System for multi-leg trading

• US 8,386,364 B2
• Filed: 09/21/2006
• Issued: 02/26/2013
• Est. Priority Date: 09/21/2006
• Status: Active Grant

• Current Assignee: Refinitiv US Organization, LLC (Refinitiv US Holdings, Inc.)
• Original Assignee: Reuters Limited (The Woodbridge Co. Ltd.)
• Inventors: Sibley, Shaun P., Watts, David P., Henson, Leigh B.
• Primary Examiner(s): Akintola, Olabode
• Assistant Examiner(s): CAMPBELL, KELLIE L
• Application Number:
  US11/534,020
• Publication Number:
  US 20080077521A1
• Time in Patent Office: 2,350 Days
• Field of Search: 705/1, 705/35, 705/36.R, 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

Abstract

A computerized entity, system and method for monitoring, determining and/or presenting risk to a trader for multi-leg transactions is provided. The system may include a trading terminal that can calculate the current price for a synthetic instrument representing a multi-leg trade based on trading data for each financial instrument of the multi-leg trade. The trading terminal may provide indicia of the likelihood of success of completing each single-leg trade of the multi-leg trade.

Claims

1. A trading terminal in communication with one or more electronic trading systems, the trading terminal comprising:

memory for storing computer readable instructions;

one or more network interfaces in communication with one or more electronic trading systems; and

one or more computer processors in communication with the one or more network interfaces and the memory, the one or more computer processors configured to perform steps comprising;

monitoring trading data for a plurality of single-leg trades;

calculating a probability that each single-leg trade in the plurality of single-leg trades will execute, wherein calculating the probability that a particular single-leg trade in the plurality of single-leg trades will execute is based on the monitored trading data;

calculating a probability of executing a requested trade of a synthetic instrument based on a price of the synthetic instrument at a specific volume to be traded of the synthetic instrument, and based on the probability that each single-leg trade in the plurality of single-leg-trades will execute, wherein the synthetic instrument is based on at least one financial instrument and the synthetic instrument includes the plurality of single-leg trades;

displaying the probability of executing the requested trade for the synthetic instrument including displaying the probability of executing each of the plurality of single-leg trades;

receiving instructions to execute the requested trade of the synthetic instrument; and

simultaneously sending execution instructions to execute each of the plurality of single-leg trades of the synthetic instrument.

2. The trading terminal of claim 1, wherein the one or more computer processors are configured to perform the further step of receiving request data requesting the probability of executing the requested trade of the synthetic instrument, the request data including parameters for the requested trade of the synthetic instrument.

3. The trading terminal of claim 2, wherein the parameters include a quantity of the synthetic instrument.

4. The trading terminal of claim 2, wherein the one or more computer processors are configured to perform the further step of receiving instruction information to create the synthetic instrument.

5. The trading terminal of claim 4, wherein the instruction information includes the request data.

6. The trading terminal of claim 4, wherein the instruction information includes quantities of the plurality of single-leg trades for the synthetic instrument.

7. The trading terminal of claim 1, wherein the synthetic instrument is an arbitrage trade of a single financial instrument.

8. The trading terminal of claim 1, wherein the trading data includes probability information indicating the probability of executing each single-leg trade in the plurality of single-leg trades.

9. The trading terminal of claim 1, wherein the trading data is continually updated and the one or more computer processors are configured to repeatedly perform the steps of calculating the probabilities based on updated trading data.

10. The trading terminal of claim 9, wherein the step of calculating the probability of executing the requested trade of the synthetic instrument is repeated when the trading data is updated for one of the plurality of single-leg trades.

11. The trading terminal of claim 9, wherein the step of calculating the probability of executing the requested trade of the synthetic instrument is repeated at a preset interval.

12. The trading terminal of claim 1, wherein the one or more computer processors are configured to perform the further step of displaying actual trade data of an executed trade of the synthetic instrument.

13. A computer-implemented method for trading a synthetic instrument via an electronic trading system, the method comprising:

monitoring trading data for a plurality of single-leg trades;

calculating, by a processor, a probability that each single-leg trade in the plurality of single-leg trades will execute, wherein calculating the probability that a particular single-leg trade in the plurality of single-leg trades will execute is based on the monitored trading data;

calculating, by the processor, a probability of executing a requested trade of a synthetic instrument based on a price of the synthetic instrument at a specific volume to be traded of the synthetic instrument, and based on the probability that each single-leg trade in the plurality of single-leg trades will execute, wherein the synthetic instrument is based on at least one financial instrument and the synthetic instrument includes the plurality of single-leg trades;

providing the probability of executing the requested trade for the synthetic instrument including displaying the probability of executing each of the plurality of single-leg trades;

after providing the probability, receiving instructions to execute the requested trade of the synthetic instrument; and

simultaneously sending execution instructions to execute each of the single-leg trades of the synthetic instrument.

14. The computer-implemented method of claim 13, further comprising receiving request data requesting the probability of executing the requested trade of the synthetic instrument, the request data including parameters for the requested trade of the synthetic instrument.

15. The computer-implemented method of claim 14, wherein the parameters include a quantity of the synthetic instrument.

16. The computer-implemented method of claim 13, wherein the trading data is continually updated and the method further comprises repeatedly performing the steps of calculating the probabilities based on updated trading data.

17. The computer-implemented method of claim 14, further comprising receiving instruction information to create the synthetic instrument.

18. The computer-implemented method of claim 17, wherein the instruction information includes the request data.

19. The computer-implemented method of claim 17, wherein the instruction information includes quantities of the plurality of single-leg trades for the synthetic instrument.

20. The computer-implemented method of claim 13, wherein the synthetic trade is an arbitrage trade of a single financial instrument.

21. The computer-implemented method of claim 13, wherein the trading data includes probability information indicating the probability of executing each of the plurality of single-leg trades.

22. The computer-implemented method of claim 16, wherein calculating the probability of executing a requested trade of a synthetic instrument is repeated when the trading data is updated for one of the plurality of single-leg trades.

23. The computer-implemented method of claim 16, wherein calculating the probability of executing a requested trade of a synthetic instrument is repeated at a preset interval.