System and method for order placement in an electronic trading environment

• US 8,712,904 B2
• Filed: 10/12/2012
• Issued: 04/29/2014
• Est. Priority Date: 09/30/2005
• Status: Active Grant

• Current Assignee: Trading Technologies International, Inc.
• Original Assignee: Trading Technologies International, Inc.
• Inventors: Burns, Michael J., Herz, Eric M., Mintz, Sagy Pundak, Dietz, Alexander D.
• Primary Examiner(s): Lemieux, Jessica
• Application Number:
  US13/650,476
• Publication Number:
  US 20130036041A1
• Time in Patent Office: 564 Days
• Field of Search: 705/37
• 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
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis

Abstract

A system and associated methods are provided for intelligent placement and movement of orders in an electronic trading environment. According to one example method, in addition to submitting a leg order at a calculated price level, additional orders, queue holder orders, are submitted for the leg order at prices either below or above the calculated price level. Based on this configuration, if the conditions change such that it is necessary to re-price the leg order, there will be already an order resting in the exchange order book at the re-calculated price that can be used in the strategy. Upon re-pricing the leg order, one or more additional queue holder orders will be placed in the market. Other tools are provided as well.

Claims

1. A computer readable medium having instructions stored therein that when executed by a processor causes a computing device to carry out acts to:

compute by a computing device a first price for a first order to buy or sell a first tradeable object, wherein the first price is computed based on market conditions corresponding to at least one second tradeable object and further based on a desired spread price for a spread strategy comprising the first tradeable object and the at least one second tradeable object;

send by the computing device the first order to buy or sell the first tradeable object at the first price to be placed in an order book of a computerized matching process, wherein the first order satisfies the desired spread price of the spread strategy;

determine by the computing device a plurality of prices to buy or sell the first tradeable object, wherein the plurality of prices create a first range of prices, and wherein the plurality of prices are determined based on the first price to buy or sell the first tradeable object;

send a plurality of orders within the first range of prices to be placed in the order book of the computerized matching process, wherein the plurality of orders do not satisfy the desired spread price of the spread strategy;

compute a second price for the first order to buy or sell the first tradeable object based on updated market conditions for the at least one second tradeable object in response to sending the first order and the plurality of orders to the computerized matching process, wherein, based on the second price, the first order no longer satisfies the desired spread price of the spread strategy; and

based on the second price, modify at least one price of the plurality of orders such that the plurality of orders create a second range of prices.

2. The computer readable medium of claim 1, wherein the updated market conditions comprise a change in an inside market of the at least one second tradeable object.

3. The computer readable medium of claim 1, wherein the instructions to modify at least one price of the plurality of orders further comprise instructions to cancel at least one order and add at least one new order.

4. The computer readable medium of claim 1, wherein the first range of prices and the second range of prices comprise the same number of price levels.

5. The computer readable medium of claim 4, wherein the same number of price levels are user-configurable.

6. The computer readable medium of claim 4, wherein the same number of price levels is determined based on a formula.

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

detect an order fill of a full quantity corresponding to one of the plurality of orders; and

delete any remaining orders of the plurality of orders.

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

in response to placing of the plurality of orders within the first range, cancel the plurality of orders other than the first order at the first price upon detecting a user configurable event.

9. The computer readable medium of claim 8, wherein the user configurable event is based on market conditions corresponding to the first tradeable object or the at least one second tradeable object.

10. The computer readable medium of claim 1, wherein the plurality of orders are placed at consecutive prices within the first range of prices.

11. The computer readable medium of claim 1, wherein at least one order of the plurality of orders is placed at a price that is not consecutive within the first range of prices.