METHOD AND SYSTEM FOR PROVIDING AUTOMATIC EXECUTION OF RISK-CONTROLLED SYNTHETIC TRADING ENTITIES

• US 20100094777A1
• Filed: 11/13/2009
• Published: 04/15/2010
• Est. Priority Date: 09/08/2004
• Status: Abandoned Application

• Current Assignee: Rosenthal Collins Group LLC (Marex Spectron Group Ltd.)
• Original Assignee: Rosenthal Collins Group LLC (Marex Spectron Group Ltd.)
• Inventors: Rosenthal, Leslie, Levine, Benjamin D.
• Application Number:
  US12/618,100
• Publication Number:
  US 20100094777A1
• Time in Patent Office: Days
• US Class Current: 705/36.00R
• 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 automatic execution of risk-controlled synthetic trading entities. Risk parameters are generated for two or more real trading entities that comprise a synthetic trading entity. Risk assessments are generated for the resulting synthetic trading entity from the risk parameters. Current and historical trading information is used to generate the risk parameters and risk assessments. Market prices for the real trading entities to keep the automatic risk-controlled synthetic trading entity at a desired synthetic market price level whenever selected risk assessments exceed one or more pre-determined risk thresholds.

Claims

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

automatically generating a first real trading order for a first real trading entity for an automatic risk-controlled synthetic trading entity on a first electronic trading exchange via a trading application on a target network device with one or more processors via a communications network, wherein the synthetic trading entity includes two or more real trading entities;

automatically generating a second trading order for a second real trading entity of the automatic risk-controlled synthetic trading entity on a second electronic trading exchange via the trading application on the target network device;

automatically generating a first set of synthetic trading entity risk parameters for the first real trading order considering current and historical market depth information;

automatically generating a set of second synthetic trading entity risk parameters for the second real trading order considering current and historical market depth information;

automatically generating a set of synthetic trading entity risk assessments for the risk-controlled synthetic trading entity using the generated first set of synthetic trading entity risk parameters and the generated second set of synthetic trading entity risk parameters and current and historical trading information the synthetic trading entity; and

automatically readjusting a first desired market price for the first real trading order or a second desired market price for the second real trading order to keep the automatic risk-controlled synthetic trading entity at a desired synthetic market price level whenever one or more of the set of synthetic trading entity risk assessments exceeds one or more pre-determined risk thresholds.

2. A computer readable medium have 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 wherein the synthetic trading entity includes a synthetic contract or a synthetic financial instrument.

4. The method of claim 3 wherein the synthetic contract includes a synthetic futures contract, a synthetic financial instrument contract or a synthetic cash instrument contract.

5. The method of claim 1 further comprising:

displaying via the trading application via a multi-windowed application with a graphical user interface an Aggregated Book View/Ask Bid Volume (ABV) window for displaying one or more real trading entities and one or more synthetic trading entities, wherein the ABV window includes a dynamic price column that displays a market depth for the automatic risk-controlled synthetic trading entity, a market depth for the first real trading order and the second real trading order of the automatic risk-controlled synthetic trading entity and one or more generated synthetic trading entity risk factors for electronic trades being executed for the automatic risk-controlled synthetic trading entity.

8. The method of claim 1 wherein trading information first real trading order and the second real trading order is input via the trading application via graphical window including an Aggregated Book View/Ask Bid Volume (ABV) window or a Synthetic Entity Trading window, wherein the ABV window includes a graphical button for displaying the Synthetic Entity trading window when selected.

9. The method of claim 1 further comprising:

displaying via the trading application via a multi-windowed application with a graphical user interface an Aggregated Book View/Ask Bid Volume (ABV) window for displaying one or more real trading entities and one or more synthetic trading entities, 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 synthetic trading entity, a dynamic bid column that dynamically, continuously and automatically displays a last traded or best bid for the automatic risk-controlled synthetic trading entity, or a dynamic ask column that that dynamically, continuously and automatically displays a last traded or best ask for the automatic risk-controlled synthetic trading entity, a market depth for the first real trade and the second real trade of the automatic risk-controlled synthetic trading entity and one or more generated synthetic trading entity risk factors.

10. The method of claim 1 wherein the set of synthetic trading entity risk assessments are automatically and dynamically determined based on dynamic or static risk management trading value amounts currently being used for a pre-determined risk hierarchy.

11. The method of claim 1 wherein the pre-determined risk hierarchy includes a is an account hierarchy that includes a trading firm trading firm office and trading account hierarchy for first and second real trading entities and for the synthetic trading entity.

12. The method of claim 1 wherein the pre-determined hierarchy includes a hierarchy comprising current trading positions, historical trading activity and trading account margins for first and second real trading entities and for the synthetic trading entity.

13. The method of claim 1 wherein the first and second set of synthetic trading entity risk parameters are generated using maximum absolute position value by all trading accounts on all electronic trading exchanges, absolute net position change by all trading accounts on all electronic trading exchanges, total change in all positions in all trading accounts in all electronic trading exchanges, total account value decline of greater than a pre-determined threshold or total trade volume and net profit and loss.

14. The method of claim 1 wherein the set of synthetic trading entity risk assessments is generated using total account values, prior historical trading histories or current trading histories across all trading accounts with all trading brokers.

15. The method of claim 1 wherein the pre-determined risk thresholds include a market depth risk threshold for the first real trading order or the second real trading order.

16. The method of claim 1 wherein the pre-determined risk thresholds includes synthetic trade risk threshold dynamically and automatically calculated in real-time using statistical modeling for current and historical trading of the synthetic trading entity.

17. A system for automatically executing risk-controlled synthetic trading entities, comprising in combination:

means for automatically generating a first real trading order for a first real trading entity for an automatic risk-controlled synthetic trading entity on a first electronic trading exchange via a trading application on a target network device with one or more processors via a communications network, wherein the synthetic trading entity includes two or more real trading entities;

means for automatically generating a second trading order for a second real trading entity of the automatic risk-controlled synthetic trading entity on a second electronic trading exchange via the trading application on the target network device;

means for automatically generating a first set of synthetic trading entity risk parameters for the first real trading order considering current and historical market depth information;

means for automatically generating a set of second synthetic trading entity risk parameters for the second real trading order considering current and historical market depth information;

means for automatically generating a set of synthetic trading entity risk assessments for the risk-controlled synthetic trading entity using the generated first set of synthetic trading entity risk parameters and the generated second set of synthetic trading entity risk parameters and current and historical trading information the synthetic trading entity; and

means for automatically readjusting a first desired market price for the first real trading order or a second desired market price for the second real trading order to keep the automatic risk-controlled synthetic trading entity at a desired synthetic market price level whenever one or more of the set of synthetic trading entity risk assessments exceeds one or more pre-determined risk thresholds.

18. The system of claim 17 further comprising:

means for displaying via the trading application via a multi-windowed application with a graphical user interface an Aggregated Book View/Ask Bid Volume (ABV) window for displaying one or more real trading entities and one or more synthetic trading entities, wherein the ABV window includes a dynamic price column that displays a market depth for the automatic risk-controlled synthetic trading entity, a market depth for the first real trading order and the second real trading order of the automatic risk-controlled synthetic trading entity and one or more generated synthetic trading entity risk factors for electronic trades being executed for the automatic risk-controlled synthetic trading entity.

19. The system of claim 17 further comprising:

means for creating a first pre-determined risk threshold comprising a market depth risk threshold for the first real trading order or the second real trading order.

20. The system of claim 17 further comprising:

means for creating a second pre-determined risk threshold comprising dynamically and automatically calculating the second pre-determined risk threshold in real-time using statistical modeling of current and historical trading of the synthetic trading entity.