METHOD AND APPARATUS FOR TRADING FINANCIAL INSTRUMENTS BASED ON A MODEL OF ASSUMED PRICE BEHAVIOR
First Claim
1. A computer-implemented method for trading a financial instrument based on a model of assumed price behavior of the financial instrument, said method comprising:
- providing a predictive model representing assumed price behavior of a financial instrument, said predictive model including one or more analytic levels, each of said one or more analytic levels having a plurality of analytic values divided into two or more nodes wherein each node is associated with a future price indicator that represents an assumed future price of the financial instrument;
producing a current analytic value in real time for each of said one or more analytic levels;
relating each current analytic value to one of the nodes of a corresponding analytic level of the predictive model; and
generating one or more trade orders for trading the financial instrument at one or more electronic exchanges at a trade price that is determined based on the future price indicator associated with a node to which the current analytic value relates.
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Abstract
A model of assumed price behavior of a financial instrument is used in trading the financial instrument. The model includes one or more analytic levels containing analytic values divided into nodes where each node is associated with a future price indicator (such as a price offset) of the financial instrument for a particular look ahead interval. For each analytic level of the model, a current analytic value is related to one of the nodes of that analytic level and a trade order is generated when the future price indicator associated with a node to which the current analytic value relates meets a trader'"'"'s criteria for trading the instrument. Generated trade orders may rest on the book or be filled immediately. Resting orders may be re-priced as market conditions or current analytic values change. Optionally, a trader may specify an edge that triggers submittal of the trade order to an exchange when the future price indicator meets the inverse of the specified edge value. For round trip orders, the trader may specify a hedge offset that is added to the trade price calculation to help ensure the second leg of the round trip order gets filled. Trade orders may be generated when one or all analytic levels of the model indicate favorable trading conditions.
73 Citations
53 Claims
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1. A computer-implemented method for trading a financial instrument based on a model of assumed price behavior of the financial instrument, said method comprising:
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providing a predictive model representing assumed price behavior of a financial instrument, said predictive model including one or more analytic levels, each of said one or more analytic levels having a plurality of analytic values divided into two or more nodes wherein each node is associated with a future price indicator that represents an assumed future price of the financial instrument; producing a current analytic value in real time for each of said one or more analytic levels; relating each current analytic value to one of the nodes of a corresponding analytic level of the predictive model; and generating one or more trade orders for trading the financial instrument at one or more electronic exchanges at a trade price that is determined based on the future price indicator associated with a node to which the current analytic value relates. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15)
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16. A computer-implemented method for trading a financial instrument based on a model of assumed price behavior of the financial instrument, said method comprising:
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providing a predictive model representing assumed price behavior of a financial instrument, said predictive model including one or more analytic levels, each of said one or more analytic levels having a plurality of analytic values divided into two or more nodes wherein each node is associated with a future price indicator that represents an assumed future price of the financial instrument; producing a current analytic value in real time for each of said one or more analytic levels; relating each current analytic value to one of the nodes of a corresponding analytic level of the predictive model; establishing an edge value representing an amount a trader wishes to make when trading the financial instrument; and generating one or more trade orders for trading the financial instrument at one or more electronic exchanges at a trade price that is determined based on the future price indicator associated with a node to which the current analytic value relates and the established edge value. - View Dependent Claims (17, 18, 19, 20, 21, 22, 23, 24, 25, 26)
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27. An apparatus for allowing a trader to submit trade orders for a financial instrument from an electronic processing device to an electronic exchange, the apparatus comprising:
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a graphical user display device; a user input device; a communication network for electronically communicating with an electronic exchange; and a programmable electronic processing device in communication with the display device, user input device, and communication network, the electronic processing device being programmed to take the following actions in response to input received from the user input device; obtain a future price indicator for the financial instrument by comparing a current analytic value representing current price behavior of the financial instrument to analytic values contained within a predictive model having one or more analytic levels representing assumed price behavior of the financial instrument; and generate one or more trade orders for trading the financial instrument at one or more electronic exchanges via the communication network at a trade price that is determined based on the future price indicator. - View Dependent Claims (28, 29, 30, 31, 32, 33, 34, 35, 36, 37, 38)
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39. An apparatus for allowing a trader to submit trade orders for a financial instrument from an electronic processing device to an electronic exchange, the apparatus comprising:
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a graphical user display device; a user input device; a communication network for electronically communicating with an electronic exchange; and a programmable electronic processing device in communication with the display device, user input device, and communication network, the electronic processing device being programmed to take the following actions in response to input received from the user input device; display a graphical control interface on the display device, the graphical control interface including a plurality of edge values, each of said plurality of edge values representing an amount a trader wishes to make on a trade of a financial instrument; obtain a future price indicator for the financial instrument by comparing a current analytic value representing current price behavior of the financial instrument to analytic values contained within a predictive model having one or more analytic levels representing assumed price behavior of the financial instrument; and in response to a selection of an edge value from the graphical control interface with the user input device, generate one or more trade orders for trading the financial instrument at one or more electronic exchanges via the communication network at a trade price that is determined based on the future price indicator and the selected edge value. - View Dependent Claims (40, 41, 42, 43, 44, 45, 46, 47, 48, 49, 50, 51, 52, 53)
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Specification