System and Method for Money Management Using a Plurality of Profit Levels in an Electronic Trading Environment

• US 20100161476A1
• Filed: 03/05/2010
• Published: 06/24/2010
• Est. Priority Date: 01/31/2003
• Status: Active Grant

• Current Assignee: Trading Technologies International, Inc.
• Original Assignee: Trading Technologies International, Inc.
• Inventors: West, Robert A., Ziemkiewicz, Peter F., Burns, Michael J., Highland, Ryan J.
• Granted Patent: US 8,533,102 B2
• Time in Patent Office: Days
• US Class Current: 705/37
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• 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 system and method for money management in an electronic trading environment are presented. According to one embodiment, a money management application intercepts an order before the order is sent to an exchange, and determines a plurality of P/L levels, based on which the money management application then selects a set of money management parameters to be used to control or modify order parameters before the order is sent to the exchange. The plurality of profit levels may include a net profit level determined based on a trader'"'"'s net position and a current market level, a realized profit level determined based on trader'"'"'s sells and buys associated with the tradeable object, or an open profit level determined based on the realized and net profit levels. The set of money management parameters may include a maximum order quantity and a maximum net position so that, for example, if the order quantity associated with the order is higher than the maximum order quantity associated with the applicable set of money management parameters, the order quantity may be modified to the maximum order quantity.

Claims

1. A method for money management in an electronic trading environment, the method comprising:

receiving, via a client device, a request to submit an order having original order parameters to an electronic exchange for trading a tradeable object according to a match algorithm of the electronic exchange;

determining a net profit level at least in part according to market information for the tradeable object and a net position via the client device, the net position being a difference between a purchased quantity of the tradeable object by a trader during a time period and a sold quantity of the tradeable object by the trader during the time period;

determining at least one money management parameter from a plurality of money management filters according to the net profit level via the client device; and

prior to submitting the order from the client device to the electronic exchange, filtering the original order parameters according to a set of money management parameters via the client device to determine whether to submit the order with the original parameters, modify the original parameters before submitting the order, or prevent the order from being submitted.

2. The method of claim 1 further comprising preventing the order from being submitted in response to determining to reject the order according to at least one money management parameter.

3. The method of claim 1 further comprising:

modifying at least one of the original parameters to a modified parameter according to the at least one money management parameter; and

submitting the order having the modified parameter.

4. The method of claim 1 further comprising submitting the order having original parameters according to the set of money management parameters.

5. The method of claim 1 where market information for the tradeable object comprises a market price for the tradeable object.

6. The method of claim 5 where the market price comprises a last traded price.

7. The method of claim 1 where the set of money management parameters comprises a maximum order quantity and a maximum net position.

8. The method of claim 7 where filtering comprises modifying an order quantity of the order according to the maximum order quantity.

9. The method of claim 7 where filtering comprises preventing the order from being sent to the electronic exchange in response to determining that the order would increase the net position in excess of the maximum net position.

10. The method of claim 1, where determining the net profit level comprises determining an overall net profit level according to net positions associated with a plurality of tradeable objects and market information for the plurality of tradeable objects, where the at least one money management parameter is determined according to at least the overall net profit level.

11. The method of claim 1, further comprising determining a realized profit level based on buys and sells associated with the tradeable object, where the at least one money management parameter is determined according to the realized profit level.

12. The method of claim 11, further comprising determining an open profit level based on the realized profit level and the net profit level where the at least one money management parameter is determined according to the open profit level.

13. The method of claim 1 where the client device comprises a distributed network of devices.

14. The method of claim 13 where the distributed network of devices comprises a gateway.

15. A computer readable medium having instructions stored therein, which when executed by a processor cause the processor to carry out acts comprising:

receiving a request to submit an order having original order parameters to an electronic exchange for trading a tradeable object according to a match algorithm of the electronic exchange;

determining a net profit level at least in part according to market information for the tradeable object and a net position being a difference between a purchased quantity of the tradeable object by a trader during a time period and a sold quantity of the tradeable object by the trader during the time period;

determining at least one money management parameter from a plurality of money management filters according to the net profit level; and

prior to submitting the order from the client device to the electronic exchange, filtering the original order parameters according to a set of money management parameters to determine whether to submit the order with the original parameters, modify the original parameters before submitting the order, or prevent the order from being submitted.

16. The computer readable medium of claim 15 where the acts further comprise preventing the order from being submitted in response to determining to reject the order according to at least one money management parameter.

17. The computer readable medium of claim 15 where the acts further comprise:

modifying at least one of the original parameters to a modified parameter according to the at least one money management parameter; and

submitting the order having the modified parameter.

18. The computer readable medium of claim 15 where the set of money management parameters comprises a maximum order quantity and a maximum net position, where filtering comprises modifying an order quantity of the order according to the maximum order quantity and preventing the order from being sent to the electronic exchange in response to determining that the order would increase the net position in excess of the maximum net position.

19. The computer readable medium of claim 15 where determining the net profit level comprises determining an overall net profit level according to net positions associated with a plurality of tradeable objects and market information for the plurality of tradeable objects, where the at least one money management parameter is determined according to at least the overall net profit level.

20. A system for money management in an electronic trading environment, the system comprising:

an input device configured to receive a submission for an order having original order parameters to an electronic exchange for trading a tradeable object according to a match algorithm of the electronic exchange;

a processor coupled with the input device and configured to determine;

a net profit level at least in part according to market information for the tradeable object and a net position, the net position being a difference between a purchased quantity of the tradeable object by a trader during a time period and a sold quantity of the tradeable object by the trader during the time period, and

at least one money management parameter from a plurality of money management filters according to the net profit level, and

an order processor configured to filter the original order parameters according to a set of money management parameters to determine whether to submit the order with the original parameters, modify the original parameters before submitting the order, or prevent the order from being submitted.