System and method for dynamic quantity orders in an electronic trading environment

• US 7,844,525 B2
• Filed: 04/06/2010
• Issued: 11/30/2010
• Est. Priority Date: 10/01/2003
• Status: Active Grant

• Current Assignee: Trading Technologies International, Inc.
• Original Assignee: Trading Technologies International, Inc.
• Inventors: Borsand, Steven F.
• Primary Examiner(s): Kalinowski; Alexander
• Assistant Examiner(s): Kanervo; Virpi H
• Application Number:
  US12/754,736
• Publication Number:
  US 20100191642A1
• Time in Patent Office: 238 Days
• Field of Search: None
• US Class Current: 705/35
• 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 method for dynamic quantity orders in an electronic trading environment are described. According to one method, a dynamic quantity order includes a price, a desired order quantity and a percentage associated with an estimated order quantity that will be filled in an order queue. When the order is received at an electronic exchange, the order is sorted into a pro-rata order queue, and the exchange may estimate a potential order quantity that will be filled in the order queue at the price based on the defined percentage. Subsequently, the exchange may then increase the order quantity of the dynamic quantity order so that if the estimated number of fills occurs, the order quantity of the dynamic quantity order will be filled.

Claims

1. A system for dynamic quantity orders in an electronic trading environment, the system including:

a computing device of an electronic exchange adapted to receive a dynamic quantity order, wherein the dynamic quantity order comprises a price and a desired order quantity, wherein the dynamic quantity order is associated with an order quantity by the computing device of the electronic exchange, wherein the order quantity is initially the desired order quantity, wherein the dynamic quantity order is placed into an order queue based on the price, wherein the computing device is adapted to estimate a potential order quantity at the price, wherein the potential order quantity represents an estimate of an amount of quantity that will be filled at the price, wherein the computing device is adapted to increase the order quantity to an increased order quantity based on the potential order quantity.

2. The system of claim 1, wherein the order queue is processed by the electronic exchange such that orders are filled based on a pro-rata priority.

3. The system of claim 1, wherein the computing device is further adapted to delete a remaining portion of the dynamic quantity order when a portion of the increased order quantity filled is not less than the desired order quantity.

4. The system of claim 1, wherein the computing device is further adapted to dynamically adjust the increased order quantity based at least in part on the potential order quantity.

5. The system of claim 4, wherein the potential order quantity is based at least in part on a default estimate for the electronic exchange that varies based on a total pending order quantity in the order queue.

6. The system of claim 4, wherein the potential order quantity is based on a percentage included in the dynamic quantity order.

7. The system of claim 6, wherein the percentage is static.

8. The system of claim 6, wherein the percentage is dynamic based on a rule.

9. The system of claim 8, wherein the rule is defined by a trader.

10. The system of claim 8, wherein the rule is defined by the electronic exchange.

11. The system of claim 8, wherein the rule is based on a total pending order quantity in the order queue.

12. The system of claim 4, wherein the adjustment includes increasing the increased order quantity.

13. The system of claim 4, wherein the adjustment includes decreasing the increased order quantity.

14. The system of claim 4, wherein the adjustment is limited based at least in part on a maximum order quantity.

15. The system of claim 4, wherein the adjustment is limited based at least in part on a maximum order value.

16. The system of claim 4, wherein the adjustment is limited based at least in part on a maximum fee.

17. The system of claim 1, wherein the computing device is further adapted to apply a fee for increasing the order quantity paid by a trader associated with the dynamic quantity order.

18. The system of claim 17, wherein at least a portion of the fee is applied to an account of another trader associated with a pending order in the order queue.

19. A computer readable medium having stored therein instructions executable by a processor to perform a method including:

receiving a dynamic quantity order by a computing device of an electronic exchange, wherein the dynamic quantity order includes a price and a desired order quantity, wherein the dynamic quantity order is associated with an order quantity by the computing device of the electronic exchange, wherein the order quantity is initially the desired order quantity, wherein the dynamic quantity order is placed into an order queue based on the price;

estimating by the computing device of the electronic exchange a potential order quantity at the price, wherein the potential order quantity represents an estimate of an amount of quantity that will be filled at the price;

increasing by the computing device of the electronic exchange the order quantity to an increased order quantity based on the potential order quantity.

20. The computer readable medium of claim 19, wherein the order queue is processed by the electronic exchange such that orders are filled based on a pro-rata priority.

21. The computer readable medium of claim 19, further including instructions for deleting a remaining portion of the dynamic quantity order when a portion of the increased order quantity filled is not less than the desired order quantity.

22. The computer readable medium of claim 19, further including instructions for dynamically adjusting the increased order quantity based at least in part on the potential order quantity.

23. The computer readable medium of claim 22, wherein the potential order quantity is based at least in part on a default estimate for the electronic exchange that varies based on a total pending order quantity in the order queue.

24. The computer readable medium of claim 22, wherein the potential order quantity is based on a percentage included in the dynamic quantity order.

25. The computer readable medium of claim 24, wherein the percentage is static.

26. The computer readable medium of claim 24, wherein the percentage is dynamic based on a rule.

27. The computer readable medium of claim 26, wherein the rule is defined by a trader.

28. The computer readable medium of claim 26, wherein the rule is defined by the electronic exchange.

29. The computer readable medium of claim 26, wherein the rule is based on a total pending order quantity in the order queue.

30. The computer readable medium of claim 22, wherein the adjustment includes increasing the increased order quantity.

31. The computer readable medium of claim 22, wherein the adjustment includes decreasing the increased order quantity.

32. The computer readable medium of claim 22, wherein the adjustment is limited based at least in part on a maximum order quantity.

33. The computer readable medium of claim 22, wherein the adjustment is limited based at least in part on a maximum order value.

34. The computer readable medium of claim 22, wherein the adjustment is limited based at least in part on a maximum fee.

35. The computer readable medium of claim 19, further including instructions for applying a fee for increasing the order quantity paid by a trader associated with the dynamic quantity order.

36. The computer readable medium of claim 35, wherein at least a portion of the fee is applied to an account of another trader associated with a pending order in the order queue.