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AUTOMATED SPREAD TRADING SYSTEM

  • US 20110040669A1
  • Filed: 08/17/2010
  • Published: 02/17/2011
  • Est. Priority Date: 08/17/2009
  • Status: Abandoned Application
First Claim
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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:

  • 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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