create a set of risk parameters, wherein the set of risk parameters include current risk parameters and historical risk parameters and provide an integrated view of current and historical trading activities and trading resources of the electronic trader across all electronic trading exchanges the electronic trader is trading on;

means for determining a risk assessment from the created set of risk parameters, wherein the risk assessment includes one or more risk thresholds determined automatically and dynamically from the created set of risk parameters, wherein the one or more risk thresholds include current trading risk thresholds and historical trading risk threshold, wherein the current trading risk thresholds are dynamically and automatically determined in real-time for a plurality of different current trading alerts using the created set of risk parameters, wherein the plurality of current trading risk threshold values are dynamically and automatically determined using a pre-determined risk hierarchy and wherein the historical trading risk thresholds are dynamically and automatically determined in real-time for a plurality of different historical trading alerts using the created set of risk parameters, wherein the plurality of threshold values are dynamically and automatically determined using real-time statistical modeling of historical trading data;

means for conducting a test to determine if the risk assessment exceeds one or more determined risk thresholds, and if so, issuing one or more risk trading alerts in real-time, wherein the test is conducted periodically and continuously in real-time as trader'"'"'s positions dynamically change and as market conditions dynamically change, wherein the one or more risk trading alerts are used to notify one or more brokers servicing the electronic trader and other designated parties that the electronic trader has currently exceeded one or more risk thresholds; and

means for displaying continuously and dynamically in real-time one or more risk trading alerts for one or more electronic traders who have exceeded one or more pre-determined risk assessment thresholds, wherein the one or more risk trading alerts are used to alter trading activity of electronic traders who have exceeded one or more risk thresholds.