System and method for dynamic quantity orders in an electronic trading environment
First Claim
1. A method for dynamic quantity orders in an electronic trading environment, the method comprising:
- receiving a dynamic quantity order by a computing device of an electronic exchange, wherein the dynamic quantity order comprises a price and a desired order quantity, wherein the dynamic quantity order is associated with an order quantity by the computing device of the electronic exchange, wherein the order quantity is initially the desired order quantity, wherein the dynamic quantity order is placed into an order queue based on the price;
estimating by the computing device of the electronic exchange a potential order quantity at the price, wherein the potential order quantity represents an estimate of an amount of quantity that will be filled at the price;
increasing by the computing device of the electronic exchange the order quantity to an increased order quantity based on the potential order quantity; and
dynamically adjusting by the computing device of the electronic exchange the order quantity based on a total order quantity in the order queue at the price.
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Abstract
A system and method for dynamic quantity orders in an electronic trading environment are described. According to one method, a dynamic quantity order includes a price, a desired order quantity and a percentage associated with an estimated order quantity that will be filled in an order queue. When the order is received at an electronic exchange, the order is sorted into a pro-rata order queue, and the exchange may estimate a potential order quantity that will be filled in the order queue at the price based on the defined percentage. Subsequently, the exchange may then increase the order quantity of the dynamic quantity order so that if the estimated number of fills occurs, the order quantity of the dynamic quantity order will be filled.
77 Citations
23 Claims
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1. A method for dynamic quantity orders in an electronic trading environment, the method comprising:
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receiving a dynamic quantity order by a computing device of an electronic exchange, wherein the dynamic quantity order comprises a price and a desired order quantity, wherein the dynamic quantity order is associated with an order quantity by the computing device of the electronic exchange, wherein the order quantity is initially the desired order quantity, wherein the dynamic quantity order is placed into an order queue based on the price; estimating by the computing device of the electronic exchange a potential order quantity at the price, wherein the potential order quantity represents an estimate of an amount of quantity that will be filled at the price; increasing by the computing device of the electronic exchange the order quantity to an increased order quantity based on the potential order quantity; and dynamically adjusting by the computing device of the electronic exchange the order quantity based on a total order quantity in the order queue at the price. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12)
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13. A method for dynamic quantity orders in an electronic trading environment, the method comprising:
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sending a dynamic quantity order by a client device to an electronic exchange, wherein the dynamic quantity order comprises a price and a desired order quantity; receiving the dynamic quantity order by a computing device of the electronic exchange, wherein the dynamic quantity order is associated with an order quantity by the computing device of the electronic exchange, wherein the order quantity is initially the desired order quantity; placing by the computing device of the electronic exchange the dynamic quantity order in a pro-rata order queue at the price; estimating by the computing device of the electronic exchange a potential order quantity at the price, wherein the potential order quantity represents an estimate of an amount of quantity that will be filled at the price; increasing by the computing device of the electronic exchange the order quantity of the dynamic quantity order based on the potential order quantity; and dynamically adjusting by the computing device of the electronic exchange the increased order quantity based on a current total order quantity in the pro-rata order queue at the price. - View Dependent Claims (14, 15, 16, 17, 18, 19, 20, 21)
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22. A computer readable medium having stored therein instructions executable by a processor to perform a method comprising:
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receiving a dynamic quantity order by a computing device of an electronic exchange, wherein the dynamic quantity order comprises a price and a desired order quantity, wherein the dynamic quantity order is associated with an order quantity by the computing device of the electronic exchange, wherein the order quantity is initially the desired order quantity, wherein the dynamic quantity order is placed into an order queue based on the price; estimating by the computing device of the electronic exchange a potential order quantity at the price, wherein the potential order quantity represents an estimate of an amount of quantity that will be filled at the price; increasing by the computing device of the electronic exchange the order quantity to an increased order quantity based on the potential order quantity; and dynamically adjusting by the computing device of the electronic exchange the order quantity based on a total order quantity in the order queue at the price.
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23. A computer readable medium having stored therein instructions executable by a processor to perform a method comprising:
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sending a dynamic quantity order by a client device to an electronic exchange, wherein the dynamic quantity order comprises a price and a desired order quantity; receiving the dynamic quantity order by a computing device of the electronic exchange, wherein the dynamic quantity order is associated with an order quantity by the computing device of the electronic exchange, wherein the order quantity is initially the desired order quantity; placing by the computing device of the electronic exchange the dynamic quantity order in a pro-rata order queue at the price; estimating by the computing device of the electronic exchange a potential order quantity at the price, wherein the potential order quantity represents an estimate of an amount of quantity that will be filled at the price; increasing by the computing device of the electronic exchange the order quantity of the dynamic quantity order based on the potential order quantity; and dynamically adjusting by the computing device of the electronic exchange the increased order quantity based on a current total order quantity in the pro-rata order queue at the price.
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Specification