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System and Method for Aggressively Trading a Strategy in an Electronic Trading Environment

  • US 20090299890A1
  • Filed: 05/28/2008
  • Published: 12/03/2009
  • Est. Priority Date: 05/28/2008
  • Status: Active Grant
First Claim
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1. A system and method for aggressively trading a strategy in an electronic trading environment, comprising:

  • defining a spread trading strategy, wherein the spread trading strategy comprises buying or selling a first tradeable object and buying or selling a second tradeable object, and wherein the first and second tradeable objects are listed at an electronic exchange;

    defining a level of aggressiveness to associate with the spread trading strategy, wherein the level of aggressiveness is used to determine a price for which a quote order will be placed in the first tradeable object based on a leaned on price in the second tradeable object;

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

    determining if a market gap exists in the second tradeable object, wherein the market gap comprises a price level without an available bid or offer quantity;

    determining the leaned on price in the second tradeable object, wherein the leaned on price is determined based on the market gap and the level of aggressiveness;

    calculating a quote order price to associate with the first tradeable object, wherein the quote order price is calculated based on the leaned on price; and

    placing a quote order at the calculated quote order price in the first tradeable object.

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