System and method for using order modifiers in relation to trading strategies

• US 8,589,278 B2
• Filed: 09/30/2009
• Issued: 11/19/2013
• Est. Priority Date: 09/30/2009
• Status: Active Grant

• Current Assignee: Trading Technologies International, Inc.
• Original Assignee: Trading Technologies International, Inc.
• Inventors: Messina, Patricia A., Mittal, Bharat
• Primary Examiner(s): Ebersman, Bruce I
• Application Number:
  US12/570,816
• Publication Number:
  US 20110078064A1
• Time in Patent Office: 1,511 Days
• Field of Search: 705/37
• 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

A quantity modifier and a price modifier are provided for a spread trading strategy having a desired spread price and a desired spread quantity. According to an example embodiment, a quantity modifier divides the desired spread quantity into a plurality of disclosed spread quantities. Once the disclosed quantities are determined, a plurality of disclosed spread orders having the disclosed spread quantities are sequentially submitted to the market until the full desired spread order quantity is executed or until a predefined condition is detected. A price modifier determines a price level for each disclosed spread quantity, such that each disclosed spread order may be submitted at a different price level.

Claims

1. A method for spread trading in an electronic trading environment, the method comprising:

receiving by a computing device a definition for a spread order associated with a spread trading strategy, wherein the spread trading strategy is between at least a first tradeable object and a second tradeable object, and wherein the definition for the spread order comprises a desired spread price and a desired spread quantity;

dividing by the computing device the spread order into a plurality of disclosed spread orders based on a price modifier applied to the desired spread price and a quantity modifier applied to the desired spread quantity, wherein each of the price modifier and the quantity modifier is based on any one of a preset value and a formula, wherein the plurality of disclosed spread orders comprises a first disclosed spread order and a second disclosed spread order, the first disclosed spread order being associated with a first disclosed desired spread price determined based on the price modifier, and further being associated with a first disclosed spread quantity determined based on the quantity modifier, and the second disclosed spread order being associated with a second disclosed desired spread price determined based on the price modifier, and further being associated with a second disclosed spread quantity determined based on the quantity modifier, wherein the first disclosed desired spread price is different than the second disclosed desired spread price;

computing by the computing device a first price and a first quantity for the first tradeable object based on the first disclosed spread order, wherein the first price is computed based on the first disclosed desired spread price and market conditions in the second tradeable object, wherein the first quantity is computed based on the first disclosed spread quantity and the definition for the spread order;

sending a first order to buy or sell the first quantity of the first tradeable object of the spread trading strategy to an electronic exchange, wherein the first quantity of the first order is submitted at the first price; and

subsequently,

detecting a first trigger to initiate the second disclosed spread order; and

subsequently,

computing by the computing device a second price and a second quantity for the first tradeable object based on the second disclosed spread order, wherein the second price is computed based on the second disclosed desired spread price and market conditions in the second tradeable object, wherein the second quantity is computed based on the second disclosed spread quantity and the definition for the spread order; and

subsequently,

sending a second order to buy or sell the second quantity of the first tradeable object of the spread trading strategy to the electronic exchange, wherein the second quantity of the second order is submitted at the second price.

2. The method of claim 1, wherein detecting the first trigger comprises detecting that the first disclosed spread order was executed.

3. The method of claim 1, wherein the preset value for the price modifier comprises at least one offset value.

4. The method of claim 3, wherein the at least one offset value is a number.

5. The method of claim 1, wherein the preset value for the quantity modifier comprises a fractional value.

6. The method of claim 1, further comprising:

computing by the computing device a third price and a third quantity for the second tradeable object based on the first disclosed spread order, wherein the third price is computed based on the first disclosed desired spread price and market conditions in the first tradeable object, and wherein the third quantity is computed based on the first disclosed spread quantity and the definition for the spread order; and

sending a third order to buy or sell the third quantity of the second tradeable object of the spread trading strategy, wherein the third quantity of the third order is submitted at the third price, and wherein the third order is sent when the first order is sent.

7. The method of claim 6, further comprising:

upon detecting a second trigger, re-pricing the third order based on the second disclosed desired spread price.

8. The method of claim 7, wherein the second trigger is detected upon detecting a fill of the first order and before sending a hedge order for the second tradeable object.

9. The method of claim 7, wherein the second trigger is detected upon detecting a fill of the first order and after sending a hedge order for the second tradeable object.

10. The method of claim 7, wherein the second trigger is detected upon detecting a fill of the first order and after detecting a fill of a hedge order that is sent for the second tradeable object.

11. The method of claim 1, wherein the first price and the second price are different prices.

12. The method of claim 1, wherein the first quantity and the second quantity are different quantities.

13. The method of claim 1, wherein the first quantity and the second quantity are equal.

14. A non-transitory computer readable storage medium having stored instructions therein to execute a method for spread trading in an electronic trading environment, the method comprising:

receiving by a computing device a definition for a spread order associated with a spread trading strategy, wherein the spread trading strategy is between at least a first tradeable object and a second tradeable object, and wherein the spread trading strategy comprises a desired spread price and a desired spread quantity;

dividing by the computing device the spread order into a plurality of disclosed spread orders based on a price modifier applied to the desired spread price and a quantity modifier applied to the desired spread quantity, wherein each of the price modifier and the quantity modifier is based on any one of a preset value and a formula, wherein the plurality of disclosed spread orders comprises a first disclosed spread order and a second disclosed spread order, the first disclosed spread order being associated with a first disclosed desired spread price determined based on the price modifier, and further being associated with a first disclosed spread quantity determined based on the quantity modifier, and the second disclosed spread order being associated with a second disclosed desired spread price determined based on the price modifier, and further being associated with a second disclosed spread quantity determined based on the quantity modifier, wherein the first disclosed desired spread price is different than the second disclosed desired spread price;

computing by the computing device a first price and a first quantity for the first tradeable object based on the first disclosed spread order, wherein the first price is computed based on the first disclosed desired spread price and market conditions in the second tradeable object, wherein the first quantity is computed based on the first disclosed desired quantity and the definition for the spread order;

sending a first order to buy or sell the first quantity of the first tradeable object of the spread trading strategy to an electronic exchange, wherein the first quantity of the first order is submitted at the first price; and

subsequently,

detecting a first trigger to initiate the second disclosed spread order; and

subsequently,

computing by the computing device a second price and a second quantity for the first tradeable object based on the second disclosed spread order, wherein the second price is computed based on the second disclosed desired spread price and market conditions in the second tradeable object, wherein the second quantity is computed based on the second disclosed spread quantity and the definition for the spread order; and

subsequently,

sending a second order to buy or sell the second quantity of the first tradeable object of the spread trading strategy to the electronic exchange, wherein the second quantity of the second order is submitted at the second price.

15. The computer readable medium of claim 14, wherein detecting the first trigger comprises detecting that the first disclosed spread order was executed.

16. The computer readable medium of claim 14, wherein the preset value for the price modifier comprises at least one offset value.

17. The computer readable medium of claim 14, wherein the preset value for the quantity modifier comprises a fractional value.

18. The computer readable medium of claim 14, wherein the method further comprises:

computing by the computing device a third price and a third quantity for the second tradeable object based on the first disclosed spread order, wherein the third price is computed based on the first disclosed desired spread price and market conditions in the first tradeable object, and wherein the third quantity is computed based on the first disclosed spread quantity and the definition for the spread order; and

sending a third order to buy or sell the third quantity of the second tradeable object of the spread trading strategy, wherein the third quantity of the third order is submitted at the third price, and wherein the third order is sent when the first order is sent.

19. The computer readable medium of claim 18, wherein the method further comprises:

upon detecting a second trigger, re-pricing the third order based on the second disclosed desired spread price.

20. The computer readable medium of claim 19, wherein the second trigger is detected upon detecting one of (i) a fill of the first order and before sending a hedge order for the second tradeable object, (ii) a fill of the first order and after sending a hedge order for the second tradeable object, and (iii) a fill of the first order and after detecting a fill of a hedge order that is sent for the second tradeable object.

21. The computer readable medium of claim 14, wherein the first quantity and the second quantity are different quantities.