System and method for aggressively trading a strategy in an electronic trading environment

• US 8,249,977 B2
• Filed: 05/28/2008
• Issued: 08/21/2012
• Est. Priority Date: 05/28/2008
• Status: Active Grant

• Current Assignee: Trading Technologies International, Inc.
• Original Assignee: Trading Technologies International, Inc.
• Inventors: Kontos, Nicholas, Mintz, Sagy P., Deitz, Alexander D.
• Primary Examiner(s): Subramanian, Narayanswamy
• Assistant Examiner(s): BAIRD, EDWARD J
• Application Number:
  US12/128,382
• Publication Number:
  US 20090299890A1
• Time in Patent Office: 1,546 Days
• Field of Search: 705/37
• US Class Current: 705/37
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Abstract

System and method for aggressively trading a spread trading strategy in an electronic environment are provided herein. According to the example embodiments, a trader may configure the automated trading tool to trade as aggressively as possible by leaning on a price without an associated quantity. This allows a trader to possibly obtain a more profitable price as well as get filled faster. Traders submit an order for a spread and the automated trading tool calculates the quote order price based on a defined level of aggressiveness, the leaned on price, and the desired spread price. Based on the level of defined aggressiveness and the gap in the market, the automated trading tool may lean on a mildly, moderately, or extremely aggressive price.

Claims

1. A method for aggressively trading a strategy in an electronic trading environment, comprising:

receiving a spread trading strategy via a computing device, wherein the spread trading strategy comprises buying or selling a first tradeable object and buying or selling a second tradeable object, and wherein the first tradeable object and the second tradeable object are listed at an electronic exchange;

selecting a level of aggressiveness for the spread trading strategy via the computing device, where the level of aggressiveness is selected from a plurality of levels of aggressiveness and is selected from at least one level of aggressiveness representing a certain level of risk that a trader is willing to accept;

receiving a desired spread price and quantity to buy or sell the spread trading strategy via the computing device;

determining, via the computing device, a leaned on price being within a market gap including at least one price level without an available bid quantity or an available offer quantity between a best ask and a best bid in the second tradeable object, wherein the leaned on price is determined based on the level of aggressiveness, and wherein the leaned on price comprises one price level above the best bid in the second tradeable object according to the spread trading strategy being a buy and one price level below the best ask in the second tradeable object according to the spread trading strategy being a sell;

calculating a quote order price for the first tradeable object via the computing device, wherein the quote order price is calculated based on the leaned on price and the desired spread price; and

submitting a quote order at the calculated quote order price via the computing device.

2. The method of claim 1, further comprising:

determining if a market fluctuation in the second tradeable object has occurred, and if so, adjusting the leaned on price in the second tradeable object based on the level of aggressiveness and the market gap; and

re-pricing the quote order in the first tradeable object to coincide with the adjusted leaned on price in the second tradeable object.

3. The method of claim 1, wherein the leaned on price is based on the level of aggressiveness and the desired spread price.

4. The method of claim 1, wherein the quote order price is based on the leaned on price and further based on the desired spread price.

5. The method of claim 1, wherein the level of aggressiveness is user-defined.

6. The method of claim 1, wherein the level of aggressiveness is dynamically modifiable.

7. The method of claim 6, wherein the level of aggressiveness is modified based on trading volume.

8. The method of claim 6, wherein the level of aggressiveness is modified based on market activity.

9. The method of claim 6, wherein the level of aggressiveness is modified based on a trader'"'"'s historical trading activity.

10. The method of claim 6, wherein the level of aggressiveness is based on current trading activity.

11. The method of claim 1, wherein the level of aggressiveness is manually modifiable.

12. The method of claim 1, wherein the quote order is a limit order.

13. The method of claim 1, further comprising submitting an offsetting hedge order for the second tradeable object responsive to execution of at least a portion of the quote order.

14. A non-transitory computer readable medium having program code recorded thereon for execution on a computer for aggressively trading a spread trading strategy, comprising:

a first program code for defining a spread trading strategy, wherein the spread trading strategy comprises buying or selling a first tradeable object and buying or selling a second tradeable object, and wherein the first tradeable object and the second tradeable object are listed at an electronic exchange;

a second program code selecting a level of aggressiveness for the spread trading strategy, where the level of aggressiveness is selected from a plurality of levels of aggressiveness and is selected from at least one level of aggressiveness representing a certain level of risk that a trader is willing to accept;

a third program code receiving a desired spread price and quantity to buy or sell the spread trading strategy;

a fourth program code determining a leaned on price being within a market gap including at least one price level without an available bid quantity or an available offer quantity between a best ask and a best bid in the second tradeable object, wherein the leaned on price is determined based on the level of aggressiveness, and wherein the leaned on price comprises one price level above the best bid in the second tradeable object according to the spread trading strategy being a buy and one price level below the best ask in the second tradeable object according to the spread trading strategy being a sell;

a fifth program code calculating a quote order price for the first tradeable object, wherein the quote order price is calculated based on the leaned on price and the desired spread price; and

a sixth program code submitting a quote order at the calculated quote order price.

15. A method for aggressively trading a strategy in an electronic trading environment, comprising:

receiving a spread trading strategy via a computing device, wherein the spread trading strategy comprises buying or selling a first tradeable object and buying or selling a second tradeable object, and wherein the first tradeable object and the second tradeable object are listed at an electronic exchange;

selecting a level of aggressiveness for the spread trading strategy via the computing device, where the level of aggressiveness is selected from a plurality of levels of aggressiveness and each level of the plurality of levels of aggressiveness represents a certain level of risk that a trader is willing to accept;

receiving a desired spread price and quantity to buy or sell the spread trading strategy via the computing device;

determining, via the computing device, a leaned on price being within a market gap including a plurality of price levels without an available bid quantity or an available offer quantity between a best ask and a best bid in the second tradeable object, wherein the leaned on price is determined based on the level of aggressiveness and comprises two price levels above the best bid in the second tradeable object according to the spread trading strategy being a buy and two price levels below the best ask in the second tradeable object according to the spread trading strategy being a sell;

calculating a quote order price for the first tradeable object via the computing device, wherein the quote order price is calculated based on the leaned on price and the desired spread price; and

submitting a quote order at the calculated quote order price via the computing device.

16. The method of claim 15, further comprising:

determining if a market fluctuation in the second tradeable object has occurred, and if so, adjusting the leaned on price in the second tradeable object based on the level of aggressiveness and the market gap; and

re-pricing the quote order in the first tradeable object to coincide with the adjusted leaned on price in the second tradeable object.

17. The method of claim 15, wherein the leaned on price is based on the level of aggressiveness and the desired spread price.

18. The method of claim 15, wherein the quote order price is based on the leaned on price and further based on the desired spread price.

19. The method of claim 15, wherein the level of aggressiveness is user-defined.

20. The method of claim 15, wherein the level of aggressiveness is dynamically modifiable.

21. The method of claim 20, wherein the level of aggressiveness is modified based on any of trading volume, market activity, a trader'"'"'s historical trading activity, current trading activity, and combinations thereof.

22. The method of claim 15, wherein the level of aggressiveness is manually modifiable.

23. The method of claim 15, wherein the quote order is a limit order.

24. The method of claim 15, further comprising submitting an offsetting hedge order for the second tradeable object responsive to execution of at least a portion of the quote order.

25. A non-transitory computer readable medium having program code recorded thereon for execution on a computer for aggressively trading a spread trading strategy, comprising:

a first program code for defining a spread trading strategy, wherein the spread trading strategy comprises buying or selling a first tradeable object and buying or selling a second tradeable object, and wherein the first tradeable object and the second tradeable object are listed at an electronic exchange;

a second program code selecting a level of aggressiveness for the spread trading strategy, where the level of aggressiveness is selected from a plurality of levels of aggressiveness and each level of the plurality of levels of aggressiveness represents a certain level of risk that a trader is willing to accept;

a third program code receiving a desired spread price and quantity to buy or sell the spread trading strategy;

a fourth program code determining a leaned on price being within a market gap including a plurality of price levels without an available bid quantity or an available offer quantity between a best ask and a best bid in the second tradeable object, wherein the leaned on price is determined based on the level of aggressiveness and comprises two price levels above the best bid in the second tradeable object according to the spread trading strategy being a buy and two price levels below the best ask in the second tradeable object according to the spread trading strategy being a sell;

a fifth program code calculating a quote order price for the first tradeable object, wherein the quote order price is calculated based on the leaned on price and the desired spread price; and

a sixth program code submitting a quote order at the calculated quote order price.

26. A method for aggressively trading a strategy in an electronic trading environment, comprising:

receiving a spread trading strategy via a computing device, wherein the spread trading strategy comprises buying or selling a first tradeable object and buying or selling a second tradeable object, and wherein the first tradeable object and the second tradeable object are listed at an electronic exchange;

selecting a level of aggressiveness for the spread trading strategy via the computing device, where the level of aggressiveness is selected from a plurality of levels of aggressiveness and each level of the plurality of levels of aggressiveness represents a certain level of risk that a trader is willing to accept;

receiving a desired spread price and quantity to buy or sell the spread trading strategy via the computing device;

determining, via the computing device, a leaned on price being within a market gap including at least one price level without an available bid quantity or an available offer quantity between a best ask and a best bid in the second tradeable object, wherein the leaned on price is determined based on the level of aggressiveness and comprises one price level below the best ask in the second tradeable object according to the spread trading strategy being a buy and one price level above the best bid in the second tradeable object according to the spread trading strategy being a sell;

calculating a quote order price for the first tradeable object via the computing device, wherein the quote order price is calculated based on the leaned on price and the desired spread price; and

submitting a quote order at the calculated quote order price via the computing device.

27. The method of claim 26, further comprising:

determining if a market fluctuation in the second tradeable object has occurred, and if so, adjusting the leaned on price in the second tradeable object based on the level of aggressiveness and the market gap; and

re-pricing the quote order in the first tradeable object to coincide with the adjusted leaned on price in the second tradeable object.

28. The method of claim 26, wherein the leaned on price is based on the level of aggressiveness and the desired spread price.

29. The method of claim 26, wherein the quote order price is based on the leaned on price and further based on the desired spread price.

30. The method of claim 26, wherein the level of aggressiveness is user-defined.

31. The method of claim 26, wherein the level of aggressiveness is dynamically modifiable.

32. The method of claim 31 wherein the level of aggressiveness is modified based on any of trading volume, market activity, a trader'"'"'s historical trading activity, current trading activity, and combinations thereof.

33. The method of claim 26, wherein the level of aggressiveness is manually modifiable.

34. The method of claim 26, wherein the quote order is a limit order.

35. The method of claim 26, further comprising submitting an offsetting hedge order for the second tradeable object responsive to execution of at least a portion of the quote order.

36. A non-transitory computer readable medium having program code recorded thereon for execution on a computer for aggressively trading a spread trading strategy, comprising:

a first program code for defining a spread trading strategy, wherein the spread trading strategy comprises buying or selling a first tradeable object and buying or selling a second tradeable object, and wherein the first tradeable object and the second tradeable object are listed at an electronic exchange;

a second program code selecting a level of aggressiveness for the spread trading strategy, where the level of aggressiveness is selected from a plurality of levels of aggressiveness and each level of the plurality of levels of aggressiveness represents a certain level of risk that a trader is willing to accept;

a third program code receiving a desired spread price and quantity to buy or sell the spread trading strategy;

a fourth program code determining a leaned on price being within a market gap including at least one price level without an available bid quantity or an available offer quantity between a best ask and a best bid in the second tradeable object, wherein the leaned on price is determined based on the level of aggressiveness and comprises one price level below the best ask in the second tradeable object according to the spread trading strategy being a buy and one price level above the best bid in the second tradeable object according to the spread trading strategy being a sell;

a fifth program code calculating a quote order price for the first tradeable object, wherein the quote order price is calculated based on the leaned on price and the desired spread price; and

a sixth program code submitting a quote order at the calculated quote order price.