System and method for estimating a spread value
First Claim
1. A method for estimating a last traded price for a spread, the method comprising:
- receiving by a computing device a definition for a spread, wherein the spread is between at least a first tradeable object and a second tradeable object, wherein the first tradeable object and the second tradeable object are different;
receiving by the computing device market data for the first tradeable object and the second tradeable object, wherein the market data includes a highest bid price and a lowest ask price for the second tradeable object;
detecting by the computing device a change in the market data for the first tradeable object;
determining by the computing device a characterization for the first tradeable object based on the detected change, wherein the characterization includes one of the first tradeable object has been bought and the first tradeable object has been sold;
estimating by the computing device a last traded price for the spread based on the definition for the spread, the characterization for the first tradeable object, and at least one of the highest bid price and the lowest ask price for the second tradeable object.
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Accused Products
Abstract
An estimated spread value is computed that represents a price at which a trader might have been able to buy or sell a spread given the current market conditions of the legs. In particular, when an event occurs in one of the legs, price information is gathered from each of the other legs based on the spread definition, in addition to the defined event, and is used in estimating the value of a spread. According to one feature, the computations may be triggered by any predefined event. According to another feature, the computation may be programmed by a user to tailor the estimation process according to the type of spread being traded. The estimated spread value may be used to analyze spreads, it may be fed to other trading related software tools, or it may be used in charting.
145 Citations
14 Claims
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1. A method for estimating a last traded price for a spread, the method comprising:
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receiving by a computing device a definition for a spread, wherein the spread is between at least a first tradeable object and a second tradeable object, wherein the first tradeable object and the second tradeable object are different; receiving by the computing device market data for the first tradeable object and the second tradeable object, wherein the market data includes a highest bid price and a lowest ask price for the second tradeable object; detecting by the computing device a change in the market data for the first tradeable object; determining by the computing device a characterization for the first tradeable object based on the detected change, wherein the characterization includes one of the first tradeable object has been bought and the first tradeable object has been sold; estimating by the computing device a last traded price for the spread based on the definition for the spread, the characterization for the first tradeable object, and at least one of the highest bid price and the lowest ask price for the second tradeable object. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13)
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14. A computer readable medium having stored therein instructions for execution on a computer to perform the following:
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receiving by a computing device a definition for a spread, wherein the spread is between at least a first tradeable object and a second tradeable object, wherein the first tradeable object and the second tradeable object are different; receiving by the computing device market data for the first tradeable object and the second tradeable object, wherein the market data includes a highest bid price and a lowest ask price for the second tradeable object; detecting by the computing device a change in the market data for the first tradeable object; determining by the computing device a characterization for the first tradeable object based on the detected change, wherein the characterization includes one of the first tradeable object has been bought and the first tradeable object has been sold; estimating by the computing device a last traded price for the spread based on the definition for the spread, the characterization for the first tradeable object, and at least one of the highest bid price and the lowest ask price for the second tradeable object.
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Specification