AUTOMATED SPREAD TRADING SYSTEM
First Claim
1. A computer-implemented method for generating and transmitting, via a data communications network, messages related to a spread trade, said method comprising:
- receiving from a user a selection of a spread trade indicative of a set of trading contracts defined in relation to the spread trade;
transmitting to at least one electronic trading exchange a first set of one or more messages, including one or more order messages relating to said user selection such that an initial set of one or more working orders, each corresponding to one of the trading contracts defined in relation to the selected spread trade, are rendered operative in the at least one electronic trading exchange;
receiving from the at least one electronic trading exchange a first fill confirmation message confirming the at least partial completion of a first working order in said initial set of working orders;
receiving from an electronic trading exchange current market data indicating quantities of current bids and/or offers in relation to one or more of the trading contracts defined in relation to the spread trade;
in response to receiving said first fill confirmation message, transmitting to at least one of the at least one electronic trading exchanges a second set of one or more messages, including one or more order messages and/or order modification messages, relating to said user selection such that a completing set of one or more working orders, each corresponding to one of the trading contracts defined in relation to the selected spread trade, are rendered operative in the at least one of the at least one electronic trading exchange, the completing set of working orders relating to one or more trading contracts including one or more trading contracts other than the trading contract in relation to which said first fill confirmation message has been received,wherein said method comprises reducing a quantity on order at a given price level from a first non-zero quantity to a second non-zero quantity, for a trading contract in said completing set of one or more working orders on the basis of at least one bid or offer quantity in said current market data.
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Accused Products
Abstract
An automated spread trading terminal receives from a user a selection of a spread trade indicative of a set of trading contracts defined in relation to the spread trade, and transmits to an electronic trading exchange a first set of messages including an order message such that an initial set of working orders corresponding to one of the trading contracts are rendered operative in the electronic trading exchange. The terminal receives from the electronic trading exchange a first fill confirmation message confirming the partial completion of a first working order in the initial set of working orders, and current market data indicating quantities of current bids and/or offers in relation to the trading contracts. in response to the first fill confirmation message, the terminal transmits to the electronic trading exchange a second set of messages such that a completing set of working orders are rendered operative in the electronic trading exchange. A quantity is reduced on order at a given price level from a first non-zero quantity to a second non-zero quantity for a trading contract on the basis of a bid or offer quantity in the current market data.
97 Citations
16 Claims
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1. A computer-implemented method for generating and transmitting, via a data communications network, messages related to a spread trade, said method comprising:
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receiving from a user a selection of a spread trade indicative of a set of trading contracts defined in relation to the spread trade; transmitting to at least one electronic trading exchange a first set of one or more messages, including one or more order messages relating to said user selection such that an initial set of one or more working orders, each corresponding to one of the trading contracts defined in relation to the selected spread trade, are rendered operative in the at least one electronic trading exchange; receiving from the at least one electronic trading exchange a first fill confirmation message confirming the at least partial completion of a first working order in said initial set of working orders; receiving from an electronic trading exchange current market data indicating quantities of current bids and/or offers in relation to one or more of the trading contracts defined in relation to the spread trade; in response to receiving said first fill confirmation message, transmitting to at least one of the at least one electronic trading exchanges a second set of one or more messages, including one or more order messages and/or order modification messages, relating to said user selection such that a completing set of one or more working orders, each corresponding to one of the trading contracts defined in relation to the selected spread trade, are rendered operative in the at least one of the at least one electronic trading exchange, the completing set of working orders relating to one or more trading contracts including one or more trading contracts other than the trading contract in relation to which said first fill confirmation message has been received, wherein said method comprises reducing a quantity on order at a given price level from a first non-zero quantity to a second non-zero quantity, for a trading contract in said completing set of one or more working orders on the basis of at least one bid or offer quantity in said current market data. - View Dependent Claims (2, 3)
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4. A computer-implemented method for generating and transmitting, via a data communications network, messages related to a spread trade, said method comprising:
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receiving from a user a first selection of a spread trade indicative of a set of trading contracts defined in relation to a first spread trade; transmitting to at least one electronic trading exchange a first set of one or more messages, including one or more order messages relating to said first selection such that an initial set of one or more working orders, each corresponding to one of the trading contracts defined in relation to said first spread trade are rendered operative in the at least one electronic trading exchange; receiving from the at least one electronic trading exchange a first fill confirmation message confirming the at least partial completion of a first working order in said initial set of working orders; in response to receiving said first fill confirmation message, transmitting to at least one of the at least one electronic trading exchanges a second set of one or more messages, including one or more order messages and/or order modification messages, relating to said first selection such that a completing set of one or more working orders, each corresponding to one of the trading contracts defined in relation to said first spread trade, are rendered operative in the at least one of the at least one electronic trading exchanges, the completing set of working orders relating to one or more trading contracts including one or more trading contracts other than the trading contract in relation to which said first fill confirmation message has been received, receiving a second selection of a spread trade indicative of a set of trading contracts defined in relation to a second spread trade, and processing said second selection, said processing comprising transmitting to the at least one electronic trading exchange an order cancellation message or an order modification message, such that a first completing working order in said completing set of working orders is cancelled or modified in the at least one electronic trading exchange in response to detecting a correspondence between a trading contract being processed in said second selection and a trading contract being processed in said first selection. - View Dependent Claims (5, 6, 7)
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8. A computer-implemented method for generating and transmitting, via a data communications network, messages related to a spread trade, said method comprising:
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receiving from a user a selection of a spread trade indicative of a set of trading contracts defined in relation to the spread trade; receiving from an electronic trading exchange first price data indicating prices of current bids, offers and/or trades in relation to one or more of the trading contracts defined in relation to the spread trade; in response to detecting that said first price data indicates that said prices of current bids, offers and/or trades satisfies a first threshold criterion, transmitting to at least one electronic trading exchange a first set of one or more messages, including one or more order messages relating to said user selection such that an initial set of one or more working orders, each corresponding to one of the trading contracts defined in relation to the selected spread trade are rendered operative in the at least one electronic trading exchange. - View Dependent Claims (9, 10)
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11. A computer-implemented method for generating and transmitting, via a data communications network, messages related to a spread trade, said method comprising:
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receiving from a user a selection of a spread trade indicative of a set of trading contracts defined in relation to the spread trade; transmitting to at least one electronic trading exchange a first set of one or more messages, including one or more order messages relating to said user selection such that an initial set of one or more working orders, each corresponding to one of the trading contracts defined in relation to the selected spread trade are rendered operative in the at least one electronic trading exchange; receiving from the at least one electronic trading exchange a first fill confirmation message confirming the at least partial completion of a first working order in said initial set of working orders; in response to receiving said first fill confirmation message, transmitting to at least one of the at least one electronic trading exchanges a second set of one or more messages, including one or more order modification messages, relating to said user selection such that a completing set of one or more working orders, each corresponding to one of the trading contracts defined in relation to the selected spread trade, are rendered operative in the at least one of the at least one electronic trading exchanges, the order modification messages relating to said initial set of working orders. - View Dependent Claims (12, 13)
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14. A computer-implemented method for generating and transmitting, via a data communications network, messages related to a spread trade, said method comprising:
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receiving from a user a selection of a spread trade indicative of a set of trading contracts defined in relation to the spread trade; transmitting to at least one electronic trading exchange a first set of one or more messages, including one or more order messages relating to said user selection such that an initial set of one or more working orders, each corresponding to one of the trading contracts defined in relation to the selected spread trade, are rendered operative in the at least one electronic trading exchange; receiving from the at least one electronic trading exchange a first fill confirmation message confirming the at least partial completion of a first working order in said initial set of working orders; receiving from an electronic trading exchange current market data indicating quantities of current bids and/or offers in relation to one or more of the trading contracts defined in relation to the spread trade, the current market data including quantities of current bids and/or offers at a plurality of different price levels including a best price level and an off-best price level; in response to receiving said first fill confirmation message, transmitting to at least one of the at least one electronic trading exchanges a second set of one or more messages, including one or more order messages and/or order modification messages, relating to said user selection such that a completing set of one or more working orders, each corresponding to one of the trading contracts defined in relation to the selected spread trade, are rendered operative in the at least one of the at least one electronic trading exchange, the completing set of working orders relating to one or more trading contracts including one or more trading contracts other than the trading contract in relation to which said first fill confirmation message has been received, wherein a working order for a trading contract in said completing set of one or more working orders is controlled, by the transmission of messages to at least one of the at least one electronic trading exchanges, at least partly on the basis of both a quantity at said best price level and at a quantity at an off-best price level for said trading contract. - View Dependent Claims (15)
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16. A computer-implemented method for generating and transmitting, via a data communications network, messages related to a spread trade, said method comprising:
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receiving from a user; a selection of a spread trade indicative of a set of trading contracts defined in relation to the selected spread trade; a selection of a trading contract, said selected trading contract being one of the set of trading contracts defined in relation to the selected spread trade an indication of a price level at which said selected trading contract is to be traded; transmitting to at least one electronic trading exchange a message relating to said selected trading contract, said message rendering operative, in the at least one electronic trading exchange, an order relating to said selected trading contract at the indicated price level; receiving from the at least one electronic trading exchange a first fill confirmation message confirming the at least partial completion of said order relating to said selected trading contract; transmitting to at least one of the at least one electronic trading exchanges a set of one or more messages, including one or more order messages and/or order modification messages, relating to said selected spread trade such that a completing set of one or more working orders, each corresponding to one of the trading contracts defined in relation to the selected spread trade, are rendered operative in the at least one of the at least one electronic trading exchanges, the completing set of working orders relating to one or more trading contracts including one or more trading contracts other than said selected trading contract.
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Specification