System and method for optimizing order placement in an order queue in an electronic trading environment

• US 8,249,976 B1
• Filed: 10/30/2007
• Issued: 08/21/2012
• Est. Priority Date: 10/30/2007
• Status: Active Grant

• Current Assignee: Trading Technologies International, Inc.
• Original Assignee: Trading Technologies International, Inc.
• Inventors: Prybell, Richard A. Jr., Levenberg, Peter A.
• Primary Examiner(s): Weisberger, Richard C
• Application Number:
  US11/928,458
• Time in Patent Office: 1,757 Days
• Field of Search: 705 35- 45
• US Class Current: 705/37
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Abstract

Systems and methods for optimizing order placement in an electronic trading environment are provided. Global queue holder orders are placed in a tradeable object to reserve quantity for traders. Traders may submit order requests for quantity at price levels at which a global queue holder order is holding quantity. When a trader submits an order for a quantity at a price level at which quantity is being held, a gateway compares the order to the global queue holder order information stored in a database. If the trader'"'"'s order coincides with a price level at which quantity is held, then the gateway virtually transfers ownership of that quantity to the trader, who then assumes the advantageous queue position. When the quantity associated with the order is filled, the fill information is sent to the gateway, which to the database to determine which trader is associated with the filled order quantity.

Claims

1. A method for optimizing order placement in an order queue in an electronic trading environment, comprising:

determining by a computing device a plurality of global queue holder orders for a tradeable object, wherein each of the plurality of global queue holder orders includes a price and a quantity, wherein the plurality of global queue holder orders are determined based on at least one order placement parameter;

submitting by the computing device the plurality of global queue holder orders to an electronic exchange;

storing by the computing device an owner associated with each of the plurality of global queue holder orders, wherein the owner associated with each of the plurality of global queue holder orders is initially a default trader;

receiving by the computing device an order request from a first trader, wherein the first trader is one of a group of traders, wherein the order request includes a price, wherein the price of the order request corresponds to the price of a first global queue holder order of the plurality of global queue holder orders, wherein the owner associated with the first global queue holder order is the default trader;

transferring by the computing device the owner associated with the first global queue holder order from the default trader to the first trader; and

dropping by the computing device the order request once ownership has been transferred so that the order request is not forwarded onto the electronic exchange.

2. The method of claim 1, wherein one of the at least one order placement parameters is a reference price, wherein the price of each of the plurality of global queue holder orders is determined based on the reference price.

3. The method of claim 1, wherein one of the at least one order placement parameters is a number of price levels at which to place global queue holder orders.

4. The method of claim 1, wherein one of the at least one order placement parameters is a number of global queue holder orders to place at each price level.

5. The method of claim 1, wherein one of the at least one order placement parameters is a quantity parameter, wherein the quantity of each of the plurality of global queue holder orders is determined based on the quantity parameter.

6. The method of claim 5, wherein the quantity parameter specifies that the quantity for each of the plurality of global queue holder orders is variable depending on the proximity to the reference price.

7. The method of claim 5, wherein the quantity parameter specifies that the quantity for each of the plurality of global queue holder orders is constant.

8. The method of claim 5, wherein the quantity parameter specifies that the quantity for each of the plurality of global queue holder orders is based on historical trading information.

9. The method of claim 5, wherein the quantity parameter specifies that the quantity for each of the plurality of global queue holder orders is dynamic.

10. The method of claim 1, wherein one of the at least one order placement parameters is a time of day when the plurality of global queue holder orders are placed at the electronic exchange.

11. The method of claim 1, wherein the plurality of global queue holder orders are limit orders.

12. The method of claim 1, further comprising:

submitting by the computing device an additional global queue holder order at a price corresponding to the price of the first global queue holder order once ownership has been transferred.

13. The method of claim 1, further comprising:

detecting by the computing device a fill for one of the plurality of global queue holder orders, wherein the owner associated with the filled global queue holder order is the default trader; and

submitting by the computing device an offsetting order to offset the quantity of the filled global queue holder order, wherein the offsetting global queue holder order is a market order.

14. The method of claim 1, further comprising:

displaying by the computing device a graphical indicator representing the price at which one of the plurality of global queue holder orders has been placed.

15. A computer readable medium having stored therein instructions executable by a processor, wherein the instructions are executable to:

determine a plurality of global queue holder orders for a tradeable object, wherein each of the plurality of global queue holder orders includes a price and a quantity, wherein the plurality of global queue holder orders are determined based on at least one order placement parameter;

submit the plurality of global queue holder orders to an electronic exchange;

store an owner associated with each of the plurality of global queue holder orders, wherein the owner associated with each of the plurality of global queue holder orders is initially a default trader;

receive an order request from a first trader, wherein the first trader is one of a group of traders, wherein the order request includes a price, wherein the price of the order request corresponds to the price of a first global queue holder order of the plurality of global queue holder orders, wherein the owner associated with the first global queue holder order is the default trader;

transfer the owner associated with the first global queue holder order from the default trader to the first trader; and

drop the order request once ownership has been transferred so that the order request is not forwarded onto the electronic exchange.

16. The computer readable medium of claim 15, wherein one of the at least one order placement parameters is a reference price, wherein the price of each of the plurality of global queue holder orders is determined based on the reference price.

17. The computer readable medium of claim 15, wherein one of the at least one order placement parameters is a number of price levels at which to place global queue holder orders.

18. The computer readable medium of claim 15, wherein one of the at least one order placement parameters is a number of global queue holder orders to place at each price level.

19. The computer readable medium of claim 15, wherein one of the at least one order placement parameters is a quantity parameter, wherein the quantity of each of the plurality of global queue holder orders is determined based on the quantity parameter.

20. The computer readable medium of claim 19, wherein the quantity parameter specifies that the quantity for each of the plurality of global queue holder orders is variable depending on the proximity to the reference price.

21. The computer readable medium of claim 19, wherein the quantity parameter specifies that the quantity for each of the plurality of global queue holder orders is constant.

22. The computer readable medium of claim 19, wherein the quantity parameter specifies that the quantity for each of the plurality of global queue holder orders is based on historical trading information.

23. The computer readable medium of claim 19, wherein the quantity parameter specifies that the quantity for each of the plurality of global queue holder orders is dynamic.

24. The computer readable medium of claim 15, wherein one of the at least one order placement parameters is a time of day when the plurality of global queue holder orders are placed at the electronic exchange.

25. The computer readable medium of claim 15, wherein the plurality of global queue holder orders are limit orders.

26. The computer readable medium of claim 15, wherein the instructions are further executable to:

submit an additional global queue holder order at a price corresponding to the price of the first global queue holder order once ownership has been transferred.

27. The computer readable medium of claim 15, wherein the instructions are further executable to:

detect a fill for one of the plurality of global queue holder orders, wherein the owner associated with the filled global queue holder order is the default trader; and

submit an offsetting order to offset the quantity of the filled global queue holder order, wherein the offsetting global queue holder order is a market order.

28. The computer readable medium of claim 15, wherein the instructions are further executable to:

display a graphical indicator representing the price at which one of the plurality of global queue holder orders has been placed.