System and method for regulating order entry in an electronic trading environment

• US 7,577,600 B1
• Filed: 06/30/2005
• Issued: 08/18/2009
• Est. Priority Date: 06/30/2005
• Status: Active Grant

• Current Assignee: Trading Technologies International, Inc.
• Original Assignee: Trading Technologies International, Inc.
• Inventors: Zagara, Thomas R., Singer, Scott F.
• Primary Examiner(s): Kalinowski; Alexander
• Assistant Examiner(s): Kanervo; Virpi H
• Application Number:
  US11/170,938
• Time in Patent Office: 1,510 Days
• Field of Search: None
• US Class Current: 705/35
• CPC Class Codes: G06Q 20/10 specially adapted for electronic funds transfer [EFT] systems; specially adapted for home banking systems
• CPC Class Codes: G06Q 30/08 Auctions
• 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
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis

Abstract

A system and method are provided for defining slop parameters to an individual spread order or a customized group of orders. The system and method may be used to, for example, define inside slop, outside slop, and/or adjustable range parameters to one or more orders. The inside slop, outside slop, and/or adjustable range parameters may be input by a trader, and, among other things, allow a trader to prioritize orders, set parameters so that some orders are re-priced more aggressively than other spread orders. Alternatively, slop parameters associated with a spread order may also apply more restrictive slop parameters to orders within the same adjustable range. Slop parameters associated with a spread order can also be configured and modified by a trader based on the trader'"'"'s preferences. Other features and advantages are described herein.

Claims

1. A method for trading in an electronic trading environment, comprising:

setting up, via a computing device, a spread trading strategy comprising a first leg and a second leg, the first leg representing a first tradeable object and the second leg representing a second tradeable object;

entering, via the computing device, a desired spread price for a spread order according to the spread trading strategy;

automatically entering, via the computing device, a first leg order at a price in the first leg of the spread trading strategy at an electronic exchange, wherein the price of the first leg order is computed based on the desired spread price and market data of the second leg of the spread trading strategy;

individually selecting, via the computing device, the spread order;

assigning, via the computing device, a tolerance parameter for the individually selected spread order; and

using a microprocessor to execute one or more instructions to perform the following;

determining a plurality of prices based on the desired spread price and the tolerance parameter;

automatically calculating an effective spread order price based on the desired spread price and updated market data of the second leg;

determining if the effective spread order price remains within the plurality of prices; and

if so,

refraining from replacing the first leg order at the price in the first leg with a second order at a second price, the second price of the second order being computed based on the desired spread price and the updated market data of the second leg.

2. The method of claim 1, wherein the tolerance parameter comprises an inside slop or an outside slop.

3. The method of claim 1, further comprising:

determining if the effective spread order price remains within the plurality of prices; and

if not,

replacing the first leg order at the price in the first leg with a second order at a second price, the second price of the second order being computed based on the desired spread price and the updated market data of the second leg.

4. The method of claim 1, further comprising:

deactivating the tolerance parameter in response to a command.

5. The method of claim 1, further comprising:

modifying the tolerance parameter to a different tolerance parameter.

6. The method of claim 1, wherein the effective spread order price is automatically calculated based on a condition, wherein the condition is based on a best bid price in the second tradeable object.

7. The method of claim 1, wherein the effective spread order price is automatically calculated based on a condition, wherein the condition is based on a best ask price in the second tradeable object.

8. The method of claim 1, further comprising:

displaying a spread order indicator representing the desired spread price on a graphical interface, the spread order indicator being displayed along a value axis; and

displaying a tolerance indicator for use in modifying the tolerance parameter.

9. The method of claim 8, further comprising:

repositioning the tolerance indicator to modify the tolerance parameter.

10. The method of claim 1, further comprising:

entering a second desired spread price for a second spread; and

individually selecting the second spread to assign the tolerance parameter.

11. A computer readable medium containing computer program executable instructions for causing a microprocessor to execute a method for use by a trader in an electronic trading system that includes at least one computer terminal connected over a network to at least one electronic exchange, comprising:

setting up, via a computing device, a spread trading strategy comprising a first leg and a second leg, the first leg representing a first tradeable object and the second leg representing a second tradeable object;

entering via the computing device, a desired spread price for a spread order according to the spread trading strategy;

automatically entering, via the computing device, a first leg order at a price in the first leg of the spread trading strategy at an electronic exchange, wherein the price of the first leg order is computed based on the desired spread price and market data of the second leg of the spread trading strategy;

individually selecting, via the computing device, the spread order;

assigning, via the computing device, a tolerance parameter for the individually selected spread order; and

using a microprocessor to execute one or more instructions to perform the following;

determining a plurality of prices based on the desired spread price and the tolerance parameter;

automatically calculating an effective spread order price based on the desired spread price and updated market data of the second leg;

determining if the effective spread order price remains within the plurality of prices; and

if so,

refraining from replacing the first leg order at the price in the first leg with a second order at a second price, the second price of the second order being computed based on the desired spread price and the updated market data of the second leg.

12. The computer readable medium of claim 11, wherein the computer program executable instructions further comprise:

determining if the effective spread order price remains within the plurality of prices; and

if not,

replacing the first leg order at the price in the first leg with a second order at a second price, the second price of the second order being computed based on the desired spread price and the updated market data of the second leg.

13. A system for trading in an electronic trading environment, comprising:

a microprocessor coupled to a graphical user interface to perform the following;

setting up a spread trading strategy comprising a first leg and a second leg, the first leg representing a first tradeable object and the second leg representing a second tradeable object;

entering a desired spread price for a spread order according to the spread trading strategy;

individually selecting the spread order;

assigning a tolerance parameter for the individually selected spread order; and

the microprocessor programmed to;

automatically entering a first leg order at a price in the first leg of the spread trading strategy at an electronic exchange, wherein the price of the first leg order is computed based on the desired spread price and market data of the second leg of the spread trading strategy;

determining a plurality of prices based on the desired spread price and the tolerance parameter;

automatically calculating an effective spread order price based on the desired spread price and updated market data of the second leg;

determining if the effective spread order price remains within the plurality of prices; and

if so,

refraining from replacing the first leg order at the price in the first leg with a second order at a second price, the second price of the second order being computed based on the desired spread price and the updated market data of the second leg.

14. The system of claim 13, wherein the tolerance parameter comprises an inside slop or an outside slop.

15. The system of claim 13, wherein the microprocessor is further programmed to:

determining if the effective spread order price remains within the plurality of prices; and

if not,

replacing the first leg order at the price in the first leg with a second order at a second price, the second price of the second order being computed based on the desired spread price and the updated market data of the second leg.

16. The system of claim 13, wherein the graphical user interface is further used for deactivating the tolerance parameter in response to a command.

17. The system of claim 13, wherein the graphical user interface is further used for modifying the tolerance parameter to a different tolerance parameter.

18. The system of claim 13, wherein the graphical user interface is further used for:

displaying a spread order indicator representing the desired spread price, the spread order indicator being displayed along a value axis; and

displaying a tolerance indicator for use in modifying the tolerance parameter.

19. The system of claim 18, wherein the graphical user interface is further used for repositioning the tolerance indicator to modify the tolerance parameter.

20. The system of claim 13, wherein the graphical user interface is further used for:

entering a second desired spread price for a second spread; and

individually selecting the second spread to assign the tolerance parameter.