Synthetic Spread Trading

• US 20110145165A1
• Filed: 12/14/2009
• Published: 06/16/2011
• Est. Priority Date: 12/14/2009
• Status: Abandoned Application

• Current Assignee: Trading Technologies International, Inc.
• Original Assignee: Trading Technologies International, Inc.
• Inventors: Deitz, Alexander D., Haldes, Tom James, Mintz, Sagy P., Messina, Patricia A.
• Application Number:
  US12/637,517
• Publication Number:
  US 20110145165A1
• Time in Patent Office: Days
• US Class Current: 705/36.R
• 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

Synthetic spread trading strategies are represented and managed as homogeneous tradeable objects. Relationships between a synthetic spread and its constituent parts are defined and states for a spread are developed for accurately reporting, tracking and otherwise administering a synthetic spread and its constituent parts. A state of a synthetic spread is identified as working, pending, legged or filled. The states, in addition to identification of a synthetic spread'"'"'s constituent parts, introduces information to allow a spread order and its post trade analysis to be consistently and effectively managed by multiple trading tools.

Claims

1. A method for synthetic spread order management, comprising:

receiving a synthetic spread order for a quantity of a multi-leg synthetic spread via a trading device;

determining a number of parent orders for the synthetic spread order, each lot of the quantity of the spread order representing a parent order;

submitting a quoting order via the trading device to a first electronic exchange for execution of a quoting order quantity of a first leg of the synthetic spread order, each lot of the quoting order quantity representing a child quoting order;

submitting a hedge order via the trading device to a second electronic exchange for execution of a hedge quantity of a second leg of the synthetic spread order according to matching of the quoting order quantity at the first exchange, each lot of the hedge quantity representing a child hedge order;

associating child quoting orders and child hedge orders with one of the number of parent orders according to the multi-leg synthetic spread and matching of the quoting order quantity at the first exchange; and

for each parent order of the number of parent orders, determining a parent order status according to a status of each child quoting order and a status of each child hedge order associated with the parent order.

2. The method of claim 1 where the parent order status comprises any of working, filled, pending, and legged.

3. The method of claim 1 further comprising displaying an order descriptor representing the parent order status for each of the parent orders via an output device associated with the trading device according to the status of the each parent order.

4. The method of claim 3 where the order descriptor is displayed along a price axis according to the price synthetic spread.

5. The method of claim 2 where the parent order status is color-coded.

6. The method of claim 2 where legged orders are color-coded.

7. The method of claim 1 where associating child quoting orders and child hedge orders with one of the number of parent orders comprises assigning an order identifier to associated parent orders, child quoting orders and child hedge orders.

8. The method of claim 1 further comprising determining a position risk analysis for the synthetic spread order according to the parent orders.

9. The method of claim 8 where the child quoting order is submitted in response to a determination of the position risk analysis being less than a predetermined limit.

10. The method of claim 1 further comprising:

receiving a user command via a user input associated with the trading device to unwind a pending synthetic order;

identifying at least one parent order associated with the pending synthetic order; and

unwinding the pending synthetic spread order according to child pending orders and child hedge orders associated with the at least one parent order associated with the pending synthetic order.

11. The method of claim 1 further comprising:

receiving a user command via a user input associated with the trading device to unleg a legged synthetic order;

identifying at least one parent order associated with the legged synthetic order; and

unlegging the legged synthetic spread order according to child pending orders and child hedge orders associated with the at least one parent order associated with the legged synthetic order.

12. The method of claim 1 where the first electronic exchange and the second electronic exchange are different exchanges, where tradeable objects traded at the first electronic exchange are different than tradeable objects traded at the second electronic exchange.

13. The method of claim 1 where the first leg and the second leg comprise a tradeable object including any of a future product, currency, commodity, interest rate, index, equity, stock, bond, option, warrant, fund, repo, combinations thereof, and the like.

14. A computer readable medium having instructions stored thereon which when executed by a processor cause the processor to carry out acts comprising:

receiving a synthetic spread order for a quantity of a multi-leg synthetic spread via a trading device;

determining a number of parent orders for the synthetic spread order, each lot of the quantity of the spread order representing a parent order;

submitting a quoting order via the trading device to a first electronic exchange for execution of a quoting order quantity of a first leg of the synthetic spread order, each lot of the quoting order quantity representing a child quoting order;

submitting a hedge order via the trading device to a second electronic exchange for execution of a hedge quantity of a second leg of the synthetic spread order according to matching of the quoting order quantity at the first exchange, each lot of the hedge quantity representing a child hedge order;

associating child quoting orders and child hedge orders with one of the number of parent orders according to the multi-leg synthetic spread and matching of the quoting order quantity at the first exchange; and

for each parent order of the number of parent orders, determining a parent order status according to a status of each child quoting order and a status of each child hedge order associated with the parent order.

15. The computer readable medium of claim 14 further comprising displaying an order descriptor representing the parent order status for each of the parent orders according to the status of the each parent order, where the parent order status comprises any of working, filled, pending, and legged.

16. The computer readable medium of claim 15 where the order descriptor is displayed along a price axis according to the price synthetic spread.

17. The computer readable medium of claim 15 where legged orders are color-coded.

18. The computer readable medium of claim 14 where the acts further comprise determining a position risk analysis for the synthetic spread order according to the parent orders, where the child quoting order is submitted in response to a determination of the position risk analysis being less than a predetermined limit.

19. A method for synthetic spread order management, comprising:

receiving a synthetic spread order for a quantity of a multi-legged synthetic spread at a spread price via a trading device;

determining a quantity of parent orders for the synthetic spread order via the trading device, where each parent order represents a lot of the quantity of the multi-legged synthetic spread;

associating at least one child quoting order for a first leg of the multi-legged synthetic spread and at least one child hedge order for a second leg of the multi-legged synthetic spread for each parent order via the trading device;

submitting the at least one child quoting order for the a first leg of the multi-legged synthetic spread to an electronic exchange for execution of the at least one quoting order;

determining a status of a parent order according to a status of the at least one child quoting order and the at least one child hedge order;

determining a status of the synthetic spread order via the trading device according to the status of the at least one child order and the at least one child hedge order; and

displaying an order descriptor representing the status of the synthetic spread order along a price axis according to the price synthetic spread.

20. The method of claim 19 where the status for each of the quantity of parent orders may be any of working, filled, pending, and legged.

21. The method of claim 19 where the status for each of the quantity of parent orders is numerically displayed.

22. The method of claim 19 where legged orders are color-coded.

23. The method of claim 19 further comprising holding the at least one child hedge order pending execution of the at least one child quoting order.

24. The method of claim 23 further comprising submitting the at least one child hedge order in response to execution of the at least one child quoting order.

25. The method of claim 19 where associating the at least one child quoting order and the at least one child hedge order for each parent order comprises assigning an order identifier to each of the parent order, the at least one child quoting order and the at least one child hedge order, the order identifier identifying an association for the parent order, the at least one child quoting order and the at least one child hedge order.

26. The method of claim 25 further comprising determining a position risk analysis for the synthetic spread order according to the association.

27. The method of claim 26 further comprising submitting the at least one child quoting order in response to a determination of the position risk analysis being less than a predetermined limit.