System and Method for Using Order Modifiers in Relation to Trading Strategies

• US 20110078064A1
• Filed: 09/30/2009
• Published: 03/31/2011
• Est. Priority Date: 09/30/2009
• Status: Active Grant

• Current Assignee: Trading Technologies International, Inc.
• Original Assignee: Trading Technologies International, Inc.
• Inventors: Mittal, Bharat, Messina, Patricia A.
• Granted Patent: US 8,589,278 B2
• Time in Patent Office: Days
• US Class Current: 705/37
• 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 quantity modifier and a price modifier are provided for a spread trading strategy having a desired spread price and a desired spread quantity. According to an example embodiment, a quantity modifier divides the desired spread quantity into a plurality of disclosed spread quantities. Once the disclosed quantities are determined, a plurality of disclosed spread orders having the disclosed spread quantities are sequentially submitted to the market until the full desired spread order quantity is executed or until a predefined condition is detected. A price modifier determines a price level for each disclosed spread quantity, such that each disclosed spread order may be submitted at a different price level.

Claims

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

receiving by a computing device a definition for a spread trading strategy, wherein the spread trading strategy is between at least a first tradeable object and a second tradeable object, and wherein the spread trading strategy comprises a desired spread price and a desired spread quantity;

determining by the computing device based on a price modifier and a quantity modifier a first disclosed spread and a second disclosed spread, wherein the first disclosed spread comprises a first disclosed price and a first disclosed quantity, and wherein the second disclosed spread comprises a second disclosed price and a second disclosed quantity;

computing by the computing device a first price and a first quantity for the first tradeable object based on the first disclosed spread, wherein the first price is computed based on the first disclosed spread price and market conditions in the second tradeable object, wherein the first quantity is computed based on the first disclosed quantity and the definition for the spread trading strategy;

sending a first order to buy or sell the first tradeable object of the spread trading strategy, wherein the first quantity of the first order is submitted at the first price; and

subsequently,

detecting a first trigger to initiate the second disclosed spread; and

subsequently,

computing by the computing device a second price and a second quantity for the first tradeable object based on the second disclosed spread, wherein the second price is computed based on the second disclosed price and market conditions in the second tradeable object, wherein the second quantity is computed based on the second disclosed quantity and the definition for the spread trading strategy; and

subsequently,

sending a second order to buy or sell the first tradeable object of the spread trading strategy, wherein the second quantity of the second order is submitted at the second price.

2. The method of claim 1, wherein detecting the first trigger comprises detecting that the first disclosed spread was executed.

3. The method of claim 1, wherein the price modifier comprises an offset value.

4. The method of claim 3, wherein the offset value is a number.

5. The method of claim 1, wherein the price modifier comprises a formula that is used to determine the first disclosed price and the second disclosed price.

6. The method of claim 1, wherein the quantity modifier comprises a value.

7. The method of claim 1, wherein the quantity modifier comprises a formula that is used to determine the first disclosed quantity and the second disclosed quantity.

8. The method of claim 1, further comprising:

computing by the computing device a third price and a third quantity for the second tradeable object based on the first disclosed spread, wherein the third price is computed based on the first disclosed spread price and market conditions in the first tradeable object, and wherein the third quantity is computed based on the first disclosed quantity and the definition for the spread; and

sending a third order to buy or sell the second tradeable object of the spread trading strategy, wherein the third quantity of the third order is submitted at the third price, and wherein the third order is sent when the first order is sent.

9. The method of claim 8, further comprising:

upon detecting a second trigger, re-pricing the third order based on the second disclosed spread price.

10. The method of claim 9, wherein the second trigger is detected upon detecting a fill of the first order and before sending a hedge order for the second tradeable object.

11. The method of claim 9, wherein the second trigger is detected upon detecting a fill of the first order and after sending a hedge order for the second tradeable object.

12. The method of claim 9, wherein the second trigger is detected upon detecting a fill of the first order and after detecting a fill of a hedge order that is sent for the second tradeable object.

13. The method of claim 1, wherein the first price and the second price are different prices.

14. The method of claim 1, wherein the first quantity and the second quantity are different quantities.

15. The method of claim 1, wherein the first price and the second price are equal.

16. The method of claim 1, wherein the first quantity and the second quantity are equal.

17. The method of claim 1, wherein sending the second order is carried out only when a predefined condition is not detected.

18. A computer readable storage medium having stored instructions therein to execute a method for spread trading in an electronic trading environment, the method comprising:

receiving by a computing device a definition for a spread trading strategy, wherein the spread trading strategy is between at least a first tradeable object and a second tradeable object, and wherein the spread trading strategy comprises a desired spread price and a desired spread quantity;

determining by the computing device based on a price modifier and a quantity modifier a first disclosed spread and a second disclosed spread, wherein the first disclosed spread comprises a first disclosed price and a first disclosed quantity, and wherein the second disclosed spread comprises a second disclosed price and a second disclosed quantity;

computing by the computing device a first price and a first quantity for the first tradeable object based on the first disclosed spread, wherein the first price is computed based on the first disclosed spread price and market conditions in the second tradeable object, wherein the first quantity is computed based on the first disclosed quantity and the definition for the spread trading strategy;

sending a first order to buy or sell the first tradeable object of the spread trading strategy, wherein the first quantity of the first order is submitted at the first price; and

subsequently,

detecting a first trigger to initiate the second disclosed spread; and

subsequently,

computing by the computing device a second price and a second quantity for the first tradeable object based on the second disclosed spread, wherein the second price is computed based on the second disclosed price and market conditions in the second tradeable object, wherein the second quantity is computed based on the second disclosed quantity and the definition for the spread trading strategy; and

subsequently,

sending a second order to buy or sell the first tradeable object of the spread trading strategy, wherein the second quantity of the second order is submitted at the second price.