System and method for estimating a spread value
First Claim
1. A computer-based method for estimating a spread value between at least a first tradeable object and a second tradeable object, the method comprising:
- receiving by a computing device a definition for a spread, wherein the spread is between a first tradeable object and a second tradeable object, the definition determining whether the first tradeable object is to be bought or sold and whether the second tradeable object is to be bought or sold to complete the spread;
receiving at the computing device a first market data from an electronic exchange, the first market data comprising a highest bid price and a lowest ask price currently available for the first tradeable object and a last traded price for the first tradeable object;
receiving at the computing device a second market data from an electronic exchange, the second market data comprising a highest bid price and a lowest ask price currently available for the second tradeable object and a last traded price for the second tradeable object;
detecting at the computing device a change in the first market data;
electronically estimating at the computing device the spread value responsive to the change in the first market data using the definition for the spread;
wherein the spread value is based on a highest bid price for the second tradeable object when the second tradeable object is to be sold or the spread value is based on a lowest offer price for the second tradeable object when the second tradeable object is to be bought; and
displaying the spread value on a screen of an electronic terminal in relation to an axis of price levels.
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Accused Products
Abstract
An estimated spread value is computed that represents a price at which a trader might have been able to buy or sell a spread given the current market conditions of the legs. In particular, when an event occurs in one of the legs, price information is gathered from each of the other legs based on the spread definition, in addition to the defined event, and is used in estimating the value of a spread. According to one feature, the computations may be triggered by any predefined event. According to another feature, the computation may be programmed by a user to tailor the estimation process according to the type of spread being traded. The estimated spread value may be used to analyze spreads, it may be fed to other trading related software tools, or it may be used in charting.
156 Citations
16 Claims
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1. A computer-based method for estimating a spread value between at least a first tradeable object and a second tradeable object, the method comprising:
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receiving by a computing device a definition for a spread, wherein the spread is between a first tradeable object and a second tradeable object, the definition determining whether the first tradeable object is to be bought or sold and whether the second tradeable object is to be bought or sold to complete the spread; receiving at the computing device a first market data from an electronic exchange, the first market data comprising a highest bid price and a lowest ask price currently available for the first tradeable object and a last traded price for the first tradeable object; receiving at the computing device a second market data from an electronic exchange, the second market data comprising a highest bid price and a lowest ask price currently available for the second tradeable object and a last traded price for the second tradeable object; detecting at the computing device a change in the first market data; electronically estimating at the computing device the spread value responsive to the change in the first market data using the definition for the spread; wherein the spread value is based on a highest bid price for the second tradeable object when the second tradeable object is to be sold or the spread value is based on a lowest offer price for the second tradeable object when the second tradeable object is to be bought; and displaying the spread value on a screen of an electronic terminal in relation to an axis of price levels. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16)
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Specification