System and method for performing automatic spread trading

• US 7,389,264 B2
• Filed: 05/03/2006
• Issued: 06/17/2008
• Est. Priority Date: 03/05/2002
• Status: Expired due to Term

• Current Assignee: Trading Technologies, Inc. (Trading Technologies International, Inc.)
• Original Assignee: Trading Technologies, Inc. (Trading Technologies International, Inc.)
• Inventors: Schluetter, Jens-Uwe, Singer, Scott, Brumfield, Harris, Monroe, Fred, Kemp, Gary Allan II, Burns, Mike, Babulak, David
• Primary Examiner(s): Dass; Harish T
• Application Number:
  US11/417,915
• Publication Number:
  US 20060259412A1
• Time in Patent Office: 776 Days
• Field of Search: 705/37, 705/38, 273/240
• US Class Current: 705/37
• CPC Class Codes: G06Q 30/0283 Price estimation or determination
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• CPC Class Codes: G06Q 40/03 Credit; Loans; Processing thereof
• 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

The present embodiments are provided to facilitate the automatic trading of spreads in a fast and accurate manner. One or more market data feeds that contain market information for tradeable objects are received at an exchange. A spread data feed is generated in response to the market data feeds and from one or more spread setting parameters, which can be entered by a user. The spread data feed is preferably displayed in a spread window as bid and ask quantities associated with an axis or scale of prices. The user can enter orders in the spread window and the legs will be automatically worked to achieve, or attempt to achieve, the spread. In addition, other tools disclosed herein may be utilized to assist the user in making such trades.

Claims

1. A method of spread trading in an electronic trading system, the method comprising:

establishing a spread between a first tradeable object and a second tradeable object;

receiving a first market data comprising price information for the first tradeable object;

receiving a second market data comprising price information for the second tradeable object;

generating bids and offers for the spread using the price information for the first and second tradeable objects;

displaying the bids and offers on a graphical user interface relative to a price axis;

receiving a command from a user input device to select a location on the graphical user interface to initiate buying or selling the spread at a desired spread price, the location corresponding to a price level along the price axis;

sending a trade order to an electronic exchange for the first tradeable object responsive to the command, the trade order having an order price based on a particular price received in the price information for the second tradeable object, and the order price is further based on the desired spread price;

detecting a change in the particular price received in new price information for the second tradeable object; and

sending an order transaction message to the electronic exchange to adjust the order price of the trade order based on the change in the particular price to maintain the desired spread price.

2. The method of claim 1, further comprising determining that the trade order is an order to buy the first tradeable object or an order to sell the first tradeable object based on the spread.

3. The method of claim 1, further comprising establishing that the particular price is an inside market price of the second tradeable object, wherein the inside market price is a highest bid price currently available for the second tradeable object or a lowest ask price currently available for the second tradeable object.

4. The method of claim 1, further comprising establishing that the particular price is a last traded price for the second tradeable object.

5. The method of claim 1 further comprising detecting a fill of the trade order and responsively sending a second trade order for the second tradeable object to achieve the spread.

6. The method of claim 1 wherein the adjustment of the order price is performed by cancelling the trade order and submitting a new trade order at an adjusted order price.

7. The method of claim 1, further comprising:

sending a second trade order to an electronic exchange for the second tradeable object responsive to the command, the second trade order having a second order price based on a designated price received in the price information for the first tradeable object, and the second order price is further based on the desired spread price;

detecting a change in the designated price received in new price information for the first tradeable object; and

sending an order transaction message to adjust the second order price of the second trade order based on the change in the designated price to maintain the desired spread price.

8. The method of claim 7, further comprising determining that the second trade order is an order to buy the second tradeable object or an order to sell the second tradeable object based on the spread.

9. The method of claim 7, further comprising establishing that the designated price is an inside market price of the first tradeable object, wherein the inside market price is a highest bid price currently available for the first tradeable object or a lowest ask price currently available for the first tradeable object.

10. The method of claim 7, further comprising establishing that the designated price is a last traded price for the first tradeable object.

11. The method of claim 7 further comprising detecting a fill of the second trade order and responsively sending a third trade order for the first tradeable object to achieve the spread.

12. The method of claim 7 wherein the adjustment of the second order price is performed by cancelling the second trade order and submitting a new trade order at an adjusted order price.