System and method for use of fractional pay-up ticks in relation to trading strategies in an electronic trading environment

• US 8,706,611 B2
• Filed: 08/15/2013
• Issued: 04/22/2014
• Est. Priority Date: 09/30/2005
• Status: Expired due to Fees

• Current Assignee: Trading Technologies International, Inc.
• Original Assignee: Trading Technologies International, Inc.
• Inventors: Mintz, Sagy P., Herz, Eric M., Deitz, Alexander D.
• Primary Examiner(s): Johnson, Gregory
• Assistant Examiner(s): BAIRD, EDWARD J
• Application Number:
  US13/967,841
• Publication Number:
  US 20130339213A1
• Time in Patent Office: 250 Days
• Field of Search: 705 35- 40
• US Class Current: 705/37
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Abstract

A system and associated methods are provided for use of fractional pay-up ticks in relation to offset orders being sent for a trading strategy that involves trading a first tradeable object and at least a second tradeable object. According to one example method, when an indication is received that a quantity at a first price for the first tradeable object is filled, a plurality of offset orders for the second tradeable object is sent to an electronic order book of the second tradeable object. The plurality of offset orders is placed at a plurality of price levels determined based on at least one fractional pay-up tick value, the first price, and the desired spread price. A quantity for each order is determined based on a quantity divider rule that is applied to an offset quantity to offset the fill.

Claims

1. A non-transitory computer readable medium having stored therein instructions for execution by a processor, wherein the instructions are executable to:

detect that at least a portion of an order quantity of a first order for a first tradeable object was filled at a first price by a first electronic matching process corresponding to the first tradeable object, wherein the first order is associated with a trading strategy comprising at least the first tradeable object and a second tradeable object, and wherein the trading strategy further comprises a desired price for the trading strategy;

determine a plurality of quantities for a plurality of offset orders for the second tradeable object to offset the at least a portion of the order quantity of the first order that was filled, wherein the plurality of quantities are determined according to a quantity allocation rule that is used to divide an offset order quantity for the second tradeable object between the plurality of offset orders, wherein the offset order quantity is based on at least the portion of the order quantity that was filled and further based on the trading strategy;

determine a plurality of prices for the plurality of offset orders, wherein the plurality of prices are determined based on the first price of the first order, further based on the desired spread price, and further based on a fractional pay-up tick value; and

automatically send the plurality of offset orders having the plurality of quantities at the plurality of prices to a second electronic matching process corresponding to the second tradeable object.

2. The computer readable medium of claim 1, wherein the instructions are further executable to:

determine a second price level for the second tradeable object to achieve the desired price associated with the trading strategy; and

apply the fractional pay-up tick value to the second price level to determine the plurality of prices for the plurality of offset orders.

3. The computer readable medium of claim 2, wherein the fractional pay-up tick value is added to the second price level.

4. The computer readable medium of claim 2, wherein the fractional pay-up tick value is subtracted from the second price level.

5. The computer readable medium of claim 2, wherein the second price level comprises an inside market price.

6. The computer readable medium of claim 2, wherein the second price level comprises a price other than an inside market price.

7. The computer readable medium of claim 1, wherein the instructions are further executable to:

define the trading strategy comprising the desired price; and

place the first order at the first price for the first tradeable object at the first electronic matching process, wherein the first price is determined based on the desired price of the trading strategy and further based on market conditions in the second tradeable object.

8. The computer readable medium of claim 1, wherein the trading strategy comprises a spread strategy, wherein the spread strategy comprises a first leg associated with the first tradeable object and a second leg associated with the second tradeable object.

9. The computer readable medium of claim 1, wherein the quantity allocation rule is based on a formula.

10. The computer readable medium of claim 9, wherein the formula comprises a variable based on market data.

11. The computer readable medium of claim 9, wherein the formula comprises a variable based on trader related data.

12. The computer readable medium of claim 1, wherein the quantity allocation rule comprises a ratio.

13. The computer readable medium of claim 1, wherein the quantity allocation rule comprises a percentage.

14. The computer readable medium of claim 1, wherein the fractional pay-up tick value is based on a formula.

15. The computer readable medium of claim 1, wherein the fractional pay-up tick value is a positive value.

16. The computer readable medium of claim 1, wherein the fractional pay-up tick value is a negative value.