Pair library trading system and method

• US 7,644,028 B2
• Filed: 10/04/2002
• Issued: 01/05/2010
• Est. Priority Date: 11/29/2001
• Status: Active Grant

• Current Assignee: Morgan Stanley Services Group Inc. (Morgan Stanley)
• Original Assignee: Morgan Stanley
• Inventors: Finkelstein, Mordechai, Waddell, William Matthew
• Primary Examiner(s): Cheung; Mary
• Assistant Examiner(s): Nguyen; Tien C
• Application Number:
  US10/264,722
• Publication Number:
  US 20030101129A1
• Time in Patent Office: 2,650 Days
• Field of Search: 705 1- 45, 100/301, 208/49, 264/248, 340/545, 428/160
• US Class Current: 705/37
• 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

A method for trading a pair of securities is provided and includes the step of retrieving a previously configured pair trade request and the previously configured pair trade request is submitted to a pair trade fulfillment module.

Claims

1. A computer-implemented method of trading a pair of securities, comprising the steps of:

retrieving a previously configured pair trade request wherein said previously configured pair trade request includes a plurality of parameters includes parameters from the group including a buy symbol, a buy quantity, a sell symbol, a sell quantity, a buy ratio, a sell ratio, a minimum wave amount, a maximum wave amount, a slippage amount, a wave stop loss unit, a nuisance cancel amount, an improve cancel unit and a minimum order distance; and

submitting said previously configured pair trade request to a computer-implemented pair trade fulfillment module,

wherein at least one of said steps is implemented with a computer.

2. The method of claim 1, further comprising the step of:

archiving at least one past pair trade in a pair trade archive; and

wherein said step of retrieving a previously configured pair trade request includes the step of;

retrieving said at least one past pair trade from said pair trade archive.

3. The method of claim 1, further comprising the step of:

storing at least one pre-defined pair trade request in a pair trade library; and

wherein said step of retrieving a previously configured pair trade request includes the step of;

retrieving said at least one pre-defined pair trade from said pair trade library.

4. The method of claim 3, wherein said at least one pre-defined pair trade is formulated by a pair trader.

5. The method of claim 1, wherein the step of retrieving includes the step of:

retrieving a previously configured pair trade request based on at least one search criteria.

6. The method of claim 5, wherein said at least one search criteria is a date.

7. The method of claim 5, wherein said at least one search criteria is selected from a group including a trader name and a security name.

8. The method of claim 1, wherein said previously configured pair trade request includes a plurality of parameters and further comprising the step of:

modifying at least one of said plurality of parameters.

9. The method of claim 1, wherein said previously configured pair trade request includes a plurality of parameters and further comprising the step of:

providing a shortcut for automatically modifying at least one of said plurality of parameters according to a trading strategy.

10. The method of claim 9, wherein said shortcut is selected from the group including Flip with Short, Flip with Long, Toggle Short and Order Unfilled Quantity.

11. The method of claim 1, wherein said pair trade fulfillment module includes a pair trading engine.

12. The method of claim 1, wherein said pair trade fulfillment module includes a pair crossing network.

13. The method of claim 1, wherein said pair trade fulfillment module includes a pair trading engine and a pair crossing network.

14. A computer-implemented system of trading a pair of securities, comprising:

a computer-implemented pair trade fulfillment module for fulfilling a pair trade request; and

a computer-implemented pair trade store for storing previously configured pair trades;

wherein at least one of said previously configured pair trades is retrieved from said pair trade store and is submitted to said pair trade fulfillment module; and

wherein said previously configured pair trade request includes a plurality of parameters includes parameters from the group including a buy symbol, a buy quantity, a sell symbol, a sell quantity, a buy ratio, a sell ratio, a minimum wave amount, a maximum wave amount, a slippage amount, a wave stop loss unit, a nuisance cancel amount, an improve cancel unit and a minimum order distance.

15. The system of claim 14, wherein said pair trade store is a pair trade archive for storing past pair trades.

16. The system of claim 14, wherein said pair trade store is a pair library for storing pre-defined pair trades.

17. The system of claim 16, wherein said at least one pre-defined pair trade is formulated by a pair trader.

18. The system of claim 14, wherein said at least one previously configured pair trade is retrieved based on at least one search criteria.

19. The system of claim 18, wherein said at least one search criteria is a date.

20. The system of claim 18, wherein said at least one search criteria is selected from a group including a trader name and a security name.

21. The system of claim 14, wherein said at least one of said previously configured pair trade includes a plurality of parameters and at least one of said plurality of parameters is modified.

22. The system of claim 14, wherein said at least one of said previously configured pair trades includes a plurality of parameters and further comprising a shortcut for automatically modifying at least one of said plurality of parameters according to a trading strategy.

23. The system of claim 22, wherein said shortcut is selected from a group including Flip with Short, Flip with Long, Toggle Short and Order Unfilled Quantity.

24. The system of claim 14, wherein said pair trade fulfillment module includes a pair trading engine.

25. The system of claim 14, wherein said pair trade fulfillment module includes a pair crossing network.

26. The system of claim 14, wherein said pair trade fulfillment module includes a pair trading engine and a pair crossing network.

27. A computer-implemented method of trading a pair of securities, comprising the steps of:

retrieving a previously configured pair trade request, said previously configured pair trade request includes a plurality of parameters includes parameters from the group including a buy symbol, a buy quantity, a sell symbol, a sell quantity, a buy ratio, a sell ratio, a minimum wave amount, a maximum wave amount, a slippage amount, a wave stop loss unit, a nuisance cancel amount, an improve cancel unit and a minimum order distance;

modifying at least one of said plurality of parameters; and

submitting said previously configured pair trade request to a computer-implemented pair trade fulfillment module,

wherein at least one of the steps is implemented with a computer.