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

• US 9,996,877 B2
• Filed: 10/15/2013
• Issued: 06/12/2018
• 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:
  US14/053,930
• Publication Number:
  US 20140040110A1
• Time in Patent Office: 1,701 Days
• Field of Search: 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 system, comprising:

a computing device configured to communicate through a gateway over a computer network with an electronic exchange, and comprising a spread trading application including a spread modifier application;

wherein the spread modifier application is configured to receive a price modifier parameter and a quantity modifier parameter to be applied to a spread order;

wherein the spread trading application at the computing device is configured to receive a definition for the spread order associated with a spread trading strategy between at least a first tradeable object and a second tradeable object, the received definition for the spread order comprising a first parameter defining a desired spread price and a second parameter defining a desired spread quantity,

wherein the spread modifier application of the spread trading application at the computing device is configured to apply the quantity modifier parameter to the desired spread quantity to automatically divide the spread order into a plurality of disclosed spread orders, and the spread modifier application further configured to apply the price modifier parameter to the desired spread price to automatically determine a plurality of disclosed desired spread prices for the plurality of disclosed spread orders, each of the price modifier parameter and the quantity modifier parameter being 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 by the spread modifier application based on the price modifier parameter, and further being associated with a first disclosed spread quantity determined by the spread modifier application based on the quantity modifier parameter, and the second disclosed spread order being associated with a second disclosed desired spread price determined by the spread modifier application based on the price modifier parameter, and further being associated with a second disclosed spread quantity determined by the spread modifier application based on the quantity modifier parameter, the first disclosed desired spread price being different than the second disclosed desired spread price, the spread trading application further configured not to initiate the second disclosed spread order until a first trigger to initiate the second disclosed spread order is detected;

wherein the spread trading application at the computing device is configured to compute a first price and a first quantity for the first tradeable object based on the first disclosed spread order, the first price being computed by the spread trading application based on the first disclosed desired spread price and market conditions in the second tradeable object, and the first quantity being computed by the spread trading application based on the first disclosed spread quantity and the definition for the spread order,

wherein the computing device is configured to send over the computer network a first order message comprising a first order to buy or sell the first quantity of the first tradeable object of the spread trading strategy to the electronic exchange, the first order message comprising the first quantity and the first price for the first order, and subsequently,

wherein the spread trading application at the computing device is configured to detect the first trigger to initiate the second disclosed spread order, and subsequently,

wherein the spread trading application at the computing device is configured to compute a second price and a second quantity for the first tradeable object based on the second disclosed spread order, the second price being computed by the spread trading application based on the second disclosed desired spread price and market conditions in the second tradeable object, and the second quantity being computed by the spread trading application based on the second disclosed spread quantity and the definition for the spread order, and subsequently,

wherein the computing device is configured to send over the computer network a second order message comprising a second order to buy or sell the second quantity of the first tradeable object of the spread trading strategy to the electronic exchange, the second order message comprising the second quantity and the second price for the second order.

2. The system of claim 1, wherein to detect the first trigger, the spread trading application at the computing device is further configured to detect that the first disclosed spread order was executed.

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

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

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

6. The system of claim 1:

wherein the spread trading application at the computing device is further configured to compute a third price and a third quantity for the second tradeable object based on the first disclosed spread order, the third price being computed by the spread trading application based on the first disclosed desired spread price and market conditions in the first tradeable object, and the third quantity being computed by the spread trading application based on the first disclosed spread quantity and the definition for the spread order, and

wherein the computing device is further configured to send over the computer network a third order message comprising a third order to buy or sell the third quantity of the second tradeable object of the spread trading strategy, the third order comprising the third quantity and the third price for the third order, and wherein the computing device is configured to send over the computer network the third order message when the first order message is sent.

7. The system of claim 6:

wherein, upon detecting a second trigger, the spread trading application at the computing device is further configured to re-price the third order based on the second disclosed desired spread price.

8. The system of claim 7, wherein the spread trading application at the computing device is configured to detect the second trigger upon detecting a fill of the first order and before sending a hedge order for the second tradeable object.

9. The system of claim 8, wherein the spread trading application at the computing device is configured to detect the second trigger upon detecting a fill of the first order and after sending a hedge order for the second tradeable object.

10. The system of claim 8, wherein the spread trading application at the computing device is configured to detect the second trigger 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 system of claim 1, wherein the first price and the second price are different prices.

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

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