Lean Level Support for Trading Strategies

• US 20110099124A1
• Filed: 10/26/2009
• Published: 04/28/2011
• Est. Priority Date: 10/26/2009
• Status: Active Grant

• Current Assignee: Trading Technologies International, Inc.
• Original Assignee: Trading Technologies International, Inc.
• Inventors: Brianti, Stephan, Mintz, Sagy P.
• Granted Patent: US 10,853,877 B2
• Time in Patent Office: Days
• US Class Current: 705/36.00R
• 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

Certain embodiments of the present invention provide techniques for lean level support for a trading strategy. According to certain embodiments, the support for a price level under consideration as a lean level is determined based at least in part on quantity available at the price level. According to certain embodiments, the support for a price level under consideration as a lean level is determined based at least in part on quantity available at one or more other price levels. According to certain embodiments, the support for a price level under consideration as a lean level is determined based at least in part on the number of orders at one or more price levels. A lean level may then be determined based on the determined support. According to certain embodiments, a lean multiplier and/or a lean base are determined dynamically based on the determined support.

Claims

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

receiving by a computing device a definition for a trading strategy, wherein the trading strategy includes a first tradable object and a second tradable object;

receiving by the computing device market data for the first tradable object and the second tradable object, wherein the market data for the second tradable object includes information about quantity available at each of a plurality of price levels for the second tradable object;

receiving by the computing device a desired strategy price;

determining by the computing device a support value for a first price level of the plurality of price levels for the second tradable object based on the market data for the second tradable object;

determining by the computing device a lean level based on the determined support value; and

placing by the computing device a first order for the first tradable object at a first price, wherein the first price is based on the definition for the trading strategy and the desired strategy price and the determined lean level.

2. The method of claim 1, wherein the support value is determined based on the quantity available at the first price level.

3. The method of claim 2, wherein the support value is determined based on a desired lean level quantity, wherein the desired level quantity is based on the definition for the trading strategy and a desired strategy quantity.

4. The method of claim 3, wherein the support value is determined to be no support when the desired lean level quantity is greater than a pre-determined percentage of the quantity available at the first price level.

5. The method of claim 1, wherein the support value is determined based on the quantity available at a second price level of the plurality of price levels for the second tradable object, wherein the second price level is different from the first price level.

6. The method of claim 5, wherein the second price level is a subsequent price level to the first price level away from the inside market.

7. The method of claim 5, wherein the support value is determined to be a no support value when the second price level has no quantity available.

8. The method of claim 5, wherein the support value is determined to be a weak support value when the second price level has no quantity available.

9. The method of claim 5, further including determining by the computing device whether the second price level has low quantity available.

10. The method of claim 9, wherein the second price level is determined to have low quantity available based on a predetermined threshold.

11. The method of claim 9, wherein the second price level is determined to have low quantity available based on a desired lean level quantity, wherein the desired level quantity is based on the definition for the trading strategy and a desired strategy quantity.

12. The method of claim 9, wherein the support value is determined to be a no support value when the second price level has low quantity available.

13. The method of claim 9, wherein the support value is determined to be a weak support value when the second price level has low quantity available.

14. The method of claim 1, wherein the support value is determined based on the quantity available at a two or more price levels in the plurality of price levels for the second tradable object, wherein the two or more price levels are different from the first price level.

15. The method of claim 14, wherein the two or more price levels are subsequent price levels to the first price level away from the inside market.

16. The method of claim 1, wherein the support value is determined based on a desired lean level quantity, wherein the desired lean level quantity is based on the definition for the trading strategy and a desired strategy quantity.

17. The method of claim 1, wherein the support value is determined based on a number of orders at the first price level.

18. The method of claim 17, wherein the number of orders is included in the received market data.

19. The method of claim 17, wherein the number of orders is estimated.

20. The method of claim 5, wherein the support value is determined based on a number of orders at the second price level.

21. The method of claim 1, further including determining by the computing device support values for two or more price levels in the plurality of price levels for the second tradable object, wherein the two or more price levels include the first price level.

22. The method of claim 21, wherein the lean level is determined based on the determined support values for the two or more price levels.

23. The method of claim 1, wherein the lean level is determined based on a desired lean level quantity, wherein the desired lean level quantity is based on the definition for the trading strategy and a desired strategy quantity.

24. The method of claim 1, wherein the lean level is determined based on at least one of a lean multiplier value and a lean base value.

25. The method of claim 24, wherein at least one of the lean multiplier value and the lean base value is determined based on the determined support value.