System and method for improved order entry using market depth

• US 7,844,531 B1
• Filed: 06/05/2009
• Issued: 11/30/2010
• Est. Priority Date: 09/30/2004
• Status: Active Grant

• Current Assignee: Trading Technologies International, Inc.
• Original Assignee: Trading Technologies International, Inc.
• Inventors: Burns, Michael J., Singer, Scott F., Monroe, Fred
• Primary Examiner(s): Kalinowski; Alexander
• Assistant Examiner(s): Kanervo; Virpi H
• Application Number:
  US12/479,231
• Time in Patent Office: 543 Days
• Field of Search: None
• US Class Current: 705/36.00R
• 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
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis

Abstract

Market depth information pertaining to the hedging side is utilized to intelligently break a non-hedging order into multiple orders, such that the orders rest at cascading price levels. This way, the trader can benefit from sweeps in the book and still properly accound for the market depth on the hedging side. Further, there is a greater probability of receiving “partials” on the spread order. In addition, hedge orders may be sent at multiple price levels, or sent to the market in pieces over time. By applying a more intelligent process to hedge orders (as opposed to “fire and forget”) an alternative beyond limit orders that can be leged or market orders is provided.

Claims

1. A system for trading at an electronic exchange, the system comprising:

a trading device adapted to receive a definition for a spread to electronically trade between a first tradeable object and a second tradeable object, wherein the first tradeable object and the second tradeable object are listed at an electronic exchange, the trading device further adapted to receive a desired spread price to buy or sell a designated quantity of the spread, the trading device further adapted to determine a first total quantity to buy or sell the first tradeable object and a second total quantity to buy or sell the second tradeable object based on the designated quantity, the trading device further adapted to generate a plurality of orders to buy or sell the first total quantity of the first tradeable object, wherein each of the plurality of orders comprises a different price level based on a market price in the second tradeable object, the desired spread price, and quantity available at specific price levels comprising the market price in the second tradeable object, the trading device further adapted to assign a quantity to each of the plurality of orders based on the quantity available at the specific price levels in the second tradeable object such that the quantity assigned to the plurality of orders comprises the first total quantity, the trading device further adapted to send the plurality of orders to the electronic exchange.

2. The system of claim 1, wherein the trading device comprises a trading station.

3. The system of claim 1, wherein the trading device comprises a gateway.

4. The system of claim 1, wherein the trading device is further adapted to send a hedge order for the second tradeable object when the plurality of orders have been filled at the electronic exchange.

5. The system of claim 4, wherein the hedge order comprises the second total quantity to buy or sell the second tradeable object.

6. The system of claim 4, wherein the hedge order comprises the market price in the second tradeable object.

7. The system of claim 1, wherein the trading device is further adapted to send a hedge order for the second tradeable object when fewer than all of the plurality of orders have been filled at the electronic exchange.

8. The system of claim 1, wherein the trading device is further adapted to send a plurality of hedge orders for the second tradeable object when at least two of the plurality of orders have been filled at the electronic exchange.

9. The system of claim 8, wherein the plurality of hedge orders comprises a total hedge quantity based on quantity from the at least two of the plurality of orders that has been filled at the electronic exchange.

10. The system of claim 8, wherein each of the plurality of hedge orders comprises a price level corresponding to one of the specific price levels.

11. The system of claim 1, wherein the quantity assigned to each of the plurality of orders is limited according to a predefined amount.

12. The system of claim 1, wherein a number of the plurality of orders is limited according to a predefined amount.

13. The system of claim 1, wherein the definition for the spread includes a spread ratio, wherein the first total quantity and the second total quantity are determined further based on the spread ratio.

14. The system of claim 1, wherein the trading device is further adapted to send each of the plurality of orders to the electronic exchange at certain time intervals.

15. The system of claim 1, wherein the first tradeable object and the second tradeable object are listed at a same electronic exchange.