METHOD AND SYSTEM FOR MANAGING SPREAD ORDERS
First Claim
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1. A computer-implemented method of executing a spread order trade, comprising:
- selecting, by a computer, a spread portfolio comprising a plurality of legs;
calculating, by the computer, a target volume ratio associated with the spread portfolio;
determining, by the computer, a total traded vector associated with the spread portfolio, wherein the total traded vector is a sum of all trades associated with the spread portfolio;
calculating, by the computer, a total suggested sub-order vector based on a difference between the target volume ratio and the total traded vector, wherein the total suggested sub-order vector comprises a suggested sub-order vector for each of the plurality of legs in the spread portfolio; and
executing, by a computer, the spread order trade in accordance with the total suggested sub-order vector.
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Abstract
A system and method of executing a spread order trade is provided. The system and method of the present invention provide a profit and loss neutral model configured to dynamically and iteratively rebalance the trades associated with a spread order based on changing market conditions. According to an embodiment of the present invention, a vector-based target volume ratio is maintained by rebalancing a plurality of trades associated with instruments (or legs) of the spread order, in view of changes in the underlying markets. Maintaining a target volume ratio allow the spread order to be traded according to a profit and loss neutral model.
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18 Claims
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1. A computer-implemented method of executing a spread order trade, comprising:
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selecting, by a computer, a spread portfolio comprising a plurality of legs; calculating, by the computer, a target volume ratio associated with the spread portfolio; determining, by the computer, a total traded vector associated with the spread portfolio, wherein the total traded vector is a sum of all trades associated with the spread portfolio; calculating, by the computer, a total suggested sub-order vector based on a difference between the target volume ratio and the total traded vector, wherein the total suggested sub-order vector comprises a suggested sub-order vector for each of the plurality of legs in the spread portfolio; and executing, by a computer, the spread order trade in accordance with the total suggested sub-order vector. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9)
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10. A system for managing a spread order, comprising:
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a client computer module configured to; select a spread portfolio comprising a plurality of legs, calculate a target volume ratio associated with the spread portfolio, calculate a total traded vector associated with the spread portfolio, wherein the total traded vector is a sum of all trades associated with the spread portfolio, and calculate a total suggested sub-order vector based on a difference between the target volume ratio and the total traded vector; and a trader computer module configured to execute the spread order trade in accordance with the total suggested sub-order vector. - View Dependent Claims (11, 12, 13, 14, 15, 16, 17, 18)
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Specification