System and method for performing automatic spread trading
First Claim
1. A trading device comprising:
- a user input device configured to receive a request to trade a spread between a plurality of tradeable objects at a spread price, the spread comprising a first leg for a first tradeable object and a second leg for a second tradeable object;
a market data receiver configured to receive from an electronic exchange a market data feed for the first tradeable object and a market data feed for the second tradeable object, where the market data feed for the first tradeable object includes current market data for the first tradeable object and the market data feed for the second tradeable object includes current data for the second tradeable object;
an electronic order router configured to submit orders to the electronic exchange;
an electronic processor coupled with the electronic order router, the market data receiver, and the user input device, where the electronic processor is configured to;
cause a first order for the first tradeable object to be submitted from the electronic order router to the electronic exchange at a price, where the price is determined based on the spread price for the spread and the market data feed for the second tradeable object,determine, as the market data feed for the second tradeable object is received, a working price for the spread,compare a price condition for the working price for the spread to a spread limit; and
cause a new order for the first tradeable object to be submitted from the order router to the electronic exchange at a new price in response to a comparison of the price condition for the working price for the spread to the spread limit.
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Accused Products
Abstract
The present embodiments are provided to facilitate the automatic trading of spreads in a fast and accurate manner. One or more market data feeds that contain market information for tradeable objects are received at an exchange. A spread data feed is generated in response to the market data feeds and from one or more spread setting parameters, which can be entered by a user. The spread data feed is preferably displayed in a spread window as bid and ask quantities associated with an axis or scale of prices. The user can enter orders in the spread window and the legs will be automatically worked to achieve, or attempt to achieve, the spread. In addition, other tools disclosed herein may be utilized to assist the user in making such trades.
154 Citations
11 Claims
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1. A trading device comprising:
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a user input device configured to receive a request to trade a spread between a plurality of tradeable objects at a spread price, the spread comprising a first leg for a first tradeable object and a second leg for a second tradeable object; a market data receiver configured to receive from an electronic exchange a market data feed for the first tradeable object and a market data feed for the second tradeable object, where the market data feed for the first tradeable object includes current market data for the first tradeable object and the market data feed for the second tradeable object includes current data for the second tradeable object; an electronic order router configured to submit orders to the electronic exchange; an electronic processor coupled with the electronic order router, the market data receiver, and the user input device, where the electronic processor is configured to;
cause a first order for the first tradeable object to be submitted from the electronic order router to the electronic exchange at a price, where the price is determined based on the spread price for the spread and the market data feed for the second tradeable object,determine, as the market data feed for the second tradeable object is received, a working price for the spread, compare a price condition for the working price for the spread to a spread limit; and cause a new order for the first tradeable object to be submitted from the order router to the electronic exchange at a new price in response to a comparison of the price condition for the working price for the spread to the spread limit. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11)
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Specification