System and method for a risk check

• US 11,216,880 B2
• Filed: 12/24/2019
• Issued: 01/04/2022
• Est. Priority Date: 03/24/2009
• Status: Active Grant

• Current Assignee: Trading Technologies International, Inc.
• Original Assignee: Trading Technologies International, Inc.
• Inventors: Mintz, Sagy Pundak
• Primary Examiner(s): Baird, Edward J
• Application Number:
  US16/726,496
• Publication Number:
  US 20200134723A1
• Time in Patent Office: 742 Days
• 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

Various systems and methods are described herein for a risk check. The risk check bases a decision to allow a trading strategy to proceed on whether the order quantity for each leg of the trading strategy satisfies a certain condition. Particularly, when a trading strategy is initiated, the quantity for each of the orders to be submitted on behalf of the trading strategy, including the quantity of the initial order and any subsequent orders, is then compared to a corresponding risk value. If the order quantity for each of the orders is less than the corresponding risk value, then the trading strategy can proceed and the initial order can be sent on to the exchange. However, if the order quantity for any of the orders exceeds the risk value, then the initial order is not sent to the electronic exchange. Additionally, as described herein, quantity associated with the trading strategy is held or reserved for execution of the trading strategy regardless of the activity taken by the trader since the trading strategy was initiated. The reserved quantity can be drawn from the trading strategy until the quantity is depleted, the trading strategy has ended, or both, for example.

Claims

1. A computer readable medium having stored therein instructions executable by a processor, including instructions executable to:

receive a definition for a trading strategy, wherein the definition for the trading strategy includes a first quantity for a first tradeable object and a second quantity for a second tradeable object, wherein the trading strategy is associated with a position risk value;

determine a first risk value associated with the first tradeable object;

determine a second risk value associated with the second tradeable object;

compare the combined first and second risk values to the position risk value associated with the trading strategy;

establish an execution reserve equal to the combined first and second risk values when the first and second risk values are less than the position risk value;

submit a first order to a first electronic exchange when the combined first and second risk values are less than the position risk value, wherein the first order is associated with the first tradeable object;

receive a fill confirmation associated with the first order and updating the execution reserve based on the fill confirmation; and

submit in response to receiving the fill confirmation, a second order to a second electronic exchange, wherein the second order is associated with the second tradeable object.

2. The computer readable medium of claim 1, wherein the first tradeable object is different than the second tradeable object.

3. The computer readable medium of claim 1, wherein the first tradeable object is the same as the second tradeable object.

4. The computer readable medium of claim 1, wherein the first electronic exchange is different than the second electronic exchange.

5. The computer readable medium of claim 1, wherein a client device includes the processor.

6. The computer readable medium of claim 1, wherein a server-side device includes the processor.

7. The computer readable medium of claim 1, wherein the position risk value associated with the trading strategy is based on at least any one of the following:

a trader pre-configured first maximum position for the first tradeable object;

a trader pre-configured first maximum order quantity for the first tradeable object;

a trader pre-configured second maximum position for the second tradeable object; and

a trader pre-configured second maximum order quantity for the second tradeable object.

8. The computer readable medium of claim 1, further including instructions executable to:

when the combined first and second risk values exceeds the position risk value, reduce at least one of the first quantity to a reduced first quantity prior to submitting the first order, and the second quantity to a reduced second quantity prior to submitting the first order and prior to submitting the second order.

9. A system for implementing risk controls in an electronic trading system utilizing a gateway in communication with an electronic exchange, the system including:

a computing device in communication with the gateway,

wherein the computing device is configured to receive a definition for a trading strategy, wherein the definition for the trading strategy includes a first quantity for a first tradeable object and a second quantity for a second tradeable object, wherein the trading strategy is associated with a position risk value;

wherein the computing device is configured to determine a first risk value associated with the first tradeable object;

wherein the computing device is configured to determine a second risk value associated with the second tradeable object;

wherein the computing device is configured to compare the combined first and second risk values to the position risk value associated with the trading strategy;

wherein the computing device is configured to establish an execution reserve equal to the combined first and second risk values when the first and second risk values are less than the position risk value;

wherein the computing device is configured to submit a first order to a first electronic exchange when the combined first and second risk values are less than the position risk value, wherein the first order is associated with the first tradeable object;

wherein the computing device is configured to receive a fill confirmation associated with the first order and updating the execution reserve based on the fill confirmation; and

wherein the computing device is configured to submit in response to receiving the fill confirmation, a second order to a second electronic exchange, wherein the second order is associated with the second tradeable object.

10. The system of claim 9, wherein the first tradeable object is different than the second tradeable object.

11. The system of claim 9, wherein the first tradeable object is the same as the second tradeable object.

12. The system of claim 9, wherein the first electronic exchange is different than the second electronic exchange.

13. The system of claim 9, wherein the computing device is a client device.

14. The system of claim 9, wherein the computing device is a server-side device.

15. The system of claim 9, wherein the position risk value associated with the trading strategy is based on at least any one of the following:

a trader pre-configured first maximum position for the first tradeable object;

a trader pre-configured first maximum order quantity for the first tradeable object;

a trader pre-configured second maximum position for the second tradeable object; and

a trader pre-configured second maximum order quantity for the second tradeable object.

16. The system of claim 9,

wherein the computing device is configured to, when the combined first and second risk values exceeds the position risk value, reduce at least one of the first quantity to a reduced first quantity prior to submitting the first order, and the second quantity to a reduced second quantity prior to submitting the first order and prior to submitting the second order.