System and method for dynamically determining quantity for risk management

• US 9,159,103 B2
• Filed: 07/25/2012
• Issued: 10/13/2015
• Est. Priority Date: 12/30/2003
• Status: Active Grant

• Current Assignee: Trading Technologies International, Inc.
• Original Assignee: Trading Technologies International, Inc.
• Inventors: Tanpoco, Alvin F.
• Primary Examiner(s): Ng, Amy
• Assistant Examiner(s): Gutierrez, Andres E
• Application Number:
  US13/558,328
• Publication Number:
  US 20120290983A1
• Time in Patent Office: 1,175 Days
• Field of Search: 715/835, 705/35, 705/37, 705/64
• US Class Current: 1/1
• CPC Class Codes: G06Q 20/382 insuring higher security of transaction
• 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 method for dynamically determining quantity for risk management are described. According to one example embodiment, as a trader positions an order icon at a desired price or price-derivative value on a graphical interface, an order quantity for the order is dynamically determined based on the order price and a selected risk management formula. A trader can change the price or the price-related value for one or more orders by moving the order icons relative to a price axis on a graphical interface. In such an embodiment, the initially calculated order quantity for each order will be dynamically recalculated based on the modified orders for the trading strategy.

Claims

1. A method for managing risk associated with an order for a tradeable object, the method comprising:

in response to a user-command received via an input device of a computer device, selecting and moving, via the computer device, a displayed first order icon to a first price level of a plurality of axially aligned price levels for a tradeable object, where each of the plurality of axially aligned price levels comprises a price value for the tradeable object;

in response to selecting and moving the first order icon, computing, via the computing device, a first order quantity based on a first risk parameter associated with the first order icon and the first price level;

in response to a second order icon being moved to a second price level according to a second user command, computing, via the computing device, a second order quantity based on a second risk parameter associated with the second order icon and the second price level of the plurality of axially aligned price levels; and

submitting, via the computing device, a first order for trading the first order quantity of the tradeable object at a first price value of the first price level and a second order for trading the second order quantity of the tradeable object at a second price value of the second price level to an electronic exchange.

2. The method of claim 1 further comprising displaying a graphical interface via a display associated with the computing device, where the graphical interface comprises the plurality of axially aligned price levels for the tradeable object.

3. The method of claim 1 further comprising receiving the user command to move the first order icon to the first price level via the input device, where each of the plurality of axially aligned price levels is determined according to market information received from the electronic exchange.

4. The method of claim 3 where receiving the user command comprises selecting the first order icon from a plurality of order icons.

5. The method of claim 4 where a size of each order icon of the plurality of order icons is configured to represent an order quantity according to a price level of the plurality of axially aligned price levels to which the order icon is moved.

6. The method of claim 3 where the market information includes at least one of a highest bid price, a lowest ask price, a last traded price, and a last traded quantity.

7. The method of claim 1 where the first risk parameter is modifiable.

8. The method of claim 7, further comprising updating the first order quantity to a first modified order quantity based on a modified first risk parameter.

9. The method of claim 1 where the first order quantity is displayed relative to the first order icon.

10. The method of claim 1 where execution of the second order is based on execution of the first order.

11. The method of claim 1, where the first order quantity and the second order quantity are substantially the same.

12. The method of claim 1 further comprising:

receiving a third user command via the input device to move a third order icon to a third price level of the plurality of axially aligned price levels; and

causing a third order to be submitted for trading according to detecting execution of at least a portion of the first order, where the third order includes a third order quantity and a third price value of the third price level.

13. The method of claim 12 where the first order, the second order, and the third order are associated with a common trading strategy.

14. A non-transitory computer readable medium having instructions stored thereon, which when executed by a processor, cause the processor to execute acts comprising:

in response to a user-command received via an input device of a computer device, selecting and moving, via the computer device, a displayed first order icon to a first price level of a plurality of axially aligned price levels for a tradeable object, where each of the plurality of axially aligned price levels comprises a price value for the tradeable object;

in response to selecting and moving the first order icon, computing, via the computing device, a first order quantity based on a first risk parameter associated with the first order icon and the first price level;

in response to a second order icon being moved to a second price level according to a second user command, computing, via the computing device, a second order quantity based on a second risk parameter associated with the second order icon and the second price level of the plurality of axially aligned price levels; and

submitting, via the computing device, a first order for trading the first order quantity of the tradeable object at a first price value of the first price level and a second order for trading the second order quantity of the tradeable object at a second price value of the second price level to an electronic exchange.

15. The non-transitory computer readable medium of claim 14 where the acts further comprise displaying a graphical interface via a display associated with the computing device, where the graphical interface comprises the plurality of axially aligned price levels for the tradeable object.

16. The non-transitory computer readable medium of claim 14 where the acts further comprise receiving the user command to move the first order icon to the first price level via an input device associated with the computing device, where each of the plurality of axially aligned price levels is determined according to market information received from the electronic exchange.

17. The non-transitory computer readable medium of claim 16 where receiving the user command comprises selecting the first order icon from a plurality of order icons.

18. The non-transitory computer readable medium of claim 17 where a size of each order icon of the plurality of order icons is configured to represent an order quantity according to a price level of the plurality of axially aligned price levels to which the order icon is moved.

19. The non-transitory computer readable medium of claim 16 where the market information includes at least one of a highest bid price, a lowest ask price, a last traded price, and a last traded quantity.

20. The non-transitory computer readable medium of claim 14 where the first risk parameter is modifiable.

21. The non-transitory computer readable medium of claim 20, where the acts further comprise updating the first order quantity to a first modified order quantity based on a modified first risk parameter.

22. A non-transitory computer readable medium of claim 14 where the first order quantity is displayed relative to the first order icon.

23. The non-transitory computer readable medium of claim 14 where execution of the second order is based on execution of the first order.

24. The non-transitory computer readable medium of claim 14, where the first order quantity and the second order quantity are substantially the same.

25. The non-transitory computer readable medium of claim 14 where the acts further comprise:

receiving a third user command via an input device associated with the computing device to move a third order icon to a third price level of the plurality of axially aligned price levels; and

causing a third order to be submitted for trading according to detecting execution of at least a portion of the first order, where the third order includes a third order quantity and a third price value of the third price level.

26. The non-transitory computer readable medium of claim 25 where the first order, the second order, and the third order are associated with a common trading strategy.