System and method for dynamically changing an electronic trade order quantity

• US 8,280,801 B2
• Filed: 08/29/2011
• Issued: 10/02/2012
• Est. Priority Date: 03/28/2007
• Status: Active Grant

• Current Assignee: Trading Technologies International, Inc.
• Original Assignee: Trading Technologies International, Inc.
• Inventors: Mintz, Sagy P., Burns, Michael J., Peterson, Thomas A.
• Primary Examiner(s): Patel, Jagdish
• Assistant Examiner(s): Bartley, Kenneth
• Application Number:
  US13/219,888
• Publication Number:
  US 20110313910A1
• Time in Patent Office: 400 Days
• Field of Search: 705/35, 705/37
• US Class Current: 705/37
• 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

A system and methods for dynamically changing a trade order quantity in an electronic trading environment are described herein. According to one example embodiment, an automated trading tool determines if a leaned on quantity of a trading strategy has increased or decreased and if so, dynamically changing a desired order quantity to reflect the change in the leaned on quantity. Dynamically changing an order quantity may be more profitable for a trader as order queue position may be maintained and portion of the desired order quantity may get filled; rather than a trader losing their order queue position and/or taking a chance of not getting any of their order quantity filled.

Claims

1. A method including:

receiving via a computing device a definition for a trading strategy including a first tradeable object and a second tradeable object;

receiving via the computing device an increase parameter;

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

automatically placing via the computing device, upon receiving the desired price and the desired quantity, a first trade order for the first tradeable object having an order quantity, wherein the first trade order leans on a quantity in the second tradeable object based on the definition for the trading strategy, the desired price, the desired quantity, and market data for the second tradeable object;

detecting via the computing device an increase in the leaned on quantity in the second tradeable object; and

sending via the computing device a command to increase the order quantity of the first trade order for the first tradeable object based on the increase in the leaned on quantity in the second tradeable object according to the trading strategy when the increase conforms to the increase parameter.

2. The method of claim 1, wherein the increase parameter is one of defined as a percentage value, defined as an integer value, based on one or more defined risk parameters.

3. The method of claim 1, further including:

comparing via the computing device the increased leaned on quantity in the second tradeable object to the increase parameter;

determining via the computing device that the increase conforms to the increase parameter when the leaned on quantity in the second tradeable object increased by more than or equal to the increase parameter;

determining via the computing device that the increase does not conform to the increase parameter when the leaned on quantity in the second tradeable object increased less than the increase parameter; and

sending via the computing device the command to increase the order quantity of the first trade order for the first tradeable object based on the increase in the leaned on quantity in the second tradeable object according to the trading strategy when it is determined that the increase conforms to the increase parameter.

4. The method of claim 1, further including:

sending via the computing device a command to decrease the order quantity of the first trade order for the first tradeable object prior to detecting the increase in the leaned on quantity in the second tradeable object.

5. The method of claim 1, wherein the command to increase the order quantity of the first trade order includes commands to cancel the first trade order and submit a second trade order for the first tradeable object with a quantity based on the definition for the trading strategy and the increase in the leaned on quantity in the second tradeable object.

6. The method of claim 1, wherein the command to increase the order quantity of the first trade order includes a command to place a second trade order for the first tradeable object with a quantity based on the definition for the trading strategy and the increase in the leaned on quantity in the second tradeable object.

7. The method of claim 1, wherein the definition for the trading strategy further includes a volume multiplier parameter, wherein the leaned on quantity in the second tradeable object is determined based on a quantity available in the second tradeable object and the volume multiplier parameter.

8. The method of claim 1, further including:

displaying via the computing device the increased order quantity in relation to an indicator for the first trade order for the first tradeable object.

9. A non-transitory computer readable medium having stored therein instructions executable by a processor, wherein the instructions are executable to:

receive a definition for a trading strategy including a first tradeable object and a second tradeable object;

receive an increase parameter;

receive a desired price and a desired quantity to buy or sell the trading strategy;

automatically place, upon receiving the desired price and the desired quantity, a first trade order for the first tradeable object having an order quantity, wherein the first trade order leans on a quantity in the second tradeable object based on the definition for the trading strategy, the desired price, the desired quantity, and market data for the second tradeable object;

detect an increase in the leaned on quantity in the second tradeable object; and

send a command to increase the order quantity of the first trade order for the first tradeable object based on the increase in the leaned on quantity in the second tradeable object according to the trading strategy when the increase conforms to the increase parameter.

10. The computer readable medium of claim 9, wherein the increase parameter is one of defined as a percentage value, defined as an integer value, based on one or more defined risk parameters.

11. The computer readable medium of claim 9, wherein the instructions are further executable to:

compare the increased leaned on quantity in the second tradeable object to the increase parameter;

determine that the increase conforms to the increase parameter when the leaned on quantity in the second tradeable object increased by more than or equal to the increase parameter;

determine that the increase does not conform to the increase parameter when the leaned on quantity in the second tradeable object increased less than the increase parameter; and

send the command to increase the order quantity of the first trade order for the first tradeable object based on the increase in the leaned on quantity in the second tradeable object according to the trading strategy when it is determined that the increase conforms to the increase parameter.

12. The computer readable medium of claim 9, wherein the instructions are further executable to:

send a command to decrease the order quantity of the first trade order for the first tradeable object prior to detecting the increase in the leaned on quantity in the second tradeable object.

13. The computer readable medium of claim 9, wherein the command to increase the order quantity of the first trade order includes commands to cancel the first trade order and submit a second trade order for the first tradeable object with a quantity based on the definition for the trading strategy and the increase in the leaned on quantity in the second tradeable object.

14. The computer readable medium of claim 9, wherein the command to increase the order quantity of the first trade order includes a command to place a second trade order for the first tradeable object with a quantity based on the definition for the trading strategy and the increase in the leaned on quantity in the second tradeable object.

15. The computer readable medium of claim 9, wherein the definition for the trading strategy further includes a volume multiplier parameter, wherein the leaned on quantity in the second tradeable object is determined based on a quantity available in the second tradeable object and the volume multiplier parameter.

16. The computer readable medium of claim 9, wherein the instructions are further executable to:

display the increased order quantity in relation to an indicator for the first trade order for the first tradeable object.

17. A system including:

a client device,

wherein the client device is adapted to receive a definition for a trading strategy including a first tradeable object and a second tradeable object,

wherein the client device is adapted to receive an increase parameter,

wherein the client device is adapted to receive a desired price and a desired quantity to buy or sell the trading strategy,

wherein the client device is adapted to automatically place, upon receiving the desired price and the desired quantity, a first trade order for the first tradeable object having an order quantity, wherein the first trade order leans on a quantity in the second tradeable object based on the definition for the trading strategy, the desired price, the desired quantity, and market data for the second tradeable object,

wherein the client device is adapted to detect an increase in the leaned on quantity in the second tradeable object, and

wherein the client device is adapted to send a command to increase the order quantity of the first trade order for the first tradeable object based on the increase in the leaned on quantity in the second tradeable object according to the trading strategy when the increase conforms to the increase parameter.

18. The system of claim 17, wherein the increase parameter is one of defined as a percentage value, defined as an integer value, based on one or more defined risk parameters.

19. The system of claim 17, wherein the client device is adapted to compare the increased leaned on quantity in the second tradeable object to the increase parameter, wherein the client device is adapted to determine that the increase conforms to the increase parameter when the leaned on quantity in the second tradeable object increased by more than or equal to the increase parameter, wherein the client device is adapted to determine that the increase does not conform to the increase parameter when the leaned on quantity in the second tradeable object increased less than the increase parameter, and wherein the client device is adapted to send the command to increase the order quantity of the first trade order for the first tradeable object based on the increase in the leaned on quantity in the second tradeable object according to the trading strategy when it is determined that the increase conforms to the increase parameter.

20. The system of claim 17, wherein the client device is adapted to send a command to decrease the order quantity of the first trade order for the first tradeable object prior to detecting the increase in the leaned on quantity in the second tradeable object.

21. The system of claim 17, wherein the command to increase the order quantity of the first trade order includes commands to cancel the first trade order and submit a second trade order for the first tradeable object with a quantity based on the definition for the trading strategy and the increase in the leaned on quantity in the second tradeable object.

22. The system of claim 17, wherein the command to increase the order quantity of the first trade order includes a command to place a second trade order for the first tradeable object with a quantity based on the definition for the trading strategy and the increase in the leaned on quantity in the second tradeable object.

23. The system of claim 17, wherein the definition for the trading strategy further includes a volume multiplier parameter, wherein the leaned on quantity in the second tradeable object is determined based on a quantity available in the second tradeable object and the volume multiplier parameter.

24. The system of claim 17, wherein the client device is adapted to display the increased order quantity in relation to an indicator for the first trade order for the first tradeable object.