System and method for reducing the risks involved in trading multiple spread trading strategies
First Claim
1. A method comprising:
- defining a plurality of spread trading strategies, each of the plurality of spread trading strategies comprising at least a request to trade a first tradeable object and a request to trade a second tradeable object, wherein the first tradeable object of each of the plurality of spread trading strategies is a common tradeable object, and the second tradeable object of each of the plurality of spread trading strategies is different from the common tradeable object, and the second tradeable object is different in each of the plurality of spread trading strategies;
calculating by a computer device a quote price for the common tradeable object for each of the plurality of spread trading strategies based on a desired price to buy or sell each of the plurality of spread trading strategies;
from the calculated quote prices for the common tradeable object of the plurality of trading strategies, selecting by the computer device a first quote price closest to a price level based on either an inside market price or a last traded price of the common tradeable object; and
sending by the computer device a first quote order for the common tradeable object at the selected first quote price.
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Abstract
System and methods for reducing the risks involved in trading multiple spread trading strategies in an electronic trading environment are provided. Specifically, reducing the risks involved in trading multiple spreads that share a leg by, among other things, quoting a single order in the shared leg instead of quoting orders for each of the corresponding spread legs. Based on the computed quote price for the single order, associating the single order with the leaned on price that results in the price closest to the inside market in the shared leg. The single quote order is based on the market conditions in the spread legs and the desired spread price. Once the single order fills, a hedge order is sent to the leg that obtains the most advantageous price for the spread based on the other spread options.
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Citations
24 Claims
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1. A method comprising:
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defining a plurality of spread trading strategies, each of the plurality of spread trading strategies comprising at least a request to trade a first tradeable object and a request to trade a second tradeable object, wherein the first tradeable object of each of the plurality of spread trading strategies is a common tradeable object, and the second tradeable object of each of the plurality of spread trading strategies is different from the common tradeable object, and the second tradeable object is different in each of the plurality of spread trading strategies; calculating by a computer device a quote price for the common tradeable object for each of the plurality of spread trading strategies based on a desired price to buy or sell each of the plurality of spread trading strategies; from the calculated quote prices for the common tradeable object of the plurality of trading strategies, selecting by the computer device a first quote price closest to a price level based on either an inside market price or a last traded price of the common tradeable object; and sending by the computer device a first quote order for the common tradeable object at the selected first quote price. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17, 18, 19, 20, 21, 22, 23, 24)
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Specification