System and method for variably regulating order entry in an electronic trading system

• US 7,392,219 B2
• Filed: 05/03/2006
• Issued: 06/24/2008
• Est. Priority Date: 03/31/2003
• Status: Expired due to Fees

• Current Assignee: Trading Technologies International, Inc.
• Original Assignee: Trading Technologies International, Inc.
• Inventors: Burns, Michael J., Carroll, Steven J., Singer, Scott F.
• Primary Examiner(s): Trammell; James P.
• Assistant Examiner(s): TROTTER, SCOTT S
• Application Number:
  US11/418,495
• Publication Number:
  US 20060259414A1
• Time in Patent Office: 783 Days
• Field of Search: 705/37, 705/35
• US Class Current: 705/37
• CPC Class Codes: G06Q 20/10 specially adapted for electronic funds transfer [EFT] systems; specially adapted for home banking systems
• CPC Class Codes: G06Q 20/102 Bill distribution or payments
• 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
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis

Abstract

A system and method are provided to intelligently limit the frequency at which automated or semi-automated trading tools move or re-price orders in an exchange order book. A tolerance may be input that limits when one or more orders in the exchange order book are moved from one price to another. The system and method assist in reducing the number of orders that are entered into the system which can lead to reduced exchange transaction fees, lost queue position, and reduce network bandwidth consumption.

Claims

1. A method for variably regulating order entry in an electronic trading application, the method comprising:

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

receiving a first market data for the first tradeable object, the first market data comprising a first inside market that represents a highest bid price currently available for the first tradeable object and a lowest ask price currently available for the first tradeable object;

receiving a second market data for the second tradeable object, the second market data comprising a second inside market that represents a highest bid price currently available for the second tradeable object and a lowest ask price currently available for the second tradeable object;

receiving a desired spread price to buy or sell a certain quantity of the spread;

sending a trade order to buy or sell the first tradeable object with a price that is based on the desired spread price to buy or sell the certain quantity of the spread, and further based on the second inside market;

receiving a change in the second inside market;

computing an effective spread price based on the price of the trade order and further based on the changed second inside market, the effective spread price representing a current price for the spread;

establishing a plurality of ranges, each range comprising a different value that represents a difference between the effective spread price and the desired spread price;

selecting a specific range from the plurality of ranges based on the desired spread price;

using a value from the specific range to determine whether the effective spread price is within a range of price levels determined by the value and the desired spread price;

when the effective spread price falls outside of the range of price levels,

replacing the trade order with a second trade order to buy or sell the first tradeable object with a second price that is based on the desired spread price to buy or sell the certain quantity of the spread, and further based on the changed second inside market;

and when the effective spread price is within the range of price levels, maintaining the trade order at the price.

2. The method of claim 1 further comprising sending the trade order with the price that is further based on a definition for the spread.

3. The method of claim 1, wherein the step of establishing the spread comprises establishing a definition for the spread that is used to determine whether to buy or sell the first tradeable object and whether to buy or sell the second tradeable object.

4. The method of claim 1, wherein the specific range comprises a plurality of price levels.

5. The method of claim 1, wherein the specific range comprises a single price level.

6. The method of claim 1, wherein the step of selecting the specific range comprises determining that the desired spread price is within the specific range.

7. The method of claim 1, wherein the trade order is based on the highest bid price of the second inside market when the spread comprises selling the second tradeable object.

8. The method of claim 1, wherein the trade order is based on the lowest ask price of the second inside market when the spread comprises buying the second tradeable object.

9. The method of claim 1, wherein the step of replacing the trade order with a second trade order comprises deleting the trade order and sending the second trade order at the second price to the electronic exchange.

10. The method of claim 1, wherein the spread is between additional tradeable objects.