SYSTEMS AND METHODS FOR LINKING ORDERS IN ELECTRONIC TRADING SYSTEMS

• US 20110060681A1
• Filed: 11/17/2010
• Published: 03/10/2011
• Est. Priority Date: 08/03/1999
• Status: Abandoned Application

• Current Assignee: BGC Partners LP (BGC Group, Inc.)
• Original Assignee: BGC Partners LP (BGC Group, Inc.)
• Inventors: Ginsberg, Phillip M., Kirwln, Glenn D., WOODMANSEY, Robert J.
• Application Number:
  US12/948,060
• Publication Number:
  US 20110060681A1
• 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

Abstract

Systems and methods for linking orders in electronic trading systems are provided. These systems and methods enable a trader to select two or more items that are to be linked and specify linking parameters for those items. Any desired set of items may be linked, and the linking parameters may include price adjustments, order sequencing instructions, automatic/manual execution controls, execution delays commands, and update frequency limits. Upon detecting a bid or offer for a linked item, the systems and methods may then determine a size and a price for each linked item based upon the size and the price of the bid or offer for the first linked item. In this way, the sizes and the prices for the other linked items may be propagated from the size and the price for the first item. Once the size and the price for each item is determined, the systems and methods may submit orders for the items in accordance with the linking parameters. In the case where orders for linked items may only be submitted in designated lot sizes, the systems and methods may round the sizes of the orders to the designated lot sizes, and then submit remainder orders to make up for the rounding.

Claims

1-47. -47. (canceled)

48. A method, comprising:

receiving, by a computing device, from a trader, a selection of a first financial instrument, wherein the first financial instrument is transacted in a first market;

receiving, by the computing device, from the trader, a selection of a second financial instrument, wherein the second financial instrument is transacted in a second market, and wherein the first financial instrument is different from the second financial instrument;

receiving, by the computing device, from the trader, a linking relationship between the first financial instrument and the second financial instrument;

monitoring, by the computing device, bids and offers from at least one external trading system, wherein the bids and offers comprise bids and offers for at least the first financial instrument;

controlling, by the computing device, a submission of orders for the second financial instrument based at least in part on the linking relationship, wherein controlling the submission of orders for the second financial instrument comprises;

generating, by the computing device, a price of an order for the second financial instrument based at least in part on applying a conversion factor to a price of a monitored bid or offer for the first financial instrument;

generating, by the computing device, a size of the order for the second financial instrument based at least in part on applying a hedge ratio to a size of the monitored bid or offer for the first financial instrument; and

submitting, by the computing device, the order for the second financial instrument to a second trading system.

49. The method of claim 48, further comprising:

determining, by the computing device, one or more financial instruments to which the first instrument can be linked, wherein the one or more financial instruments comprise the second financial instrument;

causing, by the computing device, the one or more financial instruments to be displayed at an interface at a workstation; and

wherein receiving, from the trader, the selection of the second financial instrument comprises;

after causing the one or more financial instruments to be displayed, receiving, by the computing device, from the trader, the selection of the second financial instrument.

50. The method of claim 48, wherein the computing device comprises at least one of:

a workstation used by the trader;

an electronic trading system configured to rank and store bid and offers for instruments in a queue; and

a device that facilitates communication between the trader and an external trading system.

51. The method of claim 48,

wherein the method further comprises:

updating, by the computing device, at least the conversion factor; and

wherein controlling the submission of orders for the second financial instrument further comprises;

generating, by the computing device, another price of another order for the second financial instrument based at least in part on the updated conversion factor; and

submitting, by the computing device, the another order for the second financial instrument to the second trading system.

52. The method of claim 48, wherein receiving the linking relationship from the trader comprises:

receiving, by the computing device, from the trader, an indication that the first financial instrument and the second financial instrument are to be linked to one another for basis trading based at least in part on one or more basis trading formulas; and

receiving, by the computing device, from the trader, at least one input to the one or more basis trading formulas.

53. The method of claim 52, wherein the at least one input comprises the hedge ratio.

54. The method of claim 52, wherein controlling the submission of orders for the second financial instrument based at least in part on the linking relationship comprises:

applying, by the computing device, the one or more basis trading formulas to at least one monitored bid or offer for the first financial instrument.

55. The method of claim 48, wherein controlling the submission of orders for the second financial instrument comprises:

limiting, by the computing device, order updates for the second financial instrument based at least in part on the linking relationship.

56. The method of claim 48, wherein the at least one external trading system comprises the second trading system.

57. The method of claim 48, wherein the at least one external trading system and the second trading system are different trading systems.

58. The method of claim 48, further comprising:

receiving, by the computing device, from the trader, a selection of a trigger event.

59. The method of claim 58, further comprising:

receiving data;

monitoring, by the computing device, the data;

determining, by the computing device, based at least in part on the data, that the trigger event has occurred.

60. The method of claim 59, further comprising:

in response to determining that the trigger event has occurred, linking, by the computing device, the first financial instrument and the second financial instrument together.

61. The method of claim 48, wherein controlling the submission of orders for the second financial instrument comprises:

controlling, by the computing device, the submission of orders for the second financial instrument based at least in part on the linking relationship based at least in part on a trader-selected trigger event having occurred.

62. The method of claim 48, further comprising:

determining, by the computing device, that an event has occurred.

63. The method of claim 62, wherein the event comprises a trader-selected trigger event.

64. The method of claim 62, wherein the event comprises at least one of:

the first financial instrument attaining at least one of;

a particular market price,

a particular market size, and

a particular market yield;

the second financial instrument attaining at least one of;

a particular market price,

a particular market size, and

a particular market yield;

the first financial instrument together and the second financial instrument attaining at least one of the following with respect to one another;

a particular subtractive difference in at least one of;

market price,

market size, and

market yield;

a particular ratio in at least one of;

market price,

market size, and

market yield;

a particular average in at least one of;

market price,

market size, and

market yield;

a market index attaining a particular market value;

a particular date having occurred;

a particular business transaction having closed; and

a third financial instrument having attained at least one of;

a particular market price,

a particular market size, and

a particular market yield;

wherein the third financial instrument is different from the first financial instrument and the second financial instrument.

65. The method of claim 62, wherein controlling the submission of orders for the second financial instrument comprises:

after determining that the event has occurred, controlling, by the computing device, the submission of orders for the second financial instrument based at least in part on the linking relationship.

66. The method of claim 48, wherein generating the price of the order for the second financial instrument comprises:

generating, by the computing device, the price of an order for the second financial instrument based at least in part on applying the conversion factor and a basis to the price of the monitored bid or offer for the first financial instrument.

67. The method of claim 48,

wherein the second market comprises a futures market, and

wherein the second financial instrument comprises a futures contract for the first financial instrument.

68. The method of claim 67, wherein the first financial instrument comprises a note.

69. The method of claim 67, wherein the first financial instrument comprises a bond.

70. The method of claim 69, wherein the bond comprises a U.S. Treasury bond.

71. The method of claim 67, wherein the first financial instrument comprises a derivative.

72. The method of claim 67, wherein generating the price of the order for the second financial instrument comprises:

generating, by the computing device, the price of an order for the second financial instrument based at least in part on applying the conversion factor and a basis to the price of the monitored bid or offer for the first financial instrument.

73. The method of claim 67, wherein the first market comprises a cash market.

74. The method of claim 48,

wherein the first market comprises a futures market, and

wherein the first financial instrument comprises a futures contract for the second financial instrument.

75. The method of claim 74, wherein the second financial instrument comprises a note.

76. The method of claim 74, wherein the second financial instrument comprises a bond.

77. The method of claim 76, wherein the bond comprises a U.S. Treasury bond.

78. The method of claim 74, wherein the second financial instrument comprises a derivative.

79. The method of claim 74, wherein generating the price of the order for the first financial instrument comprises:

generating, by the computing device, the price of an order for the first financial instrument based at least in part on applying the conversion factor and a basis to the price of the monitored bid or offer for the second financial instrument.

80. The method of claim 74, wherein the second market comprises a cash market.

81. The method of claim 48,

wherein the second market comprises a futures market,

wherein the second financial instrument comprises a futures contract.

82. The method of claim 81, wherein the first financial instrument comprises a note.

83. The method of claim 81, wherein the first financial instrument comprises a bond.

84. The method of claim 83, wherein the bond comprises a U.S. Treasury bond.

85. The method of claim 81, wherein the first financial instrument comprises a derivative.

86. The method of claim 81, wherein generating the price of the order for the second financial instrument comprises:

generating, by the computing device, the price of an order for the second financial instrument based at least in part on applying the conversion factor and a basis to the price of the monitored bid or offer for the first financial instrument.

87. The method of claim 81, wherein the first market comprises a cash market.

88. The method of claim 48,

wherein the first market comprises a futures market,

wherein the first financial instrument comprises a futures contract.

89. The method of claim 88, wherein the second financial instrument comprises a note.

90. The method of claim 88, wherein the second financial instrument comprises a bond.

91. The method of claim 90, wherein the bond comprises a U.S. Treasury bond.

92. The method of claim 88, wherein the second financial instrument comprises a derivative.

93. The method of claim 88, wherein generating the price of the order for the first financial instrument comprises:

generating, by the computing device, the price of an order for the first financial instrument based at least in part on applying the conversion factor and a basis to the price of the monitored bid or offer for the second financial instrument.

94. The method of claim 88, wherein the second market comprises a cash market.

95. The method of claim 48,

wherein the first financial instrument comprises a note, and

wherein the second financial instrument comprises a derivative.

96. The method of claim 48,

wherein the first financial instrument comprises a bond, and

wherein the second financial instrument comprises a derivative.

97. The method of claim 96, wherein the bond comprises a U.S. Treasury bond.

98. The method of claim 48,

wherein the second financial instrument comprises a note, and

wherein the first financial instrument comprises a derivative.

99. The method of claim 48,

wherein the second financial instrument comprises a bond, and

wherein the first financial instrument comprises a derivative.

100. The method of claim 99, wherein the bond comprises a U.S. Treasury bond.

101. The method of claim 48,

wherein the first market comprises a first futures market,

wherein the first financial instrument comprises a first futures contract,

wherein the second market comprises a second futures market, and

wherein the second financial instrument comprises a second futures contract.

102. A method, comprising:

receiving, by a computing device, from a trader, a selection of a first financial instrument, wherein the first financial instrument is transacted in a first market;

receiving, by the computing device, from the trader, a selection of a second financial instrument, wherein the second financial instrument is transacted in a second market, and wherein the first financial instrument is different from the second financial instrument;

receiving, by the computing device, from the trader, a linking relationship between the first financial instrument and the second financial instrument;

monitoring, by the computing device, bids and offers from at least one external trading system, wherein the bids and offers comprise bids and offers for at least the first financial instrument;

controlling, by the computing device, a submission of orders for the second financial instrument based at least in part on the linking relationship, wherein controlling the submission of orders for the second financial instrument comprises;

generating, by the computing device, at least one of a price and a yield of an order for the second financial instrument based at least in part on applying a conversion factor to at least one of a price and a yield of a monitored bid or offer for the first financial instrument;

generating, by the computing device, a size of the order for the second financial instrument based at least in part on applying a hedge ratio to a size of the monitored bid or offer for the first financial instrument; and

submitting, by the computing device, the order for the second financial instrument to a second trading system.

103. The method of claim 102, wherein generating at least one of the price and the yield of the order for the second financial instrument comprises:

generating, by the computing device, the yield of the order for the second financial instrument based at least in part on applying the conversion factor to the price of the monitored bid or offer for the first financial instrument.

104. The method of claim 102, wherein generating at least one of the price and the yield of the order for the second financial instrument comprises:

generating, by the computing device, the yield of the order for the second financial instrument based at least in part on applying the conversion factor to the yield of the monitored bid or offer for the first financial instrument.

105. The method of claim 102, wherein generating at least one of the price and the yield of the order for the second financial instrument comprises:

generating, by the computing device, the price of the order for the second financial instrument based at least in part on applying the conversion factor to the yield of the monitored bid or offer for the first financial instrument.

106. The method of claim 102, wherein generating at least one of the price and the yield of the order for the second financial instrument comprises:

generating, by the computing device, at least one of the price and the yield of the order for the second financial instrument based at least in part on applying the conversion factor and a basis to at least one of the price and the yield of the monitored bid or offer for the first financial instrument.

107. A method, comprising:

receiving, by a computing device, from a trader, a selection of a first financial instrument, wherein the first financial instrument is transacted in a first market;

receiving, by the computing device, from the trader, a selection of a second financial instrument, wherein the second financial instrument is transacted in a second market, and wherein the first financial instrument is different from the second financial instrument;

receiving, by the computing device, from the trader, a linking relationship between the first financial instrument and the second financial instrument;

monitoring, by the computing device, bids and offers from at least one external trading system, wherein the bids and offers comprise bids and offers for at least the first financial instrument;

controlling, by the computing device, a submission of orders for the second financial instrument based at least in part on the linking relationship, wherein controlling the submission of orders for the second financial instrument comprises;

generating, by the computing device, a price of an order for the second financial instrument based at least in part on a price adjustment and on applying a conversion factor to at least one of a price and a yield of a monitored bid or offer for the first financial instrument, wherein the price adjustment is relative to market value for the second financial instrument;

generating, by the computing device, a size of the order for the second financial instrument based at least in part on applying a hedge ratio to a size of the monitored bid or offer for the first financial instrument; and

submitting, by the computing device, the order for the second financial instrument to a second trading system.

108. The method of claim 107, wherein generating the price of the order for the second financial instrument comprises:

generating, by the computing device, the price of the order for the second financial instrument based at least in part on the price adjustment and applying the conversion factor to the price of the monitored bid or offer for the first financial instrument.

109. The method of claim 107, wherein generating the price of the order for the second financial instrument comprises:

generating, by the computing device, the price of the order for the second financial instrument based at least in part on the price adjustment and applying the conversion factor to the yield of the monitored bid or offer for the first financial instrument.

110. The method of claim 107, wherein generating the price of the order for the second financial instrument comprises:

generating, by the computing device, the price of the order for the second financial instrument based at least in part on the price adjustment, applying the conversion factor, and applying a basis to at least one of the price and the yield of the monitored bid or offer for the first financial instrument.