METHOD AND SYSTEM FOR AUTOMATICALLY INPUTTING, MONITORING AND TRADING RISK- CONTROLLED SPREADS

• US 20100076907A1
• Filed: 11/06/2009
• Published: 03/25/2010
• Est. Priority Date: 05/31/2005
• Status: Abandoned Application

• Current Assignee: Rosenthal Collins Group LLC (Marex Spectron Group Ltd.)
• Original Assignee: Rosenthal Collins Group LLC (Marex Spectron Group Ltd.)
• Inventors: Downs, James C., Rosenthal, Leslie, Levine, Benjamin D.
• Application Number:
  US12/613,817
• Publication Number:
  US 20100076907A1
• 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 dynamic display of electronic trading information for trading risk-controlled spreads. The method and system allow spreads to be automatically inputted, executed, monitored and managed via plural different risk controls on one or more trading exchanges. The method and system provide automatic readjustment of desired market limit prices using one or more pre-determined spread trading risk factors and market depth information to maintain a desired price differential and a desired risk level for the automatic risk-controlled spread.

Claims

1. A method for automatically executing risk-controlled trading spreads, comprising:

automatically generating a first trading order for a first leg of an automatic risk-controlled trading spread on a first electronic trading exchange via a trading application on a target device with one or more processors via a communications network, wherein the first trading order includes a first desired market limit price;

automatically generating a second trading order for a second leg of an automatic risk-controlled trading spread on a second electronic trading exchange via the trading application on the target device, wherein the second trading order includes a second desired market limit price;

automatically generating a first spread risk factor for a trading price that satisfies a desired spread price differential between the first desired market limit price and the second desired market limit price;

automatically generating a second spread risk factor that considers market depth information on the first trading exchange and on a second trading exchange for the generated first trading order and the generated second trading order; and

automatically readjusting the first desired market price or the second desired market price for the automatic risk-controlled trading spread whenever the first spread risk factor or the second spread risk factor exceeds one or more pre-determined spread risk thresholds.

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

3. The method of claim 1 further comprising:

automatically generating a third spread risk factor that considers a difference in value between the first spread risk factor and the second spread risk factor; and

automatically readjusting the first desired market price or the second desired market price whenever the third risk factor exceeds another pre-determined spread risk threshold.

4. The method of claim 1 further comprising:

viewing the automatic risk-controlled trading spread via an Ask Bid Volume (ABV) graphical window on a graphical user interface with a plurality of graphical windows generated by the trading application, wherein the ABV window includes a dynamic price column that displays a market depth for the automatic risk-controlled trading spread, a market depth for the first trading leg and the second trading leg of the automatic risk-controlled trading spread and one or more generated spread risk factors for electronic trades being executed for the automatic risk-controlled trading spread.

6. The method of claim 1 further comprising:

viewing the automatic risk-controlled trading spread via an Ask Bid Volume (ABV) graphical window on a graphical user interface with a plurality of graphical windows generated by the trading application, wherein the ABV window includes a selection mode for selecting a dynamic price column that that dynamically, continuously and automatically a last trade price and displays a market depth for the automatic risk-controlled trading spread, a dynamic bid column that dynamically, continuously and automatically displays a last traded or best bid for the automatic risk-controlled trading spread, or a dynamic ask column that that dynamically, continuously and automatically displays a last traded or best ask for the automatic risk-controlled trading spread, a market depth for the first trading leg and the second trading leg of the automatic risk-controlled trading spread and one or more generated spread risk factors for electronic trades being executed for the automatic risk-controlled trading spread.

7. The method of claim 1 further comprising:

viewing the automatic risk-controlled trading spread via a Spread Risk Control graphical window on a graphical user interface with a plurality of graphical windows generated by the trading application, wherein the Spread Risk Control window displays one or more spread risk factors generated for the automatic risk-controlled trading spread.

8. The method of claim 1 wherein the step of automatically generating a first spread risk factor includes generating the first spread risk factor for the desired spread price differential using a set of risk parameters for trading spreads comprising current risk parameters and historical risk parameters to provide an integrated view of current and historical trading activities and trading resources across all electronic trading exchanges for which a spread trading order is being traded.

9. The method of claim 1 wherein the step of automatically generating a second spread risk factor includes generating the second spread risk factor for the market depth using a set of risk parameters for trading spreads comprising current risk parameters and historical risk parameters to provide an integrated view of current and historical of market depth across all electronic trading exchanges for which a spread trading order is being traded.

10. The method of claim 1 wherein the one or more pre-determined spread risk thresholds include one or more pre-determined spread risk thresholds determined from current risk parameters and historical risk parameters including real-time statistical studies of historical electronic trading information and real-time statistical studies of current electronic trading information.

11. The method of claim 1 wherein the one or more pre-determined spread risk thresholds include one or more pre-determined spread risk thresholds from a pre-determined risk hierarchy.

12. A method for automatically executing risk-controlled trading spreads, comprising:

automatically generating a first trading order for a first leg of an automatic risk-controlled trading spread on a first electronic trading exchange via a trading application on a target device with one or more processors via a communications network, wherein the first trading order includes a first desired market limit price;

automatically generating a second trading order for a second leg of an automatic risk-controlled trading spread on a second electronic trading exchange via the trading application on the target device, wherein the second trading order includes a second desired market limit price;

automatically generating a plurality of spread risk factors including;

automatically generating a first spread risk factor for a trading price for first desired market limit price,

automatically generating a second spread risk factor for the second desired market limit price,

automatically generating a third spread risk factor for the price differential between the first desired market price and the second desired market price, and

automatically readjusting the first desired market price or the second desired market price for the automatic risk-controlled trading spread whenever the first spread risk factor or the second spread risk factor or the third spread risk factor exceeds one or more pre-determined spread risk thresholds.

13. A computer readable medium having stored therein a plurality of instructions for causing one or more processors to execute the steps of the method of claim 12.

14. The method of claim 12 further comprising:

viewing the automatic risk-controlled trading spread via an Ask Bid Volume (ABV) graphical window on a graphical user interface with a plurality of graphical windows generated by the trading application, wherein the ABV window includes a dynamic price column and displays a market depth for the automatic risk-controlled trading spread, a market depth for the first trading leg and the second trading leg of the automatic risk-controlled trading spread and one or more generated spread risk factors for electronic trades being executed for the automatic risk-controlled trading spread

15. The method of claim 12 further comprising:

viewing the automatic risk-controlled trading spread via an Ask Bid Volume (ABV) graphical window on a graphical user interface with a plurality of graphical windows generated by the trading application, wherein the ABV window includes a selection mode for selecting a dynamic price column that that dynamically, continuously and automatically a last trade price and displays a market depth for the automatic risk-controlled trading spread, a dynamic bid column that dynamically, continuously and automatically displays a last traded or best bid for the automatic risk-controlled trading spread, or a dynamic ask column that that dynamically, continuously and automatically displays a last traded or best ask for the automatic risk-controlled trading spread, a market depth for the first trading leg and the second trading leg of the automatic risk-controlled trading spread and one or more generated spread risk factors for electronic trades being executed for the automatic risk-controlled trading spread.

16. The method of claim 12 wherein the step of automatically generating a plurality of spread risk factors includes automatically generating the plurality of spread risk factors via a set of risk parameters including a 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, total trade volume and net profit and loss or each trading leg being traded for the automatic risk-controlled trading spread.

17. The method of claim 12 wherein the one or more pre-determined spread risk thresholds include one or more pre-determined spread risk thresholds determined from current risk parameters and historical risk parameters including real-time statistical studies of historical electronic trading information and real-time statistical studies of current electronic trading information.

18. A system for automatically executing risk-controlled trading spreads, comprising:

means for automatically generating a first trading order for a first leg of an automatic risk-controlled trading spread on a first electronic trading exchange via a trading application on a target device with one or more processors via a communications network, wherein the first trading order includes a first desired market limit price;

means for automatically generating a second trading order for a second leg of an automatic risk-controlled trading spread on a second electronic trading exchange via the trading application on the target device, wherein the second trading order includes a second desired market limit price;

means for automatically generating a first spread risk factor for a trading price that satisfies a desired spread price differential between the first desired market limit price and the second desired market limit price;

means for automatically generating a second spread risk factor that considers market depth information on the first trading exchange and on a second trading exchange for the generated first trading order and the generated second trading order; and

means for automatically readjusting the first desired market price or the second desired market price for the automatic risk-controlled trading spread whenever the first spread risk factor or the second spread risk factor exceeds one or more pre-determined spread risk thresholds.

19. The system of claim 18 further comprising:

means for viewing the automatic risk-controlled trading spread via an Ask Bid Volume (ABV) graphical window on a graphical user interface with a plurality of graphical windows generated by the trading application, wherein the ABV window includes a selection mode for selecting a dynamic price column that that dynamically, continuously and automatically a last trade price and displays a market depth for the automatic risk-controlled trading spread, a dynamic bid column that dynamically, continuously and automatically displays a last traded or best bid for the automatic risk-controlled trading spread, or a dynamic ask column that that dynamically, continuously and automatically displays a last traded or best ask for the automatic risk-controlled trading spread, a market depth for the first trading leg and the second trading leg of the automatic risk-controlled trading spread and one or more generated spread risk factors for electronic trades being executed for the automatic risk-controlled trading spread.

20. The system of claim 18 further comprising:

means for displaying generated spread risk factors as a plurality of different risk percentages.