Method, apparatus and interface for transaction toggling

• US 7,792,734 B1
• Filed: 12/27/2002
• Issued: 09/07/2010
• Est. Priority Date: 12/27/2002
• Status: Active Grant

• Current Assignee: Trading Technologies International, Inc.
• Original Assignee: Trading Technologies International, Inc.
• Inventors: Burns, Michael J., Ebersole, Joan
• Primary Examiner(s): Trammell; James P
• Assistant Examiner(s): Malhotra; Sanjeev
• Application Number:
  US10/330,464
• Time in Patent Office: 2,811 Days
• Field of Search: 705/26, 705/35, 705/36, 705/37, 705/38
• US Class Current: 705/37
• CPC Class Codes: G06Q 30/0633 Lists, e.g. purchase orders, compilation or processing
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• CPC Class Codes: G06Q 40/03 Credit; Loans; Processing thereof
• 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
• CPC Class Codes: G06Q 50/188 Electronic negotiation

Abstract

A method for submitting transactions from an automated trading tool to an electronic exchange. The method includes defining a proximity limit and automatically generating a transaction for a tradeable object. The method further includes applying the proximity limit to the transaction. When the transaction falls within the defined proximity limit, the transaction is submitted to the exchange. An apparatus and interface for transaction toggling based on proximity limits are also provided.

Claims

1. A method for submitting orders from an automated trading tool to an electronic exchange, comprising the steps of:

establishing a spread between a first tradeable object and a second tradeable object;

receiving a desired spread price to buy or sell a certain quantity of the spread;

defining a reference price to be used in relation to orders to buy or sell the first tradeable object, wherein the reference price is based on a price in market data corresponding to the first tradeable object;

defining a proximity limit to control order placement for the orders to buy or sell the first tradeable object, wherein the proximity limit is defined as a pre-set number of ticks price levels away from the reference price;

automatically generating an order to buy or sell the first tradeable object with a price that is based on the desired spread price to buy or sell the certain quantity of the spread, and further based on an inside market for the second tradeable object, wherein the inside market for the second tradeable object represents a highest bid price currently available for the second tradeable object and a lowest ask price currently available for the second tradeable object;

establishing an acceptable price range using the proximity limit for the order to buy or sell the first tradeable object, wherein the acceptable price range is established by applying the pre-set number of price levels to a current value of the reference price; and

submitting the order to the exchange when the price of the order falls within the acceptable price range.

2. A method as claimed in claim 1, wherein the reference price comprises an inside market for the first tradeable object that represents a highest bid price currently available for the first tradeable object and a lowest ask price currently available for the first tradeable object, and wherein the step of establishing the acceptable price range comprises using the inside market for the first tradeable object and the pre-set number of price levels defined for the proximity limit.

3. A method as claimed in claim 1, wherein the reference price comprises a last traded price for the first tradeable object, and wherein the step of establishing the acceptable price range comprises using the last traded price for the first tradeable object and the pre-set number of price levels defined for the proximity limit.

4. A method as claimed in claim 1, wherein the proximity limit is defined as a cumulative depth.

5. A method as claimed in claim 4, wherein the cumulative depth is measured from at least one of the inside market and the last traded price.

6. A method as claimed in claim 1, wherein the proximity limit is defined by an equation.

9. A method as claimed in claim 1, wherein the first tradeable object and the second tradeable object are the same tradeable object.

10. A method as claimed in claim 1, wherein the first tradeable object is different than the second tradeable object.

11. A method as claimed in claim 1, further comprising the step of dynamically adjusting the proximity limit based on a market for the second tradeable object.

12. A method as claimed in claim 1, further comprising the step of notifying a user when the price of the order falls outside of the acceptable price range.

13. A method as claimed in claim 1, further comprising setting a maximum number of times that the order to buy or sell the first tradeable object may be toggled on and off.

15. A method as claimed in claim 1, further comprising:

establishing a second reference price to be used in relation to orders to buy or sell the second tradeable object, wherein the second reference price is based on a price in market data corresponding to the second tradeable object;

establishing a second proximity limit to control order placement for orders to buy or sell the second tradeable object, wherein the second proximity limit is defined as a pre-set number of price levels away from the second reference price;

automatically generating an order to buy or sell the second tradeable object with a price that is based on the desired spread price to buy or sell the certain quantity of the spread, and further based on the inside market for the first tradeable object, wherein the inside market for the first tradeable object represents a highest bid price currently available for the first tradeable object and a lowest ask currently available for the first tradeable object;

establishing a second acceptable price range using the second proximity limit, wherein the second acceptable price range is established by applying the pre-set number of price levels to a current value of the second reference price; and

submitting the order to buy or sell the second tradeable object when the price of order to buy or sell the second tradeable object falls within the second acceptable price range.

16. A method as claimed in claim 1, further comprising:

refraining from sending the order to buy or sell the first tradeable object when the price of the order falls outside the acceptable price range.

7. A computer readable medium having stored therein instructions for causing a central processing unit to execute a method for submitting orders from an automated trading tool to an electronic exchange, comprising the steps of:

establishing a spread between a first tradeable object and a second tradeable object;

receiving a desired spread price to buy or sell a certain quantity of the spread;

defining a reference price to be used in relation to orders to buy or sell the first tradeable object, wherein the reference price is based on a price in market data corresponding to the first tradeable object;

defining a proximity limit to control order placement for the orders to buy or sell the first tradeable object, wherein the proximity limit is defined as a pre-set number of price levels away from the reference price;

automatically generating an order to buy or sell the first tradeable object with a price that is based on the desired spread price to buy or sell the certain quantity of the spread, and further based on an inside market for the second tradeable object, wherein the inside market for the second tradeable object represents a highest bid price currently available for the second tradeable object and a lowest ask price currently available for the second tradeable object;

establishing an acceptable price range using the proximity limit for the order to buy or sell the first tradeable object, wherein the acceptable price range is established by applying the pre-set number of price levels to a current value of the reference price; and

submitting the order to the exchange when the price of the order falls within the acceptable price range.

8. The computer readable medium of claim 7, wherein the computer readable medium is located on a client device in an electronic trading network.

14. A method for submitting orders for a tradeable object from an automated trading tool to an electronic exchange, comprising the steps of:

establishing a spread between a first tradeable object and a second tradeable object;

receiving a desired spread price to buy or sell a certain quantity of the spread;

defining a reference price to be used in relation to orders to buy or sell the first tradeable object, wherein the reference price is based on a price in market data corresponding to the first tradeable object;

setting a proximity limit to control order placements for orders to buy or sell the first tradeable object, wherein the proximity limit is defined as a pre-set number of price levels away from the reference price;

automatically generating an order to buy or sell the first tradeable object with a price that is based on the desired spread price to buy or sell the certain quantity of the spread, and further based on an inside market for the second tradeable object, wherein the inside market for the second tradeable object represents a highest bid price currently available for the second tradeable object and a lowest ask price currently available for the second tradeable object;

establishing an acceptable price range using the proximity limit for the order to buy or sell the first tradeable object, wherein the acceptable price range is established by applying the pre-set number of price levels to a current value of the reference price;

determining that the price of the order to buy or sell the first tradeable object falls outside the acceptable price range; and

refraining from sending the order to buy or sell the first tradeable object.