System and method for use of fractional pay-up ticks in relation to trading strategies in an electronic trading environment

• US 7,774,261 B1
• Filed: 09/30/2005
• Issued: 08/10/2010
• 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., Herz, Eric M., Deitz, Alexander D.
• Primary Examiner(s): Subramanian; Narayanswamy
• Assistant Examiner(s): BAIRD, EDWARD J
• Application Number:
  US11/240,684
• Time in Patent Office: 1,775 Days
• Field of Search: None
• 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

A system and associated methods are provided for use of fractional pay-up ticks in relation to offset orders being sent for a trading strategy that involves trading a first tradeable object and at least a second tradeable object. According to one example method, when an indication is received that a quantity at a first price for the first tradeable object is filled, a plurality of offset orders for the second tradeable object is sent to an electronic order book of the second tradeable object. The plurality of offset orders is placed at a plurality of price levels determined based on at least one fractional pay-up tick value, the first price, and the desired spread price. A quantity for each order is determined based on a quantity divider rule that is applied to an offset quantity to offset the fill.

Claims

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

establishing by a computer device a spread strategy comprising at least a first tradeable object and a second tradeable object, wherein the spread strategy comprises a desired spread price;

setting by the computer device at least one fractional pay-up tick value and a quantity divider rule for use in relation to a plurality of offset orders to be entered for the spread strategy;

automatically placing by the computer device a first order for the first tradeable object in an order book of a first electronic matching process corresponding to the first tradeable object, the first order being placed at a first price that is computed based on the desired spread price and market conditions in the second tradeable object;

receiving by the computer device an indication that at least a portion of an order quantity associated with the first order is filled by the first electronic matching process;

determining by the computer device a second price for a second order for the second tradeable object to offset the at least the portion of the order quantity that was filled for the first tradeable object, wherein the second price is determined based on the desired spread price and the first price;

determining by the computer device a plurality of price levels for a plurality of offset orders for the second tradeable object by applying the at least one fractional pay-up tick to the second price, wherein the plurality of offset orders are generated to offset the at least the portion of the order quantity associated with the first order that was filled;

determining by the computer device an offset order quantity to offset the at least the portion of the order quantity that was filled for the first tradeable object;

determining by the computer device a plurality of offset order quantities for the plurality of offset orders using the quantity divider rule to divide the offset order quantity between the plurality of offset orders; and

automatically placing by the computer device the plurality of offset orders for the second tradeable object in an order book of a second electronic matching process corresponding to the second tradeable object, wherein the plurality of offset orders having the plurality of offset order quantities are placed at the plurality of price levels.

2. The method of claim 1, wherein the quantity divider rule comprises at least one ratio to be used to divide an offset quantity for the second tradeable object between the plurality of offset orders.

3. The method of claim 1, wherein the quantity divider rule comprises at least one quantity percentage value to be used to determine the order quantity for each of the plurality of offset orders.

4. The method of claim 1, wherein the at least one fractional pay-up tick value comprises a plurality of fractional pay-up tick values to be used in relation to the plurality of offset orders.

5. The method of claim 1, wherein the at least one fractional pay-up tick value comprises a positive value.

6. The method of claim 1, wherein the at least one fractional pay-up tick value comprises a negative value.

7. The method of claim 1, wherein the at least one fractional pay-up tick value comprises a zero value.

8. The method of claim 1, wherein the quantity divider rule is configured by a user.

9. The method of claim 1, wherein the quantity divider rule is determined based on a condition defined by a user.

10. The method of claim 1, wherein the at least one fractional pay-up tick value is configured by a user.

11. The method of claim 1, wherein the at least one fractional pay-up tick value is set based on a condition defined by a user.

12. A method for trading in an electronic trading environment, comprising:

establishing by a computer device a spread strategy comprising at least a first tradeable object and a second tradeable object, wherein the spread strategy comprises a desired spread price;

setting by the computer device a first fractional pay-up tick value and a quantity divider rule for use in relation to a plurality of offset orders to be entered for the spread strategy, wherein the quantity divider rule comprises a percentage value to be used to determine offset quantities of the plurality of offset orders;

automatically placing by the computer device a first order for the first tradeable object in an order book of a first electronic matching process corresponding to the first tradeable object, the first order being placed at a first price that is computed based on the desired spread price and market conditions in the second tradeable object;

receiving by the computer device an indication that at least a portion of an order quantity associated with the first order is filled by the first electronic matching process;

determining by the computer device a total offset order quantity to offset the at least a portion of the order quantity associated with the first order;

using by the computer device the percentage value to determine a first offset order quantity and a second offset order quantity, wherein the percentage value is used to divide the total offset order quantity between the first offset order quantity and the second offset order quantity;

determining by the computer device a first offset price based on the first price at which the first order was filled and further based on the desired spread price;

determining by the computer device a second offset price based on the first price at which the first order was filled, the desired spread price and the first fractional pay-up tick value, wherein the second offset price is different from the first offset price;

automatically placing by the computer device a first offset order for the second tradeable object in an order book of a second electronic matching process corresponding to the second tradeable object, the first offset order having the first offset quantity at the first offset price; and

automatically placing by the computer device a second offset order for the second tradeable object in the order book of the second electronic matching process corresponding to the second tradeable object, the second offset order having the second offset quantity at the second offset price, wherein the first offset order and the second offset order are used to offset the at least portion of the order quantity of the first order.

13. The method of claim 12, further comprising:

defining a second fractional pay-up tick value; and

using the second fractional pay-up tick value to determine the second offset price level.

14. The method of claim 12, wherein the quantity divider rule comprises at least one ratio to be used to determine the first offset quantity and the second offset quantity.

15. The method of claim 12, wherein the quantity divider rule comprises at least one quantity percentage value to be used to determine the first offset quantity and the second offset quantity.

16. The method of claim 12, wherein the at least one fractional pay-up tick value comprises a positive value.

17. The method of claim 12, wherein the at least one fractional pay-up tick value comprises a negative value.

18. The method of claim 12, wherein the at least one fractional pay-up tick value comprises a zero value.

19. The method of claim 12, wherein the quantity divider rule is configured by a user.

20. The method of claim 12, wherein the quantity divider rule is determined based on a condition defined by a user.

21. The method of claim 12, wherein the at least one fractional pay-up tick value is configured by a user.

22. The method of claim 12, wherein the at least one fractional pay-up tick value is set based on a condition defined by a user.