METHOD AND SYSTEM FOR USING QUANTITATIVE ANALYTICS ON A GRAPHICAL USER INTERFACE FOR ELECTRONIC TRADING

• US 20100076906A1
• Filed: 10/14/2009
• Published: 03/25/2010
• Est. Priority Date: 07/12/2004
• Status: Abandoned Application

• Current Assignee: Rosenthal Collins Group LLC (Marex Spectron Group Ltd.)
• Original Assignee: Rosenthal Collins Group LLC (Marex Spectron Group Ltd.)
• Inventors: SADR, Amir, EUBANK, Matthew B., ROSENTHAL, Leslie
• Application Number:
  US12/578,677
• Publication Number:
  US 20100076906A1
• 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 a graphical user interface (GUI) for real-time market tracking, trading and display of financial note, bond, instrument and futures contract information for electronic trading. The method and system via the GUI allow display of Treasury note, Treasury bond, futures contract and other entities using quantitative analytics based on customizable real-time market data and customized static values for electronic trading.

Claims

1. A method for using tracking market information for electronic trading, comprising:

receiving via a communications network on an application on a network device with one or more processors a plurality of real-time market values and a plurality of static trading values for one or more electronic trades on one more electronic trading exchanges, wherein the application includes a graphical user interface (GUI) with a of plurality graphical windows for electronic trading;

performing dynamically and automatically one or more pre-determined quantitative analytic methods via the application using the received plurality of real-time market values and the plurality of static trading values thereby calculating market tracking information for electronic trading, wherein the calculated market tracking information is calculated with output from quantitative analytic methods using actual calculations or hypothetical calculations from current market conditions;

displaying the calculated market tracking information in one or more windows on the graphical user interface;

using the displayed market tracking information to automatically execute one or more electronic trades via the application via one or more graphical windows on the graphical user interface on the one or more electronic trading exchanges.

2. A computer readable medium having stored therein instructions for causing one or more processors to execute the steps of the Method of claim 1.

3. The method of claim 1 wherein the application is an integral application in an electronic trading system or a stand-alone web-application used from a browser via a communications network.

4. The method of claim 1 wherein the network device includes a target network device or a server network device.

5. The method of claim 1 wherein the step of displaying the created market tracking information in one or more graphical windows includes displaying the created market tracking information in a Market Tracking window, an Aggregated Book View (ABV) graphical window or an Order ticket window.

6. The method of claim 5 wherein the Market Tracking window includes an price editing, cell overriding, instrument and row selecting and column selecting graphical window.

7. The method of claim 1 wherein the step of performing dynamically and automatically one or more pre-determined quantitative analytic methods includes dynamically and automatically performing one or more pre-determined quantitative analytic methods including a price, yield, modified duration, accrued interest, dirty price or forward clean price analytic method.

8. The method of claim 1 wherein the price analytic method includes determines a price for notes and bonds given a yield, coupon rate, settlement date, and maturity date, the yield analytic method determines a yield of notes and bonds given a price, coupon rate, settlement date, and maturity date, the modified duration analytic method determines a price sensitivity of a note or bond to a change in yield, the accrued interest duration determines theoretical extra value accrued in between coupon pay dates on a bond or note, the dirty price analytic method determines a spot price for a note or a bond plus accrued interest and the forward clean price analytic method determines a forward price for a forward futures contract given a settlement date, maturity date, coupon rate, spot price, forward date, and repo rate, wherein the repo rate is either an overnight or term repurchase agreement and wherein the forward clean price is a standard forward price adjusted to remove accrued interest.

9. The method of claim 1 wherein the one or more pre-determined quantitative analytic methods include a plurality of object-oriented objects created with one or more object-oriented programming languages implemented in computer software and stored in a computer readable medium having instructions for causing the one or more processors on the network device to execute the step of performing dynamically and automatically one or more pre-determined quantitative analytic methods.

10. The method of claim 1 wherein the calculated market tracking information includes calculated risk information.

11. The method of claim 10 wherein the calculated risk information is displayed in one or more graphical windows.

12. The method of claim 10 wherein the calculated risk information includes a sub-total risk calculation and a total risk security equivalent for cash and commodity futures entities being tracked or traded.

13. The method of claim 1 wherein the step of performing dynamically and automatically one or more pre-determined quantitative analytic methods includes dynamically and automatically performing one or more pre-determined quantitative analytic methods for real trading entities, synthetic trading, black box trading entities and for spread trading entities.

14. A system for using tracking market information for electronic trading, comprising in combination:

means for receiving via a communications network on an application on a network device with one or more processors a plurality of real-time market values and a plurality of static trading values for one or more electronic trades on one more electronic trading exchanges, wherein the application includes a graphical user interface (GUI) with a of plurality graphical windows for electronic trading;

means for performing dynamically and automatically one or more pre-determined quantitative analytic methods via the application using the received plurality of real-time market values and the plurality of static trading values thereby calculating market tracking information for electronic trading, wherein the calculated market tracking information is calculated with output from quantitative analytic methods using actual calculations or hypothetical calculations from current market conditions;

means for displaying the calculated market tracking information in one or more windows on the graphical user interface;

means for using the displayed market tracking information to automatically execute one or more electronic trades via the application via one or more graphical windows on the graphical user interface on the one or more electronic trading exchanges.

15. The system of claim 14 further comprising:

means for displaying the created market tracking information in one or more graphical windows includes displaying the created market tracking information in a Market Tracking window, an Aggregated Book View (ABV) graphical window or an Order ticket window.

16. The system of claim 14 further comprising:

means for displaying the created market tracking information in a Market Tracking graphical window including an price editing, cell overriding, instrument and row selecting and column selecting graphical window.

17. The system of claim 14 further comprising:

means for performing dynamically and automatically one or more pre-determined quantitative analytic methods including a price, yield, modified duration, accrued interest, dirty price or forward clean price analytic method.

18. The system of claim 14 further comprising:

means for performing dynamically and automatically one or more pre-determined quantitative analytic methods including a price analytic method for determining a price for notes and bonds given a yield, coupon rate, settlement date, and maturity date, a yield analytic method for determining a yield of notes and bonds given a price, coupon rate, settlement date, and maturity date, a modified duration analytic method for determining a price sensitivity of a note or bond to a change in yield, the accrued interest duration determines theoretical extra value accrued in between coupon pay dates on a bond or note, a dirty price analytic method for determining a spot price for a note or a bond plus accrued interest and a forward clean price analytic method for determining a forward price for a forward futures contract given a settlement date, maturity date, coupon rate, spot price, forward date, and repo rate, wherein the repo rate is either an overnight or term repurchase agreement and wherein the forward clean price is a standard forward price adjusted to remove accrued interest.

19. The system of claim 14 further comprising:

means for calculating risk information for cash and commodity futures entities being tracked or traded.

20. The system of claim 14 further comprising:

means for calculating risk information for cash and commodity futures entities being tracked or traded including a sub-total risk calculation and a total risk security equivalent for cash and commodity futures entities being tracked or traded.