System and method for coordinating automated and semi-automated trading tools

• US 7,536,344 B2
• Filed: 05/02/2006
• Issued: 05/19/2009
• Est. Priority Date: 12/30/2003
• Status: Active Grant

• Current Assignee: Trading Technologies International, Inc.
• Original Assignee: Trading Technologies International, Inc.
• Inventors: Musgrave, Mark A., Burns, Michael J., Singer, Scott F.
• Primary Examiner(s): Poinvil; Frantzy
• Assistant Examiner(s): GRAHAM, CLEMENT B
• Application Number:
  US11/416,406
• Publication Number:
  US 20070100736A1
• Time in Patent Office: 1,113 Days
• Field of Search: 705/38, 705 36- 37, 705/35
• 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 40/03 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 include methods, systems, and computer program products that provide tools for use in any type of electronic trading environment. In one aspect, leaning manager includes software that can be implemented on any type of computer device for tracking and/or coordinating the buying and selling of available market quantities by multiple automated or semi-automated trading tools. For instance, if more than one automated or semi-automated trading tool is leaning on the same tradeable object then the leaning manager may track and/or coordinate such action. The trading tools can use the tracked information and/or the allocated quantities and their prices to enhance their trading strategies.

Claims

1. A method for implementing an automated trading strategy relating to a tradable object being traded in an electronic exchange, the method comprising:

electronically establishing a first automated trading strategy based on a first tradable object and a second tradable object, the first automated trading strategy generating a first order for the second tradable object, wherein a price of the first order is based upon a first estimated price for the first tradable object;

electronically establishing a second automated trading strategy based on the first tradable object and a third tradable object, the second automated trading strategy generating a second order for the third tradable object, wherein a price of the second order is based upon a second estimated price for the first tradable object;

electronically receiving market information for the first tradable object from an electronic exchange, the market information comprising order quantities available to buy or sell the first tradable object at a plurality of price levels;

upon electronically receiving a request from the first automated trading strategy to determine the first estimated price, calculating the first estimated price based on the order quantities in the received market information for a first order quantity of the first tradable object;

taking a first action of the first automated trading strategy based on the first estimated price, wherein the first action comprises sending the first order by the first automated trading strategy to an electronic exchange;

upon electronically receiving a request from the second automated trading strategy to determine the second estimated price, electronically determining that the second automated trading strategy is associated with a higher priority level than the first automated trading strategy;

electronically reallocating at least a portion of the first order quantity of the first tradable object from the first estimated price to be used by the second automated trading strategy;

electronically calculating a the second estimated price based on the reallocated portion of the first order quantity, the order quantities in the received market information for the first tradable object, and further based on a second order quantity; and

electronically taking a second action of a second automated trading strategy based on the second estimated price, wherein the second action comprises sending the second order by the second automated trading strategy to an electronic exchange.

2. The method of claim 1, further comprising:

taking another first action of the first automated trading strategy based on another estimated price, wherein the another first action comprises sending the first order by the first automated trading strategy to an electronic exchange at the another estimated price.

3. The method of claim 2, further comprising:

deleting the first order from the electronic exchange at the first estimated price.

4. The method of claim 2, further comprising:

detecting a fill of the first order, and in response, sending an offset order to buy or sell the first tradeable object; and

detecting a fill of the second order, and in response, sending an offset order to buy or sell the first tradeable object.

5. The method of claim 4, wherein the offset order sent in response to the fill of the first order has a price that is equal or substantially equal to the another estimated price, and wherein the offset order sent in response to the fill of the second order has a price that is equal or substantially equal to the second estimated price.

6. The method of claim 1, wherein the second estimated price is equal or substantially equal to the first estimated price.

7. The method of claim 1, wherein the step of calculating the second estimated price is performed by adding the at least portion of the first order quantity to an available quantity of the first tradeable object.

8. The method of claim 1, further comprising:

recalculating the another first estimated price and the second estimated price when market conditions change.

9. The method of claim 1, wherein the first tradeable object and the third tradeable object are the same tradeable object.

10. The method of claim 1, wherein the first tradeable object and the third tradeable object are different tradeable objects.

11. The method of claim 1, wherein the higher priority level determined for the second automated trading strategy is based on a higher priority level associated with a trader executing the second automated trading strategy.

12. The method of claim 1, wherein the higher priority level determined for the second automated trading strategy is based on a higher priority level associated with a trading tool executing the second automated trading strategy.

13. The method of claim 1, wherein the higher priority level determined for the second automated trading strategy is based on a pro-rata configuration.

14. The method of claim 1, further comprising:

defining the higher priority level for the second automated trading strategy.

15. A computer readable medium having program code recorded thereon for causing a microprocessor to execute the method of claim 1.

16. A computer-based method for coordinating trading tools that are used to trade tradable objects in an electronic trading environment, the method comprising:

electronically receiving market information related to a tradable object from the electronic exchange, the market information comprising order quantities available for the tradable object at a plurality of price levels;

electronically receiving a first request from a first trading tool, wherein the first request represents a willingness to lean on a tradable object in electronically executing a first automated trading strategy comprising a first order to buy or sell a first order quantity of the tradable object;

allocating the first order quantity at a first available price level for the tradable object associated with the first request based on the received order quantities, wherein the allocated first order quantity is used by the first automated trading tool in formulating a first estimated price for the first order, electronically receiving a second request from a second trading tool, wherein the second request represents a willingness to lean on the tradable object in electronically executing a second automated trading strategy comprising a second order to buy or sell a second order quantity of the tradable object;

electronically determining that the second request is associated with a higher priority level than the first request;

electronically reallocating at least a portion of the first order quantity of the first tradable object from the first available price level to be used for the second request from the second automated trading tool; and

based on the reallocation of the at least portion of the first order quantity and the received order quantities available at the plurality of price levels, allocating at least a portion of the second order quantity to the first available price level for the tradable object associated with the second request, wherein the allocated portion of the second order quantity at the first available price level for the tradable object is used by the second automated trading tool in formulating a second estimated price for the second order.

17. The method of claim 16, wherein the first trading strategy is further based on a second tradeable object, the method further comprising:

prior to reallocation, calculating a price for an order for the second tradeable object based on the first available price for the first order; and

sending the order for the second tradeable object to an electronic exchange.

18. The method of claim 16, further comprising:

upon the reallocation, recalculating the price for the order for the second tradeable object based on another available price for the first order; and

modifying the order for the second tradeable object at the electronic exchange to reflect the recalculated price.

19. The method of claim 18, further comprising:

sending the first order for the tradeable object when the order for the second tradeable object is filled.

20. The method of claim 16, wherein the second trading strategy is further based on a third tradeable object, the method further comprising:

calculating a price for an order for the third tradeable object based on the first available price; and

sending the order for the third tradeable object to an electronic exchange.

21. The method of claim 16, wherein the higher priority level determined for the first request is based on a higher priority level associated with a trader executing the second automated trading strategy.

22. The method of claim 16, wherein the higher priority level determined for the second automated trading strategy is based on a higher priority level associated with the second trading tool executing the second automated trading strategy.

23. The method of claim 16, wherein the higher priority level determined for the second automated trading strategy is based on a pro-rata configuration.

24. The method of claim 16, further comprising:

defining the higher priority level for the second automated trading strategy.