SYSTEMS AND METHODS FOR USE OF FRACTIONAL PAY-UP TICKS IN RELATION TO TRADING STRATEGIES IN AN ELECTRONIC TRADING ENVIRONMENT
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Accused Products
Abstract
A system and associated methods are provided for use of fractional pay-up ticks in relation to offset orders being sent for a trading strategy that involves trading a first tradeable object and at least a second tradeable object. According to one example method, when an indication is received that a quantity at a first price for the first tradeable object is filled, a plurality of offset orders for the second tradeable object is sent to an electronic order book of the second tradeable object. The plurality of offset orders is placed at a plurality of price levels determined based on at least one fractional pay-up tick value, the first price, and the desired spread price. A quantity for each order is determined based on a quantity divider rule that is applied to an offset quantity to offset the fill.
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Citations
41 Claims
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1-22. -22. (canceled)
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23. A method for trading in an electronic trading environment, comprising:
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detecting, by a computer device, that at least a portion of an order quantity of a first order for a first tradeable object was filled at a first price by a first electronic matching process corresponding to the first tradeable object, wherein the first order is associated with a trading strategy comprising at least the first tradeable object and a second tradeable object, and wherein the trading strategy further comprises a desired price; determining, by the computer device, a plurality of quantities for a plurality of offset orders, wherein the plurality of quantities are determined based on the at least the portion of the order quantity that was filled, based on the trading strategy, and further based on a quantity allocation rule; determining, by the computer device, a plurality of prices for the plurality of offset orders, wherein the plurality of prices are determined based on the first price of the first order, based on the desired spread price, and further based on a price allocation value; and automatically sending, by the computer device, the plurality of offset orders having the plurality of quantities at the plurality of prices to a second electronic matching process corresponding to the second tradeable object. - View Dependent Claims (24, 25, 26, 27, 28, 29, 30, 31, 32, 33, 34, 35, 36, 37, 38, 39, 40)
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41. A computer readable medium having stored therein instructions which when executed by a computer device cause the performance of the following steps for trading in an electronic trading environment, comprising:
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detecting, by a computer device, that at least a portion of an order quantity of a first order for a first tradeable object was filled at a first price by a first electronic matching process corresponding to the first tradeable object, wherein the first order is associated with a trading strategy comprising at least the first tradeable object and a second tradeable object, and wherein the trading strategy further comprises a desired price; determining, by the computer device, a plurality of quantities for a plurality of offset orders, wherein the plurality of quantities are determined based on the at least the portion of the order quantity that was filled, based on the trading strategy, and further based on a quantity allocation rule; determining, by the computer device, a plurality of prices for the plurality of offset orders, wherein the plurality of prices are determined based on the first price of the first order, based on the desired spread price, and further based on a price allocation value; and automatically sending, by the computer device, the plurality of offset orders having the plurality of quantities at the plurality of prices to a second electronic matching process corresponding to the second tradeable object.
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Specification