System and method for order placement in an electronic trading environment

• US 7,672,896 B2
• Filed: 09/30/2005
• Issued: 03/02/2010
• 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 L
• Application Number:
  US11/241,168
• Publication Number:
  US 20070078749A1
• Time in Patent Office: 1,614 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:

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

sending by the computing device the 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 spread strategy;

sending by the computing device a second order to buy or sell the first tradeable object at a second price to be placed in the order book of the computerized matching process, wherein the second order does not satisfy the desired spread price for the spread strategy;

determining by the computing device that the first order at the first price no longer satisfies the desired spread price of the spread strategy subsequent to the placement of the first and second orders at the computerized matching process; and

using the second order at the second price for the spread strategy instead of the first order when the second price satisfies the desired spread price.

2. The method of claim 1, further comprising:

subsequent to using the second order at the second price for the spread strategy, automatically sending a third order at a third price to be placed in the order book of the computerized matching process.

3. The method of claim 1, wherein the first price and the second price for the first and second orders are consecutive prices corresponding to the first tradeable object.

4. The method of claim 1, wherein the first price for the first order and the second price for the second order are not consecutive prices corresponding to the first tradeable object.

5. The method of claim 1, further comprising:

canceling the second order upon detecting a user configurable event.

6. The method of claim 5, wherein the user configurable event is based on market conditions corresponding to the first tradeable object or the at least one second tradeable object.

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

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

sending by the computing device the 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 spread strategy;

determining by the computing device a plurality of prices to buy or sell the first tradeable object, wherein the plurality of prices create a first range of prices, and wherein the plurality of prices are determined based on the first price to buy or sell the first tradeable object;

sending by the computing device a plurality of orders within the first range of prices to be placed in the order book of the computerized matching process, wherein the plurality of orders do not satisfy the desired spread price of the spread strategy;

computing by the computing device a second price for the order to buy or sell the first tradeable object based on updated market conditions for the at least one second tradeable object subsequent to sending the first order and the plurality of orders to the computerized matching process, wherein, based on the second price, the first order no longer satisfies the desired spread price of the spread strategy; and

based on the second price, modifying by the computing device at least one price of the plurality of orders such that the plurality of orders create a second range of prices.

8. The method of claim 7, wherein the updated market conditions comprise a change in an inside market of the at least one second tradeable object.

9. The method of claim 7, wherein modifying at least one price of the plurality of orders comprises cancelling at least one order and adding at least one new order.

10. The method of claim 7, wherein the first range of prices and the second range of prices comprise the same number of price levels.

11. The method of claim 10, wherein the same number of price levels are user-configurable.

12. The method of claim 10, wherein the same number of price levels is determined based on a formula.

13. The method of claim 7, further comprising:

detecting an order fill of a full quantity corresponding to one of the plurality of orders; and

deleting any remaining orders of the plurality of orders.

14. The method of claim 7, further comprising:

upon placing the plurality of orders within the first range, canceling the plurality of orders other than the order at the first price upon detecting a user configurable event.

15. The method of claim 14, wherein the user configurable event is based on market conditions corresponding to the first tradeable object or the at least one second tradeable object.

16. The method of claim 7, wherein the plurality of orders are placed at consecutive prices within the first range of prices.

17. The method of claim 7, wherein at least one order of the plurality of orders is placed at a price that is not consecutive to a next price within the first range of prices.

18. An apparatus for trading in an electronic trading environment, comprising:

a microprocessor;

a computer readable medium operatively associated with the microprocessor and in communication with the microprocessor;

a program of instructions for the microprocessor for causing the microprocessor to;

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

send the 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 spread strategy;

send a second order to buy or sell the first tradeable object at a second price to be placed in the order book of the computerized matching process, wherein the second order does not satisfy the desired spread price for the spread strategy;

determine that the first order at the first price no longer satisfies the desired spread price of the spread strategy; and

use the second order at the second price for the spread strategy instead of the first order when the second order satisfies the desired spread price.