System and method for order placement in an electronic trading environment

• US 7,644,030 B2
• Filed: 05/02/2006
• Issued: 01/05/2010
• Est. Priority Date: 09/30/2005
• Status: Active Grant

• Current Assignee: Trading Technologies International, Inc.
• Original Assignee: Trading Technologies International, Inc.
• Inventors: Mintz, Sagy P., Burns, Michael J., Herz, Eric M., Deitz, Alexander D.
• Primary Examiner(s): Karmis; Stefanos
• Assistant Examiner(s): LEMIEUX, JESSICA
• Application Number:
  US11/416,471
• Publication Number:
  US 20070078752A1
• Time in Patent Office: 1,344 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 associated methods are provided for intelligent placement and movement of orders in an electronic trading environment. According to one example method, in addition to submitting a leg order at a calculated price level, additional orders, queue holder orders, are submitted for the leg order at prices either below or above the calculated price level. Based on this configuration, if the conditions change such that it is necessary to re-price the leg order, there will be already an order resting in the exchange order book at the re-calculated price that can be used in the strategy. Upon re-pricing the leg order, one or more additional queue holder orders will be placed in the market. Other tools are provided as well.

Claims

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

defining by a computing device a first spread strategy comprising a first tradeable object and at least one second tradeable object;

defining by the computing device a second spread strategy comprising the first tradeable object and at least one third tradeable object;

computing by the computing device a first price to buy or sell the first tradeable object, wherein the first price is computed based on market conditions corresponding to the at least one second tradeable object and further based on a desired spread price for the first spread strategy;

sending by the computing device a first order to buy or sell the first tradeable object at the first price to be placed in an order book of a computerized matching process, wherein the first order satisfies the desired spread price of the first spread strategy;

automatically sending by the computing device a plurality of queue holder orders to buy or sell the first tradeable object at a plurality of prices to be placed in the order book of the computerized matching process, wherein the plurality of queue holder orders are assigned to the first spread strategy and the plurality of prices are based on the first price of the first order corresponding to the first spread strategy, and wherein the plurality of queue holder orders do not satisfy the desired spread price of the first spread strategy;

determining by the computing device that the first order no longer satisfies the desired spread price of the first spread strategy subsequent to the placement of the first order and the plurality of queue holder orders;

using by the computing device a queue holder order of the plurality of queue holder orders for the first spread strategy instead of the first order when a second price of the queue holder order satisfies the desired spread price; and

when the queue holder order corresponding to the first spread strategy is filled, assigning by the computing device remaining queue holder orders of the plurality of queue holder orders to be used by the second spread strategy.

2. The method of claim 1, wherein the at least one second tradeable object and the at least one third tradeable object comprise the same tradeable object.

3. The method of claim 1, wherein the at least one second tradeable object and the at least one third tradeable object comprise different tradeable objects.

4. The method of claim 1, wherein determining by the computing device that the first order no longer satisfies the desired spread price of the first spread strategy comprises determining the second price based on updated market conditions comprising a change in an inside market of the at least one second tradeable object.

5. The method of claim 1, further comprising:

automatically sending a new queue holder order at a new price to be placed in the order book of the computerized matching process.

6. The method of claim 5, wherein the new queue holder order is sent upon modifying at least one price of the plurality of queue holder orders.

7. The method of claim 6, wherein modifying at least one price of the plurality of queue holder orders comprises cancelling at least one queue holder order.

8. The method of claim 1, wherein the plurality of prices for the plurality of queue holder orders are consecutive prices corresponding to the first tradeable object.

9. The method of claim 1, wherein at least one price of the plurality of prices for the plurality of queue holder orders is not a consecutive price corresponding to the first tradeable object.

10. The method of claim 1, further comprising:

canceling the plurality of queue holder orders upon detecting a user configurable event.

11. The method of claim 10, wherein the user configurable event is based on market conditions corresponding to the first tradeable object or the at least one second tradeable object.

12. The method of claim 1, further comprising:

computing a third price for the second order to buy or sell the first tradeable object, wherein the third price is computed based on market conditions corresponding to the at least one third tradeable object and further based on a desired spread price for the second spread strategy.

13. The method of claim 12, further comprising:

sending the second order to buy or sell the first tradeable object at the third price to be placed in the order book of the computerized matching process, wherein the second order is part of the second spread strategy.

14. The method of claim 12, further comprising:

determining that the second order no longer satisfies the desired spread price associated with the second spread strategy subsequent to the placement of the second order and the plurality of queue holder orders; and

when the remaining orders of the plurality of queue holder orders are assigned to the second spread strategy, using a queue holder order of the remaining orders of the plurality of queue holder orders that satisfies the desired spread price of the second spread strategy.

15. The method of claim 1, wherein a fill of the first order corresponding to the first spread strategy comprises a fill of a full quantity corresponding to the first order of the first spread strategy.

16. A computer readable medium having stored therein instructions which when executed cause the computer in an electronic trading environment to perform the steps of:

defining by a computing device a first spread strategy comprising a first tradeable object and at least one second tradeable object;

defining by the computing device a second spread strategy comprising the first tradeable object and at least one third tradeable object;

computing by the computing device a first price to buy or sell the first tradeable object, wherein the first price is computed based on market conditions corresponding to the at least one second tradeable object and further based on a desired spread price for the first spread strategy;

sending by the computing device a first order to buy or sell the first tradeable object at the first price to be placed in an order book of a computerized matching process, wherein the first order satisfies the desired spread price of the first spread strategy;

automatically sending by the computing device a plurality of queue holder orders to buy or sell the first tradeable object at a plurality of prices to be placed in the order book of the computerized matching process, wherein the plurality of queue holder orders are assigned to the first spread strategy and the plurality of prices are based on the first price of the first order corresponding to the first spread strategy, and wherein the plurality of queue holder orders do not satisfy the desired spread price of the first spread strategy;

determining by the computing device that the first order no longer satisfies the desired spread price of the first spread strategy subsequent to the placement of the first order and the plurality of queue holder orders;

using by the computing device a queue holder order of the plurality of queue holder orders for the first spread strategy instead of the first order when a second price of the queue holder order satisfies the desired spread price; and

when the queue holder order corresponding to the first spread strategy is filled, assigning by the computing device remaining queue holder orders of the plurality of queue holder orders to be used by the second spread strategy.

17. The computer readable medium of claim 16, wherein the at least one second tradeable object and the at least one third tradeable object comprise the same tradeable object.

18. The computer readable medium of claim 16, wherein the at least one second tradeable object and the at least one third tradeable object comprise different tradeable objects.

19. The computer readable medium of claim 16, wherein determining by the computing device that the first order no longer satisfies the desired spread price for the first spread strategy comprises determining the second price based on updated market conditions comprising a change in an inside market of the at least one second tradeable object.