System and method for automated order entry on short queues

• US 7,426,490 B1
• Filed: 10/31/2002
• Issued: 09/16/2008
• Est. Priority Date: 10/31/2002
• Status: Active Grant

• Current Assignee: Trading Technologies International, Inc.
• Original Assignee: Trading Technologies International, Inc.
• Inventors: Borsand, Steven F., Singer, Scott F., Burns, Michael
• Primary Examiner(s): Kramer; James A .
• Assistant Examiner(s): Vezeris; James A
• Application Number:
  US10/284,882
• Time in Patent Office: 2,147 Days
• Field of Search: 705/37
• 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

Orders are automatically sent to the market when certain user defined conditions are met. In particular, a trader can configure the trading application to automatically send orders for preset quantities at price levels with queues falling below a user-defined threshold. The length of queues may be measured in several ways, for example, the queue length could be measured by quantity at a given price level or the queue length could be measured by the number of orders at a given price level, or the queue length could be measured by a combination of quantity and orders. The present embodiments can more quickly recognize opportunities and send an order to take advantage of it than a trader can do manually. Other advantages and features are described herein.

Claims

1. A method for order entry in an automated trading environment having at least one accessible electronic exchange to trade at, the method comprising the steps of:

establishing an order quantity;

receiving a threshold, the threshold value being used to determine whether to send an order to an electronic exchange depending on whether a length of a queue in a market is shorter or longer than a length defined by the threshold value, and the threshold value representing at least one of the following;

a particular quantity value and a particular number of orders value;

determining a length of a queue for a given price level in the market, the length of the queue representing at least one of the following;

a quantity currently available in the market to buy or sell a tradeable object at the given price level and a number of orders currently available in the market to buy or sell the tradeable object at the given price level;

comparing the length of the queue to the threshold value;

automatically sending an order to buy the order quantity at a given price level when the given price level is equal to or less than a current highest bid price, and when the length of the queue is equal to or less than the threshold value; and

automatically sending an order to sell the order quantity at a given price level when the given price level is equal to or greater than a current highest ask price, and when the length of the queue is equal to or less than the threshold value.

2. The method of claim 1 wherein the length of the queue represents only the quantity currently available in the market to buy or sell the tradeable object at the given price level, and the threshold value represents the particular quantity value.

3. The method of claim 1 wherein the length of the queue represents only the number of orders currently available in the market to buy or sell the tradeable object at the given price level, and the threshold value represents the particular number of orders value.

4. The method of claim 1 wherein a trader can dynamically turn on or turn off the method for order entry.

5. The method of claim 1 wherein one order parameter comprises a quantity.

6. The method of claim 1 wherein the step of automatically sending an order occurs only when the given price level is within a range of acceptable price levels associated with a predetermined limit.

7. The method of claim 6 wherein the predetermined limit comprises a limit representing the furthest number of ticks from the inside market for which an order can be sent.

8. The method of claim 6 wherein the predetermined limit comprises a limit representing the closest number of ticks to the inside market for which an order can be sent.

9. The method of claim 1 further comprising the step of graphically indicating when a short queue opportunity exists.

10. The method of claim 1 wherein the step of automatically sending an order comprises receiving a signal in manual mode indicating the trader wishes to enter at least one order in at least one gap.

11. The method of claim 1 wherein the step of determining a length of a queue for a given price level in a market comprises receiving a value from an electronic exchange that indicates the length of the queue.

21. The method of claim 1 wherein the length of the queue corresponds to both the quantity currently available in the market to buy or sell the tradeable object at the given price level and a number of orders currently available in the market to buy or sell the tradeable object at the given price level.

12. A method for order entry in an automated trading environment having at least one accessible electronic exchange to trade at, the method comprising the steps of:

establishing an order quantity;

receiving a lower bound value and an upper bound value;

receiving a threshold value, the threshold value being used to determine whether to send an order to an electronic exchange depending on whether a length of a queue in a market is shorter or longer than a length defined by the threshold value, and the threshold value representing at least one of the following;

a particular quantity value and a particular number of orders value;

determining a length of a queue for a given price level in the market, the length of the queue representing at least one of the following;

a quantity currently available in the market to buy or sell the tradeable object at the given price level and a number of orders currently available in the market to buy or sell the tradeable object at the given price level;

comparing the length of the queue to the threshold value;

automatically sending an order to buy the order quantity at a given price level when the given price level is between the lower bound value and the upper bound value, and when the length of the queue is equal to or less than the threshold value;

automatically sending an order to sell the order quantity at a given price level when the given price level is given price level is between the lower bound value and the upper bound value, and when the length of the queue is equal to or less than the threshold value.

13. A computer-readable storage medium having a computer-readable program embodied therein, for performing a method for order entry in an automated trading environment having at least one accessible electronic exchange to trade at, comprising the steps of:

establishing an order quantity;

receiving a threshold value, the threshold value being used to determine whether to send an order to an electronic exchange depending on whether a length of a queue in a market is shorter or longer than a length defined by the threshold value, and the threshold value representing at least one of the following;

a particular quantity value and a particular number of orders value;

determining a length of a queue for a given price level in the market, the length of the queue representing at least one of the following;

a quantity currently available in the market to buy or sell a tradeable object at the given price level and a number of orders currently available in the market to buy or sell the tradeable object at the given price level;

comparing the length of the queue to the threshold value;

automatically sending an order to buy the order quantity at a given price level when the given price level is equal to or less than a current highest bid price, and when the length of the queue is equal to or less than the threshold value; and

automatically sending an order to sell the order quantity at a given price level when the given price level is equal to or greater than a current highest ask price, and when the length of the queue is equal to or less than the threshold value.

14. The computer readable medium of claim 13 wherein the steps are executed by a processor on a client device that is coupled to an electronic exchange through one or more network devices.

15. The computer readable medium of claim 13 wherein the step of receiving a threshold value comprises receiving an input signal representing a number from an input user device.

16. The computer readable medium of claim 13 wherein the step of determining a length of a queue for a given price level in a market comprises receiving a value from an electronic exchange that indicates the length of the queue.

17. The computer readable medium of claim 13 wherein the length of the queue is communicated to the user by way of a numerical illustration.

18. The computer readable medium of claim 13 wherein the length of the queue is communicated to the user by way of a graphical illustration.

19. The computer readable medium of claim 13 wherein the length of the queue corresponds to only the quantity available at the given price level.

20. The computer readable medium of claim 13 wherein the length of the queue corresponds to only the number of orders at the given price level.

22. The computer readable medium of claim 13 wherein the length of the queue corresponds to both the quantity currently available in the market to buy or sell the tradeable object at the given price level and a number of orders currently available in the market to buy or sell the tradeable object at the given price level.