System and method for determining implied market information

• US 7,870,063 B1
• Filed: 05/12/2009
• Issued: 01/11/2011
• Est. Priority Date: 11/05/2002
• Status: Active Grant

• Current Assignee: Trading Technologies, Inc. (Trading Technologies International, Inc.), Trading Technologies International, Inc.
• Original Assignee: Trading Technologies International, Inc.
• Inventors: Pazner, Assaf
• Primary Examiner(s): MEINECKE DIAZ, SUSANNA M
• Application Number:
  US12/464,388
• Time in Patent Office: 609 Days
• Field of Search: 705/36.R, 705/37
• US Class Current: 705/37
• CPC Class Codes: G06Q 30/02 Marketing; Price estimation or determination; Fundraising
• 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

Implied prices and their quantities are computed. Markets are characterized by exhaustively computing one or more combinations of other related markets. Each combination when summed in a particular way results in the market under consideration. In a described embodiment, the number of market combinations found is an exhaustive list of market combinations such that the market under consideration can be fully and completely characterized, such that each combination provides implied market information about the market under consideration. Implied market information can include implied prices and their quantities, which are computed for each combination and used accordingly in displays or used by automated or semi-automated trading tools.

Claims

1. A non-transitory computer readable medium having stored therein instructions executable by a processor to perform a method comprising:

selecting by a computing device a first tradable object;

generating by the computing device a plurality of identity vectors, each identity vector representing a different tradable object of a plurality of tradable objects related to the first tradable object, wherein the plurality of tradable objects includes the first tradable object, and wherein each identity vector is of a dimension equal to a number of tradable objects in the plurality of tradable objects;

generating by the computing device a plurality of definition vectors, each definition vector representing a strategy market comprising two or more of the plurality of tradable objects, wherein each definition vector is of a dimension equal to the number of tradable objects in the plurality of tradable objects;

generating by the computing device a plurality of different market combination vectors based on at least two vectors of a plurality of available vectors using vector substitution, wherein the plurality of available vectors comprises the identity vectors, the definition vectors, and previously generated market combination vectors, wherein each of the plurality of different market combination vectors represents an independent market combination for the first tradable object, wherein the generation of the plurality of different market combination vectors continues until a preset stopping point;

determining by the computing device implied market information for the first tradable object using the plurality of different market combination vectors, wherein the implied market information comprises implied order prices; and

displaying the implied market information by a client device.

2. The computer readable medium of claim 1, further comprising instructions to perform the step of determining each of the plurality of tradable objects related to the first tradable object, wherein a tradable object comprises a real or synthetic product.

3. The computer readable medium of claim 1, further comprising instructions to perform the step of using order price information associated with each of the tradable objects used to generate market combination vectors to determine implied order prices for the first tradable object.

4. The computer readable medium of claim 1, further comprising instructions to perform the step of using order quantity information associated with each of the tradable objects used to generate market combination vectors to determine implied order quantities for the first tradable object.

5. The computer readable medium of claim 1, further comprising instructions to perform the step of displaying the implied market information on a graphical user interface that accepts commands to send trade orders.

6. The computer readable medium of claim 1, further comprising instructions to perform the step of displaying the implied market information in relation to a price axis.

7. The computer readable medium of claim 1, further comprising instructions to perform the step of displaying the implied market information along with current bid and ask market information for the first tradable object.

8. The computer readable medium of claim 1, wherein the implied market information comprises implied order prices and implied on implied order prices, in which the implied on implied order prices are based on implied order prices.

9. The computer readable medium of claim 1, further comprising instructions to perform the step of storing the plurality of different market combination vectors for later use in determining implied information for the first tradable object.

10. The computer readable medium of claim 1, further comprising instructions to perform the step of receiving market updates and upon receiving the market updates, computing new implied market information for the first tradable object.

11. The computer readable medium of claim 1, further comprising instructions to perform the step of expressing the plurality of different market combination vectors as equations.

12. The computer readable medium of claim 1, further comprising instructions to perform the step of determining whether each of the plurality of different market combination vectors are independent.

13. A system for determining implied market information in an electronic trading environment, the system comprising:

an electronic trading computing device adapted to select a first tradable object, the electronic trading computing device adapted to generate a plurality of identity vectors, each identity vector representing a different tradable object of a plurality of tradable objects related to the first tradable object, wherein the plurality of tradable objects includes the first tradable object, and wherein each identity vector is of a dimension equal to a number of tradable objects in the plurality of tradable objects, the electronic trading computing device adapted to generate a plurality of definition vectors, each definition vector representing a strategy market comprising two or more of the plurality of tradable objects, wherein each definition vector is of a dimension equal to the number of tradable objects in the plurality of tradable objects, the electronic trading computing device adapted to generate a plurality of different market combination vectors based on at least two vectors of a plurality of available vectors using vector substitution, wherein the plurality of available vectors comprises the identity vectors, the definition vectors, and previously generated market combination vectors, wherein each of the plurality of different market combination vectors represents an independent market combination for the first tradable object, wherein the generation of the plurality of different market combination vectors continues until a preset stopping point, the electronic trading computing device adapted to determine implied market information for the first tradable object using the plurality of different market combination vectors, wherein the implied market information comprises implied order prices; and

a client device adapted to display the implied market information.

14. The system of claim 13, wherein the electronic trading computing device is further adapted to determine each of the plurality of tradable objects related to the first tradable object, wherein a tradable object comprises a real or synthetic product.

15. The system of claim 13, wherein the electronic trading computing device is further adapted to use order price information associated with each of the tradable objects used to generate market combination vectors to determine implied order prices for the first tradable object.

16. The system of claim 13, wherein the electronic trading computing device is further adapted to use order quantity information associated with each of the tradable objects used to generate market combination vectors to determine implied order quantities for the first tradable object.

17. The system of claim 13, wherein the client device is further adapted to display the implied market information on a graphical user interface that accepts commands to send trade orders.

18. The system of claim 17, wherein the client device is further adapted to display the implied market information in relation to a price axis.

19. The system of claim 13, wherein the client device is further adapted to display the implied market information along with current bid and ask market information for the first tradable object.

20. The system of claim 13, wherein the implied market information comprises implied order prices and implied on implied order prices, in which the implied on implied order prices are based on implied order prices.

21. The system of claim 13, wherein the electronic trading computing device is further adapted to store the plurality of different market combination vectors for later use in determining implied information for the first tradable object.

22. The system of claim 13, wherein the electronic trading computing device is further adapted to receive market updates and upon receiving the market updates, computing new implied market information for the first tradable object.

23. The system of claim 13, wherein the electronic trading computing device is further adapted to express the plurality of different market combination vectors as equations.

24. The system of claim 13, wherein the electronic trading computing device is further adapted to determine whether each of the plurality of different market combination vectors are independent.