Automatic strategy grouping for a trading system

• US 8,577,788 B1
• Filed: 11/12/2012
• Issued: 11/05/2013
• Est. Priority Date: 09/22/2008
• Status: Active Grant

• Current Assignee: Morgan Stanley Services Group Inc. (Morgan Stanley)
• Original Assignee: tradeMONSTER Group, Inc. (Morgan Stanley)
• Inventors: Forsythe, Aric
• Primary Examiner(s): Poinvil, Frantzy
• Application Number:
  US13/674,691
• Time in Patent Office: 358 Days
• Field of Search: 705 10- 44
• US Class Current: 705/37
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Abstract

A system for trading comprises a processor and a memory. The processor is configured to: receive an indication to automatically group a set of investment instruments; determine a set of possible strategies from the set of investment instruments; determine a set of groupings of strategies from the set of possible strategies; and determine one or more selected groupings from the set of groupings of strategies based at least in part on a selection criteria. The memory is coupled to the processor and configured to provide the processor instructions.

Claims

1. A system for trading, comprising:

a computer having a processor and a memory, the processor configured to;

receive an indication to automatically group a set of individual investment instruments held by a user, each of the set of individual investment instrument having a quantity of units associated therewith;

determine a set of possible strategies, each possible strategy comprising one or more units of the quantity of units of one or more of the set of individual investment instruments held by the user;

determine a set of groupings of strategies from the set of possible strategies, each grouping comprising a non-overlapping combination of strategies of the set of possible strategies which together include all units of the quantities of units of all of the set of individual investment instruments held by the user; and

determine one or more selected groupings from the set of groupings of strategies based at least in part on a selection criteria; and

a memory coupled to the processor and configured to provide the processor instructions.

2. A system as in claim 1, wherein each of the set of individual investment instruments is related to a particular underlying investment instrument.

3. A system as in claim 1, wherein each of the set of individual investment instruments comprise one of an option contract on a quantity of an underlying instrument, a quantity of shares of a stock, a quantity of shares of a mutual fund, a quantity of shares of an exchange traded fund, a quantity of shares of an index, a quantity of a currency, or a quantity of an asset.

4. A system as in claim 1, wherein each of the set of possible strategies comprise one of a spread, a butterfly, a condor, a vertical, a diagonal, a straddle, a strangle, an iron condor, a collar, a buy-write, a short position, or a long position.

5. A system as in claim 1, wherein the indication is triggered in the event that an order has been filled in a market.

6. A system as in claim 1, wherein the selected grouping is identified as a particular strategy.

7. A system as in claim 1, further comprising:

providing a set of known strategies; and

wherein the set of possible strategies is determined by comparison of each of the set of known strategies with each of the set of individual investment instruments held by the user.

8. A system as in claim 7, wherein each of the set of known strategies is characterized by a set of attributes unique to the particular known strategy, the comparison of each of the known strategies further comprising comparing each set of attributes with attributes of each of the set of individual investment instruments held by the user.

9. A system as in claim 8, wherein the set of attributes includes number of positions, type of each position, side of each position, interrelationship of positions, and interrelationship of expiration dates of positions.

10. A system as in claim 1, wherein the processor is further configured to perform an operation on the selected grouping as if the selected grouping were a single investment instrument.

11. A system as in claim 10, wherein the operation comprises receiving a quote on the selected grouping.

12. A system as in claim 10, wherein the operation comprises trading the selected grouping.

13. A system as in claim 10, wherein the operation comprises viewing risk metrics on the selected grouping.

14. A system as in claim 10, wherein the operation comprises viewing profiles on the selected grouping.

15. A system as in claim 1, wherein the selection criteria comprises one or more user selection criteria.

16. A system as in claim 1, wherein the selection criteria comprises a user selection of a grouping from the set of groupings of strategies.

17. A system as in claim 1, wherein the selection criteria comprises finding a grouping having the least number of strategies.

18. A system as in claim 1, wherein the selection criteria comprises finding one or more groupings that have a limit to a number of instruments in any of the grouped strategies.

19. A system as in claim 1, wherein the selection criteria comprises finding one or more groupings that only include one multi-instrument strategy plus one or more one-instrument strategies.

20. A method of trading, comprising:

receiving an indication to automatically group a set of individual investment instruments held by a user, each of the set of individual investment instrument having a quantity of units associated therewith;

determining, using a computer with a processor and a memory, a set of possible strategies, each possible strategy comprising one or more units of the quantity of units of one or more of the set of individual investment instruments held by the user;

determining a set of groupings of strategies from the set of possible strategies, each grouping comprising a non-overlapping combination of strategies of the set of possible strategies which together include all units of the quantities of units of all of the set of individual investment instruments held by the user; and

determining one or more selected groupings from the set of groupings of strategies based at least in part on a selection criteria.

21. A non-transitory computer readable storage medium and comprising computer instructions for:

receiving an indication to automatically group a set of individual investment instruments held by a user, each of the set of individual investment instrument having a quantity of units associated therewith;

determining a set of possible strategies, each possible strategy comprising one or more units of the quantity of units of one or more of the set of individual investment instruments held by the user;

determining a set of groupings of strategies from the set of possible strategies, each grouping comprising a non-overlapping combination of strategies of the set of possible strategies which together include all units of the quantities of units of all of the set of individual investment instruments held by the user; and

determining one or more selected groupings from the set of groupings of strategies based at least in part on a selection criteria.