System And Method For Aggressively Trading A Strategy In An Electronic Trading Environment

• US 20120284170A1
• Filed: 07/19/2012
• Published: 11/08/2012
• Est. Priority Date: 05/28/2008
• Status: Active Grant

• Current Assignee: Trading Technologies International, Inc.
• Original Assignee: Trading Technologies International, Inc.
• Inventors: Kontos, Nicholas, Mintz, Sagy P., Deitz, Alexander D.
• Granted Patent: US 8,510,212 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

Abstract

System and method for aggressively trading a spread trading strategy in an electronic environment are provided herein. According to the example embodiments, a trader may configure the automated trading tool to trade as aggressively as possible by leaning on a price without an associated quantity. This allows a trader to possibly obtain a more profitable price as well as get filled faster. Traders submit an order for a spread and the automated trading tool calculates the quote order price based on a defined level of aggressiveness, the leaned on price, and the desired spread price. Based on the level of defined aggressiveness and the gap in the market, the automated trading tool may lean on a mildly, moderately, or extremely aggressive price.

Claims

1. A method comprising:

receiving, via a computing device, a desired spread price to buy or sell a spread trading strategy where the spread trading strategy includes trading a first tradeable object and a second tradeable object;

determining, via the computing device, a leaned on price based on a selected level of quoting aggressiveness where the leaned on price is a price level within a market gap between a best ask and a best bid in the second tradeable object without an available bid quantity or an available offer quantity;

calculating, via the computing device, a quote order price for the first tradeable object where the quote order price is calculated based on the leaned on price and the desired spread price; and

submitting, via the computing device, a quote order at the calculated quote order price.

2. The method of claim 1 where the level quoting aggressiveness is selected from a plurality of levels of aggressiveness.

3. The method of claim 1 where the level of quoting aggressiveness represents an acceptable level of risk.

4. The method of claim 1 where the leaned on price comprises one price level above the best bid in the second tradeable object according to the spread trading strategy being a buy and one price level below the best ask in the second tradeable object according to the spread trading strategy being a sell.

5. The method of claim 1 where the leaned on price comprises two price levels above the best bid in the second tradeable object according to the spread trading strategy being a buy and two price levels below the best ask in the second tradeable object according to the spread trading strategy being a sell.

6. The method of claim 1 where the leaned on price comprises one price level below the best ask in the second tradeable object according to the spread trading strategy being a buy and one price level above the best bid in the second tradeable object according to the spread trading strategy being a sell.

7. The method of claim 1, further comprising adjusting the leaned on price based on the level of quoting aggressiveness and the market gap in response to a market fluctuation in the second tradeable object.

8. The method of claim 7, further comprising re-pricing the quote order according to the adjusted leaned on price.

9. The method of claim 1 where the level of quoting aggressiveness is user-defined.

10. The method of claim 1 where the level of quoting aggressiveness is dynamically modifiable according to at least one of trading volume, market activity, a trader'"'"'s historical trading activity, and current trading activity.

11. The method of claim 1 where the quote order comprises a limit order.

12. The method of claim 1, further comprising submitting an offsetting hedge order for the second tradeable object in response to execution of at least a portion of the quote order.

13. A non-transitory computer storage medium having instructions stored thereon, which when executed by a processor cause the processor to carry out acts comprising:

receiving, via a computing device, a desired spread price to buy or sell a spread trading strategy where the spread trading strategy includes trading a first tradeable object and a second tradeable object;

determining, via the computing device, a leaned on price based on a selected level of quoting aggressiveness where the leaned on price is a price level within a market gap between a best ask and a best bid in the second tradeable object without an available bid quantity or an available offer quantity;

calculating, via the computing device, a quote order price for the first tradeable object where the quote order price is calculated based on the leaned on price and the desired spread price; and

submitting, via the computing device, a quote order at the calculated quote order price.

14. The non-transitory computer storage medium of claim 13 where the level quoting aggressiveness is selected from a plurality of levels of aggressiveness.

15. The non-transitory computer storage medium of claim 13 where the level of quoting aggressiveness represents an acceptable level of risk.

16. The non-transitory computer storage medium of claim 13 where the leaned on price comprises one price level above the best bid in the second tradeable object according to the spread trading strategy being a buy and one price level below the best ask in the second tradeable object according to the spread trading strategy being a sell.

17. The non-transitory computer storage medium of claim 13 where the leaned on price comprises two price levels above the best bid in the second tradeable object according to the spread trading strategy being a buy and two price levels below the best ask in the second tradeable object according to the spread trading strategy being a sell.

18. The non-transitory computer storage medium of claim 13 where the leaned on price comprises one price level below the best ask in the second tradeable object according to the spread trading strategy being a buy and one price level above the best bid in the second tradeable object according to the spread trading strategy being a sell.

19. The non-transitory computer storage medium of claim 13 where the acts further comprise adjusting the leaned on price based on the level of quoting aggressiveness and the market gap in response to a market fluctuation in the second tradeable object.

20. The non-transitory computer storage medium of claim 19 where the acts further comprise re-pricing the quote order according to the adjusted leaned on price.

21. The non-transitory computer storage medium of claim 13 where the level of quoting aggressiveness is user-defined.

22. The non-transitory computer storage medium of claim 13 where the level of quoting aggressiveness is dynamically modifiable according to at least one of trading volume, market activity, a trader'"'"'s historical trading activity, and current trading activity.

23. The non-transitory computer storage medium of claim 13 where the quote order comprises a limit order.

24. The non-transitory computer storage medium of claim 13 where the acts further comprise submitting an offsetting hedge order for the second tradeable object in response to execution of at least a portion of the quote order.