System and method for performing automatic spread trading

• US 7,424,450 B2
• Filed: 05/03/2006
• Issued: 09/09/2008
• Est. Priority Date: 03/05/2002
• Status: Expired due to Term

• Current Assignee: Pablo, LLC
• Original Assignee: Pablo, LLC
• 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:
  US11/417,533
• Publication Number:
  US 20060259406A1
• Time in Patent Office: 860 Days
• Field of Search: 705 35- 38, 715/513
• US Class Current: 705/35
• 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 for generating a spread for trade, the method comprising:

receiving a plurality of market data feeds from one or more electronic exchanges, the plurality of market data feeds comprising price information for at least a first tradeable object and a second tradeable object;

receiving a plurality of spread setting parameters;

generating a spread data feed corresponding to the plurality of market data feeds and the plurality of spread setting parameters, wherein the spread data feed comprises a highest bid price currently available to buy a spread represented by the spread data feed and a lowest ask price currently available to sell the spread, and wherein the highest bid price and the lowest ask price are calculated using the price information from the first and second tradeable objects;

displaying price levels along a price axis corresponding to the spread;

displaying the spread order data feed as a plurality of bids and asks, in alignment with the price levels corresponding thereto;

displaying a spread order entry region comprising a plurality of locations for receiving commands to initiate buying or selling the spread, each location corresponding to a price level of the price axis;

selecting a particular location in the spread order entry region through a single action of the user input device with a pointer of the user input device positioned over the particular location to initiate buying or selling the spread; and

sending a trade order to an electronic exchange for the first tradeable object in response to the single action, wherein the trade order comprises a price that is based on a price level corresponding to the particular location that was selected through the single action and a price of an inside market of the second tradeable object, wherein the inside market of the second tradeable object comprises a highest bid price and a lowest ask price currently available for the second tradeable object.

2. The method of claim 1 wherein the single action consists of a single click of a mouse button.

3. The method of claim 1 wherein the single action consists of a double click of a mouse button.

4. The method of claim 1 wherein the plurality of bids and asks comprise indicators, and wherein a bid indicator represents a highest bid price for the spread and an ask indicator represents a lowest ask price for the spread.

5. The method of claim 4 wherein the bid indicator moves relative to the price levels along the price axis upon receipt of a new highest bid price for the spread and the ask indicator moves relative to the price levels along the price axis upon receipt of a new lowest ask price.

6. The method of claim 1 wherein the spread setting parameters comprises a spread ratio.

7. The method of claim 1 further comprising receiving a default quantity value for the spread, wherein the trade order sent to the electronic exchange for the first tradeable object comprises a quantity based on the default quantity value for the spread.

8. The method of claim 1 further comprising:

displaying a bid spread order entry region, wherein the bid spread order entry region comprises a plurality of locations for receiving commands to initiate buying the spread, each location corresponding to a price level along the price axis; and

displaying an ask spread order entry region, wherein the ask spread order entry region comprises a plurality of locations for receiving commands to initiate selling the spread, each location corresponding to a price level along the price axis.

9. The method of claim 1 further comprising displaying a spread entered order indicator in association with a selected price level along the price axis, wherein the spread entered order indicator indicates that a spread has been initiated at the selected price level.

10. The method of claim 9 further comprising receiving a command to cancel the spread represented by the spread entered order indicator through a single action of a user input device that selects the spread entered order indicator.

11. The method of claim 1 further comprising displaying an entered order indicator in a window corresponding to the trade order sent to the electronic exchange for the first tradeable object, and visually identifying the entered order indicator to be associated with the spread.