Method and system for providing automatic execution of black box strategies for electonic trading

• US 7,801,801 B2
• Filed: 05/04/2006
• Issued: 09/21/2010
• Est. Priority Date: 05/04/2005
• Status: Active Grant

• Current Assignee: Rosenthal Collins Group LLC (Marex Spectron Group Ltd.)
• Original Assignee: Rosenthal Collins Group LLC (Marex Spectron Group Ltd.)
• Inventors: Rosenthal, Leslie, Collins, J. Robert
• Primary Examiner(s): Colbert; Ella
• Assistant Examiner(s): Malhotra; Sanjeev
• Application Number:
  US11/417,596
• Publication Number:
  US 20060259407A1
• Time in Patent Office: 1,601 Days
• Field of Search: 705/37
• US Class Current: 705/37
• 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 method and system for providing automatic execution of black box trading strategies for electronic trading. A black box trading entity is created from two or more real or synthetic trading entities including real or synthetic contracts or financial instruments. The black box trading entity is automatically traded via one or more electronic trading exchanges.

Claims

1. A method for automatically executing a black box trading entity, comprising:

creating the black box trading entity from two or more real or synthetic trading entities on an application on a target device with one or more processors;

creating a black box trading strategy for the black box trading entity to automatically and simultaneously execute two or more trades for the black box trading entity in two or more distinct electronic trading markets which have a pre-determined relationship;

receiving two or more sets of electronic trading information from one or more electronic trading exchanges including electronic trading information for the two or more real or synthetic trading entities for the black box trading entity;

displaying automatically via the application selected ones of the two or more sets of electronic trading information on a aggregate book view (ABV) window on a graphical user interface with a plurality of graphical windows used for electronic trading, including displaying bid size and bid offer by price in a market depth format for the two or more real or synthetic electronic trading entities used to create the black box trading entity and displaying prices in a dynamic price column in the ABV window,

wherein the ABV window includes an order entry mode for entering a trade near, or away from a current last traded price,

wherein the ABV window allows entering and canceling of electronic trading orders and automatically sending electronic trading orders entered into the ABV window at a selected price to the one or more electronic trading exchanges;

automatically and dynamically re-centering the dynamic price column in the ABV window upon a current last traded price that continuously and dynamically changes with price fluctuations in the current last traded price; and

automatically and simultaneously executing with the black box trading strategy created for the black box trading entity via the ABV window, two or more electronic trades electronically for the black box trading entity on the appropriate one or more electronic trading exchanges to execute the black box trading entity.

2. The method of claim 1 further comprising a computer readable medium having stored therein a plurality of instructions for causing one or more processors to execute steps of the method.

3. The method of claim 1 wherein the black box trading entity includes a real or synthetic trading entity created from two or more selected real or synthetic financial instruments.

4. The method of claim 1 wherein the black box trading entity includes the black box trading entity created from two or more selected real or synthetic financial contracts.

5. The method of claim 1 wherein the black box trading entity includes the black box trading entity created from a difference between a cash and futures price for a selected financial instrument or financial contract.

6. The method of claim 1 wherein the black box trading entity includes the black box trading entity created from two or more distinct markets including a cash market and a futures market.

7. The method of claim 1 wherein the black box trading entity includes the black box trading entity created with a pre-determined relationship between the two or more real or synthetic trading entities.

8. The method of claim 7 wherein the pre-determined relationship includes a one-to-one relationship or multi-to-one relationship.

9. The method of claim 1 wherein the black box trading entity is created via the graphical user interface by selecting two or more real trading entities from a list of a plurality of real trading entities.

10. The method of claim 1 wherein the black box trading entity includes a configurable slippage factor portion to execute an alternative real futures entity trade if a primary real futures entity trade is missed.

11. The method of claim 10 wherein the configurable slippage factor portion is configured from the graphical user interface.

12. The method of claim 1 wherein the black box trading entity includes a configurable duration portion to create one-to-one synthetic trading durations including multi-to-one real trading entity durations.

13. The method of claim 1 wherein the configuration duration portion is configured from the graphical user interface.

14. The method of claim 1 wherein the black box trading entity includes a real or synthetic spread between the two or more real or synthetic trading entities.

15. The method of claim 1 wherein the step of creating the black box trading entity includes creating the black box trading entity from the Aggregated Book View or Order Ticket graphical window on the graphical user interface, wherein data in the Order Ticket graphical window is pre-populated with trading data that corresponds to a buy or sell trading position or a fill of a trading position.

17. The method of claim 1 wherein the black box trading entity includes one or more real or synthetic spreads between one or more real or synthetic entities, one or more real or synthetic one-to-one or multi-to-one trading durations, or one or more real or synthetic slippage factors to automatically execute a secondary trade if a primary trade is missed.

18. The method of claim 1 wherein the step of creating the black box trading entity includes entering a mathematical formula representing a real or synthetic trading entity thereby allowing automatic tracking and execution of both real and synthetic trading entities.

19. The method of claim 15 further comprising displaying trading information about the created black box trading entity and the two or more real or synthetic trading entities in different colors on the Aggregated Book View or the Order Ticket graphical window on the graphical user interface.

16. A black box trading entity system, comprising in combination:

a means for executing a black box trading entity created from two or more real or synthetic trading entities-in an Aggregated Book View (ABV) or Order Ticket graphical window on a graphical user interface, wherein the black box trading entity includes one or more real or synthetic spreads between one or more real or synthetic entities, one or more real or synthetic one-to-one or multi-to-one trading durations, or one or more real or synthetic slippage factors to automatically execute a secondary trade if a primary trade is missed including displaying in the ABV window bid size and bid offer by price in a market depth format for the two or more real or synthetic electronic trading entities used to create the black box trading entity and displaying prices in a dynamic price column in the ABV window,

wherein the ABV window includes an order entry mode for entering a trade near, or away from a current last traded price,

wherein the ABV window allows entering and canceling of electronic trading orders and automatically sending electronic trading orders entered into the ABV window at a selected price to the one or more electronic trading exchanges and

wherein the dynamic price column is automatically and dynamically re-centering in the ABV window upon a current last traded price that continuously and dynamically changes with price fluctuations in the current last traded price;

means for creating a black box trading strategy for the black box trading entity to automatically and simultaneously execute two or more trades for the black box trading entity in two or more distinct electronic trading markets which have a pre-determined relationship;

means for receiving two or more sets of electronic trading information from one or more electronic trading exchanges including trading information for the two or more real or synthetic trading entities for the created black box trading entity;

a means for automatically executing two or more electronic trades electronically for the black box trading entity on the appropriate one or more electronic trading exchanges to execute the black box trading entity; and

a means for application for automatically and simultaneously executing with the black box trading strategy created for the black box trading entity via the ABV window, two or more electronic trades electronically for the black box trading entity on the appropriate one or more electronic trading exchanges via a communications network to execute the black box trading entity.