System and method for providing a linear spread

• US 7,577,608 B1
• Filed: 07/07/2006
• Issued: 08/18/2009
• Est. Priority Date: 07/07/2006
• Status: Active Grant

• Current Assignee: Trading Technologies International, Inc.
• Original Assignee: Trading Technologies International, Inc.
• Inventors: Mintz, Sagy P., Burns, Michael J.
• Primary Examiner(s): Patel; Jagdish N
• Assistant Examiner(s): Chandler; Sara
• Application Number:
  US11/483,064
• Time in Patent Office: 1,138 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
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis

Abstract

A system and method for providing a linear spread in an electronic trading environment are described. According to one example embodiment, a trading system can receive market information associated to a trading strategy, known as a spread. The trader may also define a market volatility parameter to utilize in the calculation of a linear spread price axis. The received market information and a divide spread algorithm are also used to determine the linear spread price axis. The trading application determines a linear spread price axis, at which price levels are separated by consistent linear tick increments. The linear spread price axis allows for more efficient and effective trading in the electronic trading environment especially when certain tradeable objects are traded or when certain spread algorithms, like the divide spread algorithm, are utilized.

Claims

1. A method for providing a linear price axis for a trading strategy in an electronic trading environment, the method comprising:

receiving by a computing device a definition for a trading strategy comprising a first tradeable object and a second tradeable object, wherein the definition defines a relationship between the first tradeable object and the second tradeable object, wherein the trading strategy has non-linear tick increments based on the relationship;

receiving by the computing device market information comprising information associated with executed trades for the first tradeable object and the second tradeable object;

receiving by the computing device a first market volatility parameter corresponding to the first tradeable object and a second market volatility parameter corresponding to the second tradeable object;

generating by the computing device a linear price axis for the trading strategy, the trading strategy having non-linear tick increments based on the defined relationship, by;

determining by the computing device a total number of price levels for the trading strategy by adding the first market volatility parameter to the second market volatility parameter;

determining by the computing device a minimum price for the trading strategy based on the definition for the trading strategy and the market information;

determining by the computing device a maximum price for the trading strategy based on the definition for the trading strategy and the market information;

calculating by the computing device a difference value by subtracting the minimum price from the maximum price;

calculating by the computing device a linear tick increment for the trading strategy by dividing the difference value by the total number of price levels; and

generating by the computing device the linear price axis for the trading strategy based on the linear tick increment, wherein the linear price axis comprises a plurality of price levels, wherein each price level corresponds to a price for the trading strategy, wherein the linear tick increment represents a consistent interval between price levels; and

displaying at a client device the linear price axis.

2. The method of claim 1, further comprising:

mapping a quantity for the trading strategy at a particular rice to the linear price axis, wherein the particular price of the quantity is rounded up or down to the nearest price level of the linear price axis.

3. The method of claim 1 further comprising:

providing an order entry region comprising a plurality of locations, wherein each location is adapted to receive a command to place an order for the trading strategy, wherein each location corresponds to a price level of the linear price axis.

4. The method of claim 1, further comprising:

dynamically displaying a first indicator at a first area in relation to a first price level of the linear price axis, the first indicator being associated with the highest bid price currently available to buy according to the trading strategy; and

dynamically displaying a second indicator at a second area in relation to a second price level of the linear price axis, the second indicator being associated with the lowest ask price currently available to sell according to the trading strategy.

5. The method of claim 1, wherein the first and second market volatility parameters are user-defined values.

6. The method of claim 1, wherein the first and second market volatility parameters are different values.

7. The method of claim 1, further comprising:

determining the minimum price for the trading strategy by dividing a first lowest price by a second highest price;

determining the maximum price for the trading strategy by dividing a first highest price by a second lowest price.

8. The method of claim 7, further comprising:

determining the first lowest price by subtracting the first market volatility parameter from a last traded price for the first tradeable object;

determining the first highest price by adding the first market volatility parameter to the last traded price for the first tradeable object;

determining the second lowest price by subtracting the second market volatility parameter from a last traded price for the second tradeable object; and

determining the second highest price by adding the second market volatility parameter to the last traded price for the second tradeable object.

9. The method of claim 1, further comprising:

receiving a command to place a trading strategy order at a spread price along the linear price axis;

placing a first order at a first order price for the first tradeable object based on the market information from the second tradeable object; and

calculating an effective price for the trading strategy order by dividing the first order price by market information from the second tradeable object.

10. The method of claim 9, further comprising:

displaying an indicator for the trading strategy order in relation to a first price of prices en of the linear price axis, wherein the first price is determined as the price in the plurality of prices nearest to the effective price for the trading strategy order.

11. The method of claim 10, wherein determining which of the plurality of prices of the linear price axis is nearest to the effective price for trading strategy order is user-defined.

12. The method of claim 1, further comprising:

determining the minimum price for the trading strategy by multiplying a lowest price for the first tradeable object by a highest price for the second tradeable object;

determining the maximum price for the trading strategy by multiplying a highest price for the first tradeable object by a lowest price for the second tradeable object.

13. The method of claim 1, wherein at least one of the minimum and maximum prices for the trading strategy is manually overridden.

14. The method of claim 1, wherein the definition for the trading strategy defines a divide spread relationship for the first tradeable object and the second tradeable object.

15. The method of claim 1, wherein the definition for the trading strategy defines a multiply spread relationship for the first tradeable object and the second tradeable object.

16. A computer readable medium having executable instructions which can be executed by a processor to cause a network device to perform a method, comprising:

receiving by a computing device a definition for a trading strategy comprising a first tradeable object and a second tradeable object, wherein the definition defines a relationship between the first tradeable object and the second tradeable object, wherein the trading strategy has non-linear tick increments based on the relationship;

receiving by the computing device market information comprising information associated with executed trades for the first tradeable object and the second tradeable object;

receiving by the computing device a first market volatility parameter corresponding to the first tradeable object and a second market volatility parameter corresponding to the second tradeable object;

generating by the computing device a linear price axis for the trading strategy, the trading strategy having non-linear tick increments based on the defined relationship, by;

determining by the computing device a total number of price levels for the trading strategy by adding the first market volatility parameter to the second market volatility parameter;

determining by the computing device a minimum price for the trading strategy based on the definition for the trading strategy and the market information;

determining by the computing device a maximum price for the trading strategy based on the definition for the trading strategy and the market information;

calculating by the computing device a difference value by subtracting the minimum price from the maximum price;

calculating by the computing device a linear tick increment for the trading strategy by dividing the difference value by the total number of price levels; and

generating by the computing device the linear price axis for the trading strategy based on the linear tick increment, wherein the linear price axis comprises a plurality of price levels, wherein each price level corresponds to a price for the trading strategy, wherein the linear tick increment represents a consistent interval between price levels; and

displaying at a client device the linear price axis.