System and method for use of fractional pay-up ticks in relation to trading strategies in an electronic trading environment
First Claim
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1. A method for trading in an electronic trading environment, comprising:
- defining at a computer device a spread strategy comprising at least a first leg and a second leg, the first leg representing a first tradeable object and the second leg representing a second tradeable object, wherein the spread strategy comprises a desired spread price;
automatically placing a first leg order for the first tradeable object in an order book of a first electronic matching process corresponding to the first tradeable object, the first leg 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 at the computer device an indication that at least a portion of an order quantity associated with the first leg order is filled by the first electronic matching process;
determining at the computer device a second price and a second order quantity for a second leg order of the second tradeable object, wherein the second order quantity is determined based on the portion of the order quantity of the first leg order that was filled, and wherein the second price is determined based on the first price and the desired spread price;
determining at the computer device a plurality of offset order quantities for a plurality of offset second leg orders for the second tradeable object by dividing the second order quantity of the second leg order between the plurality of offset second leg orders;
determining at the computer device a plurality of price levels for the plurality of offset second leg orders based on the second price; and
automatically placing the plurality of offset second leg orders having the plurality of offset order quantities 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 second leg orders are placed at the plurality of price levels.
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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.
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Citations
26 Claims
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1. A method for trading in an electronic trading environment, comprising:
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defining at a computer device a spread strategy comprising at least a first leg and a second leg, the first leg representing a first tradeable object and the second leg representing a second tradeable object, wherein the spread strategy comprises a desired spread price; automatically placing a first leg order for the first tradeable object in an order book of a first electronic matching process corresponding to the first tradeable object, the first leg 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 at the computer device an indication that at least a portion of an order quantity associated with the first leg order is filled by the first electronic matching process; determining at the computer device a second price and a second order quantity for a second leg order of the second tradeable object, wherein the second order quantity is determined based on the portion of the order quantity of the first leg order that was filled, and wherein the second price is determined based on the first price and the desired spread price; determining at the computer device a plurality of offset order quantities for a plurality of offset second leg orders for the second tradeable object by dividing the second order quantity of the second leg order between the plurality of offset second leg orders; determining at the computer device a plurality of price levels for the plurality of offset second leg orders based on the second price; and automatically placing the plurality of offset second leg orders having the plurality of offset order quantities 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 second leg orders are placed at the plurality of price levels. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14)
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15. A computer readable medium having stored therein instructions which when executed by a computer device cause the performance of the following steps for trading in an electronic trading environment, comprising:
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defining at a computer device a spread strategy comprising at least a first leg and a second leg, the first leg representing a first tradeable object and the second leg representing a second tradeable object, wherein the spread strategy comprises a desired spread price; automatically placing a first leg order for the first tradeable object in an order book of a first electronic matching process corresponding to the first tradeable object, the first leg 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 at the computer device an indication that at least a portion of an order quantity associated with the first kg order is filled by the first electronic matching process; determining at the computer device a second price and a second order quantity for a second leg order of the second tradeable object, wherein the second order quantity is determined based on the portion of the order quantity of the first leg order that was filled, and wherein the second price is determined based on the first price and the desired spread price; determining at the computer device a plurality of offset order quantities for a plurality of offset second leg orders for the second tradeable object by dividing the second order quantity of the second leg order between the plurality of offset second leg orders; determining at the computer device a plurality of price levels for the plurality of offset second leg orders based on the second price; and automatically placing the plurality of offset second leg orders having the plurality of offset order quantities 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 second leg orders are placed at the plurality of price levels. - View Dependent Claims (16, 17, 18, 19, 20, 21, 22, 23, 24, 25, 26)
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Specification
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Current AssigneeTrading Technologies International, Inc.
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Original AssigneeTrading Technologies International, Inc.
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InventorsMintz, Sagy P., Herz, Eric M., Deitz, Alexander D.
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Primary Examiner(s)Subramanian; Narayanswamy
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Assistant Examiner(s)BAIRD, EDWARD J
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Application NumberUS11/415,851Time in Patent Office1,561 DaysField of Search705 35- 40US Class Current705/37CPC Class CodesG06Q 40/00 Finance; Insurance; Tax str...G06Q 40/04 Trading; Exchange, e.g. sto...
