System and method for dynamically changing an electronic trade order quantity

• US 7,729,978 B2
• Filed: 03/28/2007
• Issued: 06/01/2010
• Est. Priority Date: 03/28/2007
• Status: Active Grant

• Current Assignee: Trading Technologies International, Inc.
• Original Assignee: Trading Technologies International, Inc.
• Inventors: Mintz, Sagy P., Burns, Michael J., Peterson, Thomas A.
• Primary Examiner(s): Patel; Jagdish N
• Assistant Examiner(s): Bartley; Kenneth
• Application Number:
  US11/692,284
• Publication Number:
  US 20080243709A1
• Time in Patent Office: 1,161 Days
• Field of Search: 705/37, 705/35
• 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 methods for dynamically changing a trade order quantity in an electronic trading environment are described herein. According to one example embodiment, an automated trading tool determines if a leaned on quantity of a trading strategy has increased or decreased and if so, dynamically changing a desired order quantity to reflect the change in the leaned on quantity. Dynamically changing an order quantity may be more profitable for a trader as order queue position may be maintained and portion of the desired order quantity may get filled; rather than a trader losing their order queue position and/or taking a chance of not getting any of their order quantity filled.

Claims

1. A method for dynamically changing a trade order quantity in an electronic trading environment, comprising:

receiving via a computing device a definition for a trading strategy comprising a first tradeable object and a second tradeable object;

receiving via the computing device a decrease parameter;

receiving via the computing device a desired price and a desired quantity to buy or sell the trading strategy;

upon receiving the desired price and the desired quantity for the trading strategy, automatically placing via the computing device a first trade order for the first tradeable object having an order quantity, wherein, based on the definition for the trading strategy, the desired price, the desired quantity, and market data for the second tradeable object, the first trade order leans on a quantity in the second tradeable object;

detecting via the computing device a change in the leaned on quantity in the second tradeable object; and

sending via the computing device a command to decrease the order quantity of the first trade order for the first tradeable object based on the change in the leaned on quantity in the second tradeable object according to the trading strategy when the detected change is a decrease in the leaned on quantity and the decrease conforms to the decrease parameter.

2. The method of claim 1, wherein the decrease parameter is defined as a percentage value.

3. The method of claim 1, wherein the decrease parameter is defined as an integer value.

4. The method of claim 1, wherein the decrease parameter is based on one or more defined risk parameters.

5. The method of claim 1, further comprising:

comparing via the computing device the decreased leaned on quantity in the second tradeable object to the decrease parameter;

determining via the computing device that the decrease conforms to the decrease parameter when the leaned on quantity in the second tradeable object decreased by less than or equal to the decrease parameter;

determining via the computing device that the decrease does not conform to the decrease parameter when the leaned on quantity in the second tradeable object decreased more than the decrease parameter; and

sending via the computing device a command to re-price the first trade order for the first tradeable object to a price level where sufficient quantity is available to lean on in the second tradeable object when the decrease does not conform to the decrease parameter.

6. The method of claim 1, further comprising:

receiving via the computing device an increase parameter; and

sending via the computing device a command to increase the order quantity of the first trade order for the first tradeable object based on the change in the leaned on quantity in the second tradeable object according to the trading strategy when the detected change is an increase in the leaned on quantity and the increase conforms to the increase parameter.

7. The method of claim 6, wherein the increase parameter is defined as a percentage value.

8. The method of claim 6, wherein the increase parameter is defined as an integer value.

9. The method of claim 6, wherein the increase parameter is based on one or more defined risk parameters.

10. The method of claim 6, further comprising:

comparing via the computing device the increased leaned on quantity in the second tradeable object to the increase parameter;

determining via the computing device that the increase conforms to the increase parameter when the leaned on quantity in the second tradeable object increased by more than or equal to the increase parameter; and

determining via the computing device that the increase does not conform to the increase parameter when the leaned on quantity in the second tradeable object increased less than the increase parameter and if so, maintaining the current order quantity of the first trade order for the first tradeable object.

11. The method of claim 6, wherein the command to increase the order quantity of the first trade order comprises commands to cancel the first trade order and submit a second trade order with a quantity based on the definition for the trading strategy and leaning on the increased leaned on quantity.

12. The method of claim 6, wherein the command to increase the order quantity of the first trade order comprises a command to place a second trade order for the first tradeable object with a quantity based on the definition for the trading strategy and the increase in the leaned on quantity.

13. The method of claim 1, wherein the definition for the trading strategy further comprises a volume multiplier parameter, wherein the leaned on quantity in the second tradeable object is determined based on a quantity available in the second tradeable object and the volume multiplier parameter.

14. The method of claim 13, further comprising:

calculating via the computing device a minimum leaned on quantity in the second tradeable object by multiplying the order quantity of the first trade order for the first tradeable object by the volume multiplier parameter and a spread ratio.

15. The method of claim 13, wherein the volume multiplier parameter is defined as an integer value.

16. The method of claim 1, further comprising:

determining if a lesser quantity is available to lean on in the second tradeable object prior to placing the first trade order for the first tradeable object; and

if so

decreasing the order quantity of the first trade order for the first tradeable object.

17. The method of claim 1, further comprising:

checking a plurality of price levels closer to an inside market of the second tradeable object prior to placing the first trade order for the first tradeable object;

determining if lesser quantity is available to lean on at one of the plurality of price levels closer to the inside market of the second tradeable object; and

if so

decreasing the order quantity of the first trade order for the first tradeable object prior to placing the first trade order in the first tradeable object.

18. The method of claim 17, wherein the inside market comprises a highest bid price and a lowest ask price currently available in the market.

19. The method of claim 1, further comprising:

displaying via a client device the decreased order quantity in relation to an indicator for the first trade order for the first tradeable object.

20. A non-transitory computer readable medium having stored therein instructions executable by a processor to perform the following method steps:

receiving via a computing device a definition for a trading strategy comprising a first tradeable object and a second tradeable object;

receiving via the computing device a decrease parameter;

receiving via the computing device a desired price and a desired quantity to buy or sell the trading strategy;

upon receiving the desired price and the desired quantity for the trading strategy, automatically placing via the computing device a first trade order for the first tradeable object having an order quantity, wherein, based on the definition for the trading strategy, the desired price, the desired quantity, and market data for the second tradeable object, the first trade order leans on a quantity in the second tradeable object;

detecting via the computing device a change in the leaned on quantity in the second tradeable object; and

sending via the computing device a command to decrease the order quantity of the first trade order for the first tradeable object based on the change in the leaned on quantity in the second tradeable object according to the trading strategy when the detected change is a decrease in the leaned on quantity and the decrease conforms to the decrease parameter.

21. The computer readable medium of claim 20, wherein the decrease parameter is defined as a percentage value.

22. The computer readable medium of claim 20, wherein the decrease parameter is defined as an integer value.

23. The computer readable medium of claim 20, wherein the decrease parameter is based on one or more defined risk parameters.

24. The computer readable medium of claim 20, further comprising instructions for:

comparing via the computing device the decreased leaned on quantity in the second tradeable object to the decrease parameter;

determining via the computing device that the decrease conforms to the decrease parameter when the leaned on quantity in the second tradeable object decreased by less than or equal to the decrease parameter;

determining via the computing device that the decrease does not conform to the decrease parameter when the leaned on quantity in the second tradeable object decreased more than the decrease parameter; and

sending via the computing device a command to re-price the first trade order for the first tradeable object to a price level where sufficient quantity is available to lean on in the second tradeable object when the decrease does not conform to the decrease parameter.

25. The computer readable medium of claim 20, further comprising instructions for:

receiving via the computing device an increase parameter; and

sending via the computing device a command to increase the order quantity of the first trade order for the first tradeable object based on the change in the leaned on quantity in the second tradeable object according to the trading strategy when the detected change is an increase in the leaned on quantity and the increase conforms to the increase parameter.

26. The computer readable medium of claim 25, wherein the increase parameter is defined as a percentage value.

27. The computer readable medium of claim 25, wherein the increase parameter is defined as an integer value.

28. The computer readable medium of claim 25, wherein the increase parameter is based on one or more defined risk parameters.

29. The computer readable medium of claim 25, further comprising instructions for:

comparing via the computing device the increased leaned on quantity in the second tradeable object to the increase parameter;

determining via the computing device that the increase conforms to the increase parameter when the leaned on quantity in the second tradeable object increased by more than or equal to the increase parameter; and

determining via the computing device that the increase does not conform to the increase parameter when the leaned on quantity in the second tradeable object increased less than the increase parameter and if so, maintaining the current order quantity of the first trade order for the first tradeable object.

30. The computer readable medium of claim 25, wherein the command to increase the order quantity of the first trade order comprises commands to cancel the first trade order and submit a second trade order with a quantity based on the definition for the trading strategy and leaning on the increased leaned on quantity.

31. The computer readable medium of claim 25, wherein the command to increase the order quantity of the first trade order comprises a command to place a second trade order for the first tradeable object with a quantity based on the definition for the trading strategy and the increase in the leaned on quantity.

32. The computer readable medium of claim 20, wherein the definition for the trading strategy further comprises a volume multiplier parameter, wherein the leaned on quantity in the second tradeable object is determined based on a quantity available in the second tradeable object and the volume multiplier parameter.

33. The computer readable medium of claim 32, further comprising instructions for:

calculating via the computing device a minimum leaned on quantity in the second tradeable object by multiplying the order quantity of the first trade order for the first tradeable object by the volume multiplier parameter and a spread ratio.

34. The computer readable medium of claim 32, wherein the volume multiplier parameter is defined as an integer value.

35. The computer readable medium of claim 20, further comprising instructions for:

determining if a lesser quantity is available to lean on in the second tradeable object prior to placing the first trade order for the first tradeable object; and

if so

decreasing the order quantity of the first trade order for the first tradeable object.

36. The computer readable medium of claim 20, further comprising instructions for:

checking a plurality of price levels closer to an inside market of the second tradeable object prior to placing the first trade order for the first tradeable object;

determining if lesser quantity is available to lean on at one of the plurality of price levels closer to the inside market of the second tradeable object; and

if so

decreasing the order quantity of the first trade order for the first tradeable object prior to placing the first trade order in the first tradeable object.

37. The computer readable medium of claim 36, wherein the inside market comprises a highest bid price and a lowest ask price currently available in the market.

38. The computer readable medium of claim 20, further comprising instructions for:

displaying via a client device the decreased order quantity in relation to an indicator for the first trade order for the first tradeable object.