Systems and methods for linking orders in electronic trading systems

• US 7,155,410 B1
• Filed: 07/28/2000
• Issued: 12/26/2006
• Est. Priority Date: 08/03/1999
• Status: Expired due to Term

• Current Assignee: BGC Partners LP (BGC Group, Inc.)
• Original Assignee: eSpeed Incorporated (BGC Group, Inc.)
• Inventors: Woodmansey, Robert J., Ginsberg, Philip M., Kirwin, Glenn D.
• Primary Examiner(s): Bashore, Alain L.
• Application Number:
  US09/627,705
• Time in Patent Office: 2,342 Days
• Field of Search: 705/37, 705/36, 705/35, 427/37
• 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. A method for linking items in an electronic trading system, comprising:

operating a network server to communicate with a plurality of workstations and to receive bids and offers for at least one item from at least one of the plurality of workstations, wherein at least one of a group consisting of

     1) at least one of the plurality of workstations and

     2) the network server, is adapted for;

receiving a selection of a first item in a first market;

receiving a selection of a second item in a second market;

receiving at least one linking parameter that defines a relationship between the first item and the second item;

receiving order information for an order for the first item;

propagating order information for an order for the second item in the second market, the order information for the second item being based upon the order information for the first item and the linking parameter; and

in response to identifying an order that matches at least a portion of the order for the second item, executing at least a portion of the order for the second item and propagating and executing a matching order for the first item, the matching order for the first item matching at least a portion of the order for the first item,

in which the executing at least a portion of the order for the second item and propagating and executing a matching order for the first item occurs independent of interference from external sources, said interference comprising a new bid or a new offer.

5. The method of claim 1, further comprising attempting to substantially simultaneously execute the matching order for the first item and the order for the second item, the attempting occurring at a predetermined frequency.

7. The method of claim 1, wherein the linking parameter specifies a maximum update frequency for the order for the second item.

8. The method of claim 1, wherein the propagating comprises using a formula to relate the order information for the second item to the order information for the first item.

9. The method of claim 8, the formula further comprising determining a conversion factor that is used in the formula.

10. The method of claim 8, further comprising determining a hedge ratio that is used in the formula.

11. The method of claim 8, further comprising determining the price of the order for the second item based on the price of the order information for the first item.

12. The method of claim 8, further comprising determining the size of the order for the second item based on the size of the order information for the first item.

13. The method of claim 1, further comprising determining if the order information for the first item is too old to be used for linking the first item to the second item.

14. The method of claim 1 further comprising:

receiving a selection of a third item;

receiving a second linking parameter; and

propagating an order for a third item in a third market based on the order information for the first item, the order for the second item, the first linking parameter, and the second linking parameter; and

in response to a new bid or new offer, substantially simultaneously executing the order for the first item, the order for the second item, and the order for the third item.

31. The method of claim 1, further comprising performing the executing at least a portion of the order for the second item and propagating and executing the matching order for the first item when the matching order for the first item and the order for the second item can be executed substantially simultaneously.

2. A method for linking items in an electronic trading system, comprising:

operating a network server to communicate with a plurality of workstations and to receive bids and offers for at least one item from at least one of the plurality of workstations, wherein at least one of a group consisting of

     1) at least one of the plurality of workstations and

     2) the network server, is adapted for;

receiving a selection of a first item in a first market;

receiving a selection of a second item in a second market;

receiving at least one linking parameter that defines a relationship between the first item and the second item;

receiving order information for an order for the first item;

propagating order information for an order for the second item in the second market, the order information for the second item being based upon the order information for the first item and the linking parameter; and

in response to identifying an order that matches at least a portion of the order for the second item,

locking the trading system with respect to the matching order for the second item, the locking to provide time to identify whether a matching order exists for the first item and the locking that comprises allowing the orders for the first item and for the second item to be submitted without interference from external sources, said interference comprising a new bid or a new offer.

3. The method of claim 2, the locking further comprising preventing the matching order for the second item from being matched with an order other than the second order or cancelled.

4. The method of claim 2, the locking further comprising executing at least a portion of the matching order for the second item and at least a portion of the order for the first item.

6. The method of claim 2, wherein the method further comprises:

after a predetermined time from the receipt of the matching order for the second item, canceling the order for the second item.

32. The method of claim 2, further comprising, if a matching order does not exist for the first item, canceling the order for the second item.

15. A method for linking items in an electronic trading system, comprising:

operating a network server to communicate with a plurality of workstations and to receive bids and offers for at least one item from at least one of the plurality of workstations, wherein at least one of a group consisting of

     1) at least one of the plurality of workstations and

     2) the network server, is adapted for;

receiving a selection of a first item in a first market;

receiving a selection of a second item in a second market;

receiving at least one linking parameter that defines a relationship between the first item and the second item;

receiving order information for an order for the first item;

propagating an order for the second item in the second market, the order for the second item being based upon the order information for the first item and the linking parameter; and

in response to a bid or offer, executing at least a portion of the order for the second item and propagating and executing a matching order for the first item, the matching order for the first item matching at least a portion of the order for the first item, when the matching order for the first item and the order for the second item can be executed independent of interference from external sources, the interference from external sources comprising a new bid or a new offer.

16. The method of claim 15, wherein the executing the matching order for the first item and the order for the second item comprises:

locking the trading system with respect to the matching order for the second item, the locking to provide time to identify whether a matching order exists for the first item.

17. The method of claim 16, the locking further comprising preventing the matching order for the second item from being matched with an order other than the second order or cancelled.

18. The method of claim 15, where the executing the matching order for the first item and the order for the second item comprises:

determining whether a substantially simultaneous execution of the matching order for the first item and the order for the second item can occur, and if the substantially simultaneous execution of the matching order for the first item and the order for the second item can occur, executing the trade for the matching order for the first item and for the second item.

19. The method of claim 18, further comprising attempting to substantially simultaneously execute the matching order for the first item and the order for the second item, the attempting occurring at a predetermined frequency.

20. The method of claim 15, wherein the linking parameter specifies a maximum update frequency for the matching order for the first item and the order for the second item.

21. The method of claim 15, wherein the propagating comprises using a formula to relate the order for the second item to the order information for the first item.

22. The method of claim 21, the formula further comprising determining a conversion factor that is used in the formula.

23. The method of claim 21, further comprising determining a hedge ratio that is used in the formula.

24. The method of claim 21, further comprising determining the price of the order for the second item based on the price in the order information for the first item.

25. The method of claim 21, further comprising determining the size of the order for the second item based on the price in the order information for the first item.

26. The method of claim 15, further comprising determining if the order information for the first item is too old to be used for linking the first item to the second item.

27. The method of claim 15 further comprising:

receiving a selection of a third item;

receiving a second linking parameter; and

propagating an order for a third item in a third market based on the order information for the first item, the order for the second item, the first linking parameter, and the second linking parameter; and

in response to a new bid or new offer, substantially simultaneously executing the order for the first item, the order for the second item, and the order for the third item only when the orders can be executed simultaneously.

33. The method of claim 15, further comprising, if a matching order does not exist for the first item, canceling the order for the second item.

28. A method for linking items in an electronic trading system, the linking specifying a price adjustment between a first order and a second order, the method comprising:

operating a network server to communicate with a plurality of workstations and to receive bids and offers for at least one item from at least one of the plurality of workstations, wherein at least one of a group consisting of

     1) at least one of the plurality of workstations and

     2) the network server, is adapted for;

receiving an order for a first item in a first market;

receiving an order for a second item in a second market, the second order being received after the first order; and

executing an order that matches at least a portion of the order for the first item and an order that matches at least a portion of the order for the second item only when the matching orders can be executed independent of interference from external sources, said interference comprising a new bid or a new offer.

29. The method of claim 28, further comprising attempting to substantially simultaneously execute the order for the first item and the order for the second item, the attempting occurring at a predetermined frequency.

30. The method of claim 28, where the executing the order for the first item and the order for the second item comprises:

after a predetermined time from the receipt of the order for the second item, canceling the matching order for the first item and the matching order for the second item.

34. A computer readable medium having program code recorded thereon, the program code for execution on a computer and for linking items in one or more electronic computer trading systems, the program code comprising:

a first program code for receiving a determination of a first item in a first electronic market;

a second program code for receiving a determination of a second item in a second electronic market;

a third program code for receiving one or more linking parameters for defining a relationship between the first item and the second item;

a fourth program code for automatically monitoring order information for the first item;

a fifth program code for deriving via a computer process at least one of a price and size for the second item based on the linking parameters and the order information for the first item; and

a sixth program code for submitting a bid, offer, buy or sell order for the second item in the second market, the submitting being based on the one or more linking parameters and the order information for the first item, the submitting a bid, offer, buy or sell order for the second item in the second market occurring when the submitting can occur independent of interference from external sources, said interference comprising a new bid or a new offer.

35. The computer readable medium of claim 34 further comprising a seventh program code comprising, when the automatically monitoring determines a change in the order information for the first item, canceling the order for the second item.

36. The computer readable medium of claim 34 further comprising a seventh program code comprising, when the automatically monitoring determines a change in the order information for the first item, canceling the order for the second item and resubmitting the order for the second item at a different price or size.

37. The computer readable medium of claim 34 further comprising a seventh program code for electronically rounding the size of the order for the second item to a multiple of a specified minimum lot size.

38. The computer readable medium of claim 34 further comprising a seventh program code for electronically canceling the order for the second item when the order information for the second item is outstanding for a pre-determined period of time.

39. A computer readable medium having program code recorded thereon, the program code for execution on a computer and for linking items in one or more electronic computer trading systems, the program code comprising:

a first program code for receiving a determination of a first item in a first electronic market;

a second program code for receiving a determination of a second item in a second electronic market;

a third program code for receiving one or more linking parameters for defining the relationship between the first item and the second item;

a fourth program code for automatically monitoring order information for the first item;

a fifth program code for deriving via a computer process at least one of a price and size for the second item based on the linking parameters and the order information for the first item;

a sixth program code for submitting a bid, offer, buy or sell order for the second item in the second market, the submitting being based on the one or more linking parameters and the order information for the first item; and

a seventh program code for automatically submitting a bid, offer, buy or sell order for the first item based on the one or more linking parameters when at least a portion of the order for the second item has been executed, the submitting a bid, offer, buy or sell order for the first item in the first market occurring when the submitting can occur independent of interference from external sources, said interference comprising a new bid or a new offer.

40. The computer readable medium of claim 39, further comprising an eighth program code for, when the automatically monitoring determines a change in the order information for the first item, canceling the order for the second item prior to execution of at least a portion of the order for the second item.

41. The computer readable medium of claim 39, further comprising an eighth program code for, when the automatically monitoring determines a change in the order information for the first item, canceling the order for the second item prior to execution of at least a portion of the order for the second item and resubmitting the order for the second item at a different price or size.

42. The computer readable medium of claim 39, further comprising an eighth program code for, prior to execution of at least a portion of the order for the second item, electronically rounding the size of the order for the second item to a multiple of a specified minimum lot size.

43. The computer readable medium of claim 39, further comprising an eighth program code for electronically canceling the order for the second item prior to execution of at least a portion of the order for the second item when the order information for the second item is outstanding for a pre-determined period of time.

44. A method for implementing on a computer system, the method for trading a first item and a second item in one or more electronic trading systems, the method comprising:

receiving a determination of a first item in a first electronic market;

receiving a determination of a second item in a second electronic market;

receiving one or more linking parameters for defining a relationship between the first item and the second item;

electronically monitoring order information for the first item;

deriving via a computer process at least one of a price and size for the second item based on the linking parameters and the order information for the first item; and

submitting a bid, offer, buy or sell order for the second item in the second market, the submitting being based on the one or more linking parameters and the order information for the first item, the submitting a bid, offer, buy or sell order for the second item in the second market occurring when the submitting can occur independent of interference from external sources, said interference comprising a new bid or a new offer.

45. The method of claim 44 further comprising, when the automatically monitoring determines a change in the order information for the first item, canceling the order for the second item prior to execution of at least a portion of the order for the second item.

46. The method of claim 44 further comprising, when the automatically monitoring determines a change in the order information for the first item, canceling the order for the second item prior to execution of at least a portion of the order for the second item and resubmitting the order for the second item at a different price or size.

47. The method of claim 44 further comprising electronically rounding the size of the order for the second item to a multiple of a specified minimum lot size prior to execution of at least a portion of the order for the second item.

48. The method of claim 44 further comprising electronically canceling the order for the second item prior to execution of at least a portion of the order for the second item when the order information for the second item is outstanding for a pre-determined period of time.

49. A method for implementing on a computer system, the method for trading a first item and a second item in one or more electronic trading systems, the method comprising:

a display device that displays information relating to the first item and the second item;

a trade order submitting component for;

receiving a determination of a first item in a first electronic market;

receiving a determination of a second item in a second electronic market;

receiving one or more linking parameters for defining a relationship between the first item and the second item;

automatically monitoring order information for the first item;

deriving via a computer process at least one of a price and size for the second item based on the linking parameters and the order information for the first item;

submitting a bid, offer, buy or sell order for the second item in the second market, the submitting being based on the one or more linking parameters and the order information for the first item; and

automatically submitting a bid, offer, buy or sell order for the first item based on the one or more linking parameters when at least a portion of the order for the second item has been executed, the submitting a bid, offer, buy or sell order for the first item in the first market occurring when the submitting can occur independent of interference from external sources, said interference comprising a new bid or a new offer.

50. The method of claim 49 further comprising, when the automatically monitoring determines a change in the order information for the first item, canceling the order for the second item prior to execution of at least a portion of the order for the second item.

51. The method of claim 49 further comprising, when the automatically monitoring determines a change in the order information for the first item, canceling the order for the second item prior to execution of at least a portion of the order for the second item and resubmitting the order for the second item at a different price or size.

52. The method of claim 49 further comprising electronically rounding the size of the order for the second item to a multiple of a specified minimum lot size prior to execution of at least a portion of the order for the second item.

53. The method of claim 49 further comprising electronically canceling the order for the second item when the order information for the second item is outstanding for a pre-determined period of time prior to execution of at least a portion of the order for the second item.