System and method for randomizing orders in an electronic trading environment

• US 7,653,589 B1
• Filed: 05/01/2006
• Issued: 01/26/2010
• Est. Priority Date: 11/26/2002
• Status: Active Grant

• Current Assignee: Trading Technologies, Inc. (Trading Technologies International, Inc.)
• Original Assignee: Trading Technologies International, Inc.
• Inventors: West, Robert A., Schluetter, Jens-Uwe, Brumfield, Harris C., Mintz, Sagy Pundak
• Primary Examiner(s): Kazimi; Hani
• Assistant Examiner(s): Scarito; John D
• Application Number:
  US11/415,439
• Time in Patent Office: 1,366 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

Abstract

When a trading application on a client terminal receives a trade order, a randomizer application may automatically randomize one or more order parameters to generate a randomized order. For example, an order quantity, a price level, and/or a time period between sending any two consecutive orders may be randomized. In another example, in a thin market randomized order quantities may be decreased and in a heavy market randomized order quantities may be increased. The randomized order is then automatically placed on the market.

Claims

1. A method for automatically placing randomized orders in an electronic trading environment, the method comprising:

receiving an order request at a client terminal to place an order to buy or sell an order quantity of a tradeable object being traded in a market at an electronic exchange at a price level;

receiving historical market data at the client terminal, the market data identifying historical market conditions for the tradeable object, including a number of completed trades for the tradeable object during a predetermined prior period of time;

receiving current market data at the client terminal, the current market data identifying current market conditions including at least one working quantity associated with an order for the tradeable object at the electronic exchange;

comparing the historical market conditions and the current market conditions for the tradeable object via a randomizer application of the client terminal to determine whether a current market activity is thin or heavy;

dynamically generating a randomized order quantity based on the order quantity and an established randomization value via a randomizer application of the client terminal;

adjusting the randomized order quantity via the client terminal such that when the current market activity exceeds a predefined heavy market threshold, the randomized order quantity is increased, and when the current market activity is below a predefined thin market threshold, the randomized order quantity is decreased, the heavy market threshold and the thin market threshold be defined according to the historical market data; and

submitting the order having the adjusted randomized order quantity to the electronic exchange via the client terminal.

2. The method of claim 1, wherein the established randomization value comprises at least one constant value.

3. The method of claim 2, wherein the established randomized value comprises an upper range constant value and a lower range constant value applied to the order quantity to generate an order quantity range, and the randomized order quantity is selected from the order quantity range.

4. The method of claim 1, wherein the established randomization value comprises at least one percentage value.

5. The method of claim 4, wherein the established randomization value comprises an upper percentage value and a lower percentage value applied to the order quantity to generate an order quantity range, and the randomized order quantity is selected from the order quantity range.

6. The method of claim 1, wherein the current market activity is based on a working order quantity at a predetermined price in the market for the tradeable object, wherein the predefined heavy market threshold comprises an order quantity value, the predefined thin market threshold comprises an order quantity value, and the predetermined price comprises the price level of the order.

7. The method of claim 1, wherein the current market activity is further based on a number of orders being submitted to the market for the tradeable object, and the predefined heavy market threshold comprises an upper number of orders, and the predefined thin market threshold comprises a lower number of orders.

8. The method of claim 7, wherein the number of orders being submitted to the market for the tradeable object are at the price level of the order.

9. The method of claim 1, wherein the current market activity is based on a working order quantity at a predetermined price in the market for the tradeable object.

10. The method of claim 1, wherein the current market activity is based on a working order quantity in the market for the tradeable object at a plurality of price levels.

11. The method of claim 1, further comprising:

receiving a plurality of predefined threshold levels, each of the plurality of predefined threshold levels associated with a specified time; and

dynamically changing at least one of the predefined heavy market threshold and the predefined thin market threshold to at least one of the plurality of predefined threshold levels based on the specified time associated with the at least one of the plurality of predefined threshold levels.

12. The method of claim 1, further comprising:

receiving a plurality of predefined threshold levels, each of the plurality of predefined threshold levels associated with an event; and

dynamically changing at least one of the predefined heavy market threshold and the predefined thin market threshold to at least one of the plurality of predefined threshold levels based on detecting the event associated with the at least one of the plurality of predefined threshold levels.

13. The method of claim 12, wherein the event associated with the at least one of the plurality of predefined threshold levels is based on interest rates or unemployment rates.

14. The method of claim 1, wherein the established randomization value is user specified.

15. A readable memory device having stored therein instructions which when executed by a client terminal cause the client terminal to perform a method for automatically placing randomized orders in an electronic trading environment, the method comprising:

receiving an order request at a client terminal to place an order to buy or sell an order quantity of a tradeable object, being traded in a market at an electronic exchange at a price level;

receiving historical market data at the client terminal, the market data identifying historical market conditions for the tradeable object, including a number of completed trades for the tradeable object during a predetermined prior period of time;

receiving current market data at the client terminal, the current market data identifying current market conditions including at least one working quantity associated with an order for the tradeable object at the electronic exchange;

comparing the historical market conditions and the current market conditions for the tradeable object via a randomizer application of the client terminal to determine whether a current market activity is thin or heavy;

dynamically generating a randomized order quantity based on the order quantity, and an established randomization value via a randomizer application of the client terminal;

adjusting the randomized order quantity via the client terminal such that when the current market activity exceeds a predefined heavy market threshold, the randomized order quantity is increased, and when the current market activity is below a predefined thin market threshold, the randomized order quantity is decreased, the heavy market threshold and the thin market threshold be defined according to the historical market data; and

submitting the order having the adjusted randomized order quantity to the electronic exchange via the client terminal.