System and method for a risk check

• US 8,566,219 B2
• Filed: 03/24/2009
• Issued: 10/22/2013
• Est. Priority Date: 03/24/2009
• Status: Active Grant

• Current Assignee: Trading Technologies International, Inc.
• Original Assignee: Trading Technologies International, Inc.
• Inventors: Mintz, Sagy Pundak
• Primary Examiner(s): Wong, Eric T
• Assistant Examiner(s): BAIRD, EDWARD J
• Application Number:
  US12/410,210
• Publication Number:
  US 20100250423A1
• Time in Patent Office: 1,673 Days
• Field of Search: 705 35- 40
• US Class Current: 705/37
• 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

According to an embodiment for a risk check, a trading strategy may proceed when the order quantity for each leg of the trading strategy satisfies a certain condition. The quantity for each of the orders of the trading strategy, including the quantity of the initial order and subsequent orders, is compared to a corresponding risk value. When the order quantity for each of the orders is less than the corresponding risk value, the initial order can be sent. When the order quantity for any of the orders exceeds the risk value, the initial order is not sent. Additionally, quantity associated with the trading strategy is held or reserved for execution of the trading strategy regardless of the activity taken by the trader since initiating the trading strategy. The reserved quantity can be drawn from the trading strategy until the quantity is depleted, the trading strategy has ended, or both.

Claims

1. A method of risk check for a trading strategy, the method comprising:

receiving, via a computing device, a trading strategy comprising a first order to trade a first quantity of a first tradeable object at a first electronic exchange and a second order to trade a second quantity of a second tradeable object at a second electronic exchange;

prior to sending the first order to the first electronic exchange and prior to sending the second order to the second electronic exchange, comparing, via the computing device, a first order quantity value for the first order quantity to a corresponding first risk value;

prior to sending the first order to the first electronic exchange and prior to sending the second order to the second electronic exchange, comparing, via the computing device, a second order quantity value for the second order quantity to a corresponding second risk value; and

in response to both (a) the first order quantity value not exceeding the corresponding first risk value, and (b) the second order quantity value not exceeding the corresponding second risk value, submitting, via the computing device, the first order to the first electronic exchange, the first order being submitted to the first electronic exchange prior to the second order being submitted to the second electronic exchange;

detecting, via the computing device, a match of the first order at the first electronic exchange; and

submitting, via the computing device, the second order to the second electronic exchange subsequent to detecting the match of the first order at the first electronic exchange.

2. The method of claim 1 where the first tradeable object is different than the second tradeable object.

3. The method of claim 1 where the first tradeable object is the same as the second tradeable object.

4. The method of claim 1 where the first electronic exchange is different than the second electronic exchange.

5. The method of claim 1 where the computing device comprises a client device.

6. The method of claim 1 where the computing device comprises a server-side device.

7. The method of claim 1, further comprising refraining from, via the computing device, sending the first order to the first electronic exchange in response to any:

(a) the first order quantity value exceeding the corresponding first risk value, and (b) the second order quantity value exceeding the corresponding second risk value.

8. The method of claim 1 where the corresponding first risk value is calculated based on at least one of the following:

a trader pre-configured first maximum position for the first tradeable object, and a trader pre-configured first maximum order quantity for the first tradeable object, and where the corresponding second risk value is calculated based on at least one of the following;

a trader pre-configured second maximum position for the second tradeable object, and a trader pre-configured second maximum order quantity for the second tradeable object.

9. The method of claim 1, further comprising:

in response to the first order quantity value exceeding the corresponding first risk value, reducing, via the computing device, the first order quantity prior to sending the first order, where a reduced first order quantity value for the reduced first order quantity does not exceed the corresponding first risk value; and

wherein submitting the first order to the first electronic exchange comprises sending, via the computing device, the first order with the reduced first order quantity to the first electronic exchange.

10. The method of claim 1, further comprising:

in response to the second order quantity value exceeding the corresponding second risk value, reducing, via the computing device, the second order quantity prior to sending the first order and prior to sending the second order, where a reduced second order quantity value for the reduced second order quantity does not exceed the corresponding second risk value; and

wherein submitting the second order to the second electronic exchange subsequent to detecting the match of the first order at the first electronic exchange comprises sending, via the computing device, the second order with the reduced second order quantity to the second electronic exchange.

11. A non-transitory computer readable medium having instructions stored thereon, which when executed by a processor cause the processor to execute at least the acts of:

receiving a trading strategy comprising a first order to trade a first quantity of a first tradeable object at a first electronic exchange and a second order to trade a second quantity of a second tradeable object at a second electronic exchange;

prior to sending the first order to the first electronic exchange and prior to sending the second order to the second electronic exchange, comparing a first order quantity value for the first order quantity to a corresponding first risk value;

prior to sending the first order to the first electronic exchange and prior to sending the second order to the second electronic exchange, comparing a second order quantity value for the second order quantity to a corresponding second risk value; and

in response to both (a) the first order quantity value not exceeding the corresponding first risk value, and (b) the second order quantity value not exceeding the corresponding second risk value, submitting the first order to the first electronic exchange, the first order being submitted to the first electronic exchange prior to the second order being submitted to the second electronic exchange;

detecting a match of the first order at the first electronic exchange; and

submitting the second order to the second electronic exchange subsequent to detecting the match of the first order at the first electronic exchange.

12. The non-transitory computer readable medium of claim 11 where the first tradeable object is different than the second tradeable object.

13. The non-transitory computer readable medium of claim 11 where the first tradeable object is the same as the second tradeable object.

14. The non-transitory computer readable medium of claim 11 where the first electronic exchange is different than the second electronic exchange.

15. The non-transitory computer readable medium of claim 11 where the processor comprises a client device.

16. The non-transitory computer readable medium of claim 11 where the processor comprises a server-side device.

17. The non-transitory computer readable medium of claim 11 where the acts further include refraining from sending the first order to the first electronic exchange in response to any:

(a) the first order quantity value exceeding the corresponding first risk value, and (b) the second order quantity value exceeding the corresponding second risk value.

18. The non-transitory computer readable medium of claim 11 where the corresponding first risk value is calculated based on at least one of the following:

a trader pre-configured first maximum position for the first tradeable object, and a trader pre-configured first maximum order quantity for the first tradeable object, and where the corresponding second risk value is calculated based on at least one of the following;

a trader pre-configured second maximum position for the second tradeable object, and a trader pre-configured second maximum order quantity for the second tradeable object.

19. The non-transitory computer readable medium of claim 11 where the acts further include:

in response to the first order quantity value exceeding the corresponding first risk value, reducing the first order quantity prior to sending the first order, where a reduced first order quantity value for the reduced first order quantity does not exceed the corresponding first risk value; and

wherein submitting the first order to the first electronic exchange comprises sending the first order with the reduced first order quantity to the first electronic exchange.

20. The non-transitory computer readable medium of claim 11 where the acts further include:

in response to the second order quantity value exceeding the corresponding second risk value, reducing the second order quantity prior to sending the first order and prior to sending the second order, where a reduced second order quantity value for the reduced second order quantity does not exceed the corresponding second risk value; and

wherein submitting the second order to the second electronic exchange subsequent to detecting the match of the first order at the first electronic exchange comprises sending the second order with the reduced second order quantity to the second electronic exchange.

21. A method comprising:

receiving, via a computing device, a definition for trading strategy having a first leg and a second leg, the first leg including a first order for a first order quantity for a first tradeable object and the second leg including a second order for a second order quantity for a second tradeable object, where the second order quantity is determined based on the first order quantity of the first order and on the definition;

prior to sending the first order to a first electronic exchange and prior to sending the second order to a second electronic exchange, comparing, via the computing device, a first order quantity value for the first order quantity to a corresponding first risk value;

prior to sending the first order to the first electronic exchange and prior to sending the second order to the second electronic exchange, comparing, via the computing device, a second order quantity value for the second order quantity to a corresponding second risk value;

in response to both (a) the first order quantity value not exceeding the corresponding first risk value, and (b) the second order quantity value not exceeding the corresponding second risk value, submitting, via the computing device, the first order to the first electronic exchange, where the first order is submitted to the first electronic exchange prior to the second order being submitted to the second electronic exchange; and

detecting a match of the first order at the first electronic exchange; and

in response to (a) the first order quantity value not exceeding the corresponding first risk value, (b) the second order quantity value not exceeding the corresponding second risk value, and (c) detection of the match of the first order at the first electronic exchange, submitting, via the computing device, the second order to the second electronic exchange.

22. The method of claim 21 further comprising rejecting the first order from being sent to the first electronic exchange when any of (a) the first order quantity value exceeds the corresponding first risk value and (b) the second order quantity value exceeds the corresponding second risk value.

23. The method of claim 21 where the match of the first order comprises a partial fill of the first order.

24. The method of claim 21, where the trading strategy further comprises a third leg including a third order for a third order quantity of a third tradeable object where the third order quantity is determined based on the first order quantity and on the definition;

and where the first order is submitted to the first electronic exchange in response to each of the first order quantity value not exceeding the corresponding first risk value, the second order quantity value not exceeding the corresponding second risk value, and a third order quantity value for the third order quantity not exceeding a corresponding third risk value.

25. The method of claim 24 further comprising rejecting the first order from being submitted when any of the first order quantity value exceeds the corresponding first risk value, the second order quantity value exceeds the corresponding second risk value, and the third order quantity value exceeds the corresponding third risk value.