System and method for improved order entry using market depth
First Claim
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1. A method including:
- selecting by a computing device a first hedge price, wherein the first hedge price is a price level for a second tradeable object of a trading strategy, wherein the trading strategy is specified by a definition and includes a first leg for a first tradeable object and a second leg for the second tradeable object, wherein a first hedge quantity is available at the first hedge price;
initiating by the computing device placement of a first order for the first tradeable object, wherein the first order is at a first price for a first quantity, wherein the first price is determined based on a desired strategy price for the trading strategy and the first hedge price, wherein the first quantity is determined based on the definition for the trading strategy, a desired strategy quantity for the trading strategy, and the first hedge quantity;
selecting by the computing device a second hedge price, wherein the second hedge price is a price level for the second tradeable object, wherein a second hedge quantity is available at the second hedge price, wherein the second hedge price is different from the first hedge price; and
initiating by the computing device placement of a second order for the first tradeable object, wherein the second order is at a second price for a second quantity, wherein the second price is determined based on the desired strategy price and the second hedge price, wherein the second quantity is determined based on the definition for the trading strategy, the desired strategy quantity, the second hedge quantity, and at least one of the first quantity and the first hedge quantity.
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Abstract
Market depth information pertaining to the hedging side is utilized to intelligently break a non-hedging order into multiple orders, such that the orders rest at cascading price levels. This way, the trader can benefit from sweeps in the book and still properly account for the market depth on the hedging side. Further, there is a greater probability of receiving “partials” on the spread order. In addition, hedge orders may be sent at multiple price levels, or sent to the market in pieces over time. By applying a more intelligent process to hedge orders (as opposed to “fire and forget”) an alternative beyond limit orders that can be logged or market orders is provided.
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Citations
24 Claims
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1. A method including:
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selecting by a computing device a first hedge price, wherein the first hedge price is a price level for a second tradeable object of a trading strategy, wherein the trading strategy is specified by a definition and includes a first leg for a first tradeable object and a second leg for the second tradeable object, wherein a first hedge quantity is available at the first hedge price; initiating by the computing device placement of a first order for the first tradeable object, wherein the first order is at a first price for a first quantity, wherein the first price is determined based on a desired strategy price for the trading strategy and the first hedge price, wherein the first quantity is determined based on the definition for the trading strategy, a desired strategy quantity for the trading strategy, and the first hedge quantity; selecting by the computing device a second hedge price, wherein the second hedge price is a price level for the second tradeable object, wherein a second hedge quantity is available at the second hedge price, wherein the second hedge price is different from the first hedge price; and initiating by the computing device placement of a second order for the first tradeable object, wherein the second order is at a second price for a second quantity, wherein the second price is determined based on the desired strategy price and the second hedge price, wherein the second quantity is determined based on the definition for the trading strategy, the desired strategy quantity, the second hedge quantity, and at least one of the first quantity and the first hedge quantity. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12)
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13. A non-transitory computer readable medium having stored therein instructions executable by a processor, wherein the instructions are executable to:
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select a first hedge price, wherein the first hedge price is a price level for a second tradeable object of a trading strategy, wherein the trading strategy is specified by a definition and includes a first leg for a first tradeable object and a second leg for the second tradeable object, wherein a first hedge quantity is available at the first hedge price; initiate placement of a first order for the first tradeable object, wherein the first order is at a first price for a first quantity, wherein the first price is determined based on a desired strategy price for the trading strategy and the first hedge price, wherein the first quantity is determined based on the definition for the trading strategy, a desired strategy quantity for the trading strategy, and the first hedge quantity; select a second hedge price, wherein the second hedge price is a price level for the second tradeable object, wherein a second hedge quantity is available at the second hedge price, wherein the second hedge price is different from the first hedge price; and initiate placement of a second order for the first tradeable object, wherein the second order is at a second price for a second quantity, wherein the second price is determined based on the desired strategy price and the second hedge price, wherein the second quantity is determined based on the definition for the trading strategy, the desired strategy quantity, the second hedge quantity, and at least one of the first quantity and the first hedge quantity. - View Dependent Claims (14, 15, 16, 17, 18, 19, 20, 21, 22, 23, 24)
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Specification