System and method for performing automatic spread trading

• US 7,437,325 B2
• Filed: 05/03/2002
• Issued: 10/14/2008
• Est. Priority Date: 03/05/2002
• Status: Active Grant

• Current Assignee: Pablo, LLC
• Original Assignee: Pablo, LLC
• Inventors: Schluetter, Jens-Uwe, Singer, Scott, Brumfield, Harris, Monroe, Fred, Burns, Michael, Kemp, Gary Allen II, Babulak, David
• Primary Examiner(s): Dass; Harish T.
• Application Number:
  US10/137,979
• Publication Number:
  US 20030200167A1
• Time in Patent Office: 2,356 Days
• Field of Search: 705 36- 38, 705/400
• 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 for spread trading in an electronic trading system, the method comprising:

generating a spread between a first tradeable object and a second tradeable object, wherein the first and second tradeable objects are listed at an electronic exchange;

receiving a desired spread price to buy or sell the spread;

automatically entering an order at the electronic exchange to buy or sell the first tradeable object of the spread based on a plurality of spread setting parameters, the desired spread price, and market conditions in the second tradeable object;

automatically calculating a working spread price based on a price of the order and market conditions in the second tradeable object; and

refraining from changing the price of the order at the electronic exchange when the working spread price stays within a range of prices determined by the desired spread price and a boundary parameter.

2. The method of claim 1 further comprising determining the range of prices by adding the boundary parameter to the desired spread price.

3. The method of claim 1 further comprising determining the range of prices by subtracting the boundary parameter to the desired spread price.

4. The method of claim 1 wherein the step of automatically entering the order comprises determining the price for which the order is entered based on the plurality of spread setting parameters and based on either a highest bid price or a lowest ask price currently available in the second tradeable object.

5. The method of claim 4 wherein if the price of the order is based on the highest bid price in the second tradeable object and the highest bid price changes, then automatically calculating the working spread price based on the order and the new highest bid price.

6. The method of claim 4 wherein if the price of the order is based on the lowest ask price in the second tradeable object and the lowest ask price changes, then automatically calculating the working spread price based on the order and the new lowest bid price.

7. The method of claim 1 further comprising a second boundary parameter such that when the working spread price stays within the range of prices determined by the boundary parameters, the price of order is not changed.

8. The method of claim 1 further comprising a second boundary parameter such that when the working spread price falls outside of the range of prices determined by the boundary parameters, the order is re-priced.

9. The method of claim 1 further comprising setting the boundary parameter.

10. A method for spread trading in an electronic trading system, the method comprising:

generating a spread between a first tradeable object and a second tradeable object, wherein the first and second tradeable objects are listed at an electronic exchange;

receiving a desired spread price to buy or sell the spread;

automatically entering an order at the electronic exchange to buy or sell the first tradeable object of the spread based on a plurality of spread setting parameters, the desired spread price, and market conditions in the second tradeable object;

automatically calculating a working spread price based on a price of the order and market conditions in the second tradeable object; and

automatically changing the price of the order at the electronic exchange only when the working spread price goes outside of a range of prices determined by the desired spread price and a boundary parameter.

11. The method of claim 10 further comprising determining the range of prices by adding the boundary parameter to the desired spread price.

12. The method of claim 10 further comprising determining the range of prices by subtracting the boundary parameter to the desired spread price.

13. The method of claim 10 wherein the step of automatically entering the order comprises determining a price the price for which the order is entered based on the plurality of spread setting parameters and based on either a highest bid price or a lowest ask price currently available in the second tradeable object.

14. The method of claim 13 wherein if the price of the order is based on the highest bid price in the second tradeable object and the highest bid price changes, then automatically calculating the working spread price based on the order and the new highest bid price.

15. The method of claim 13 wherein if the price of the order is based on the lowest ask price in the second tradeable object and the lowest ask price changes, then automatically calculating the working spread price based on the order and the new lowest ask price.