User-Defined Algorithm Electronic Trading

• US 20110093378A1
• Filed: 10/15/2010
• Published: 04/21/2011
• Est. Priority Date: 10/20/2009
• Status: Active Grant

• Current Assignee: Trading Technologies International, Inc.
• Original Assignee: Trading Technologies International, Inc.
• Inventors: Lane, Richard, Unetich, Michael
• Granted Patent: US 10,096,066 B2
• Time in Patent Office: Days
• US Class Current: 705/37
• CPC Class Codes: G06F 3/04847 Interaction techniques to control parameter settings, e.g. interaction with sliders or dials
• 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

Abstract

Certain embodiments reduce the risks of traditionally programmed algorithms such as syntax errors, unclear logic, and the need for a non-trader programmer to develop the algorithm as specified by a trader by reducing or eliminating the writing of programming code by a user. Certain embodiments provide building block buttons and an algorithm area to define an algorithm. Certain embodiments provide live evaluation of an expression as the algorithm is being defined. Certain embodiments provide a design canvas area and blocks for designing an algorithm. Certain embodiments provide live feedback for blocks as the algorithm is being designed. Certain embodiments provide for initiating placement of an order to be managed by a selected user-defined trading algorithm from a value axis and for displaying working orders being managed by different user-defined trading algorithms on the value axis. Certain embodiments provide a ranking tool.

Claims

1. An apparatus including:

a client device,

wherein the client device is adapted to display a design canvas area, wherein the design canvas area includes a plurality of placed blocks arranged by a user to specify a definition for a trading algorithm;

wherein the client device is adapted to determine a first live feedback value for a first placed block of the plurality of placed blocks, wherein the first live feedback value is determined based on market data and the definition; and

wherein the client device is adapted to display the determined first live feedback value.

2. The apparatus of claim 1, wherein the plurality of placed blocks are selected by the user from a plurality of available blocks.

3. The apparatus of claim 1, wherein the arrangement of the plurality of placed blocks includes one or more connections between one or more blocks in the plurality of placed blocks.

4. The apparatus of claim 1, wherein the first live feedback value is determined for an input of the first placed block.

5. The apparatus of claim 1, wherein the first live feedback value is determined for an output of the first placed block.

6. The apparatus of claim 1, wherein the market data is received from an electronic exchange.

7. The apparatus of claim 1, wherein the market data is received from a simulation environment.

8. The apparatus of claim 1, wherein first live feedback value is further based on a functionality corresponding to the first placed block.

9. The apparatus of claim 1, wherein the first live feedback value is displayed in relation to the first placed block.

10. The apparatus of claim 1, wherein the client device is adapted to detect the generation of a discrete event and wherein the client device is adapted to display an indicator representing the occurrence of the discrete event.

11. The apparatus of claim 10, wherein the indicator includes flashing a connection on which the generated discrete event is provided.

12. The apparatus of claim 10, wherein the indicator includes an animation of an output on which the generated discrete event is provided.

13. The apparatus of claim 10, wherein the indicator includes an animation on a connection on which the generated discrete event is provided.

14. The apparatus of claim 10, wherein the client device is adapted to determine a second live feedback value for a second placed block of the plurality of placed blocks, wherein the second live feedback value is determined based on market data and the definition, wherein the second placed block is different from the first placed block, and wherein the client device is adapted to display the determined second live feedback value.

15. An apparatus including:

a client device,

wherein the client device is adapted to display an algorithm area;

wherein the client device is adapted to determine a live evaluation value for a first expression in the algorithm area, wherein the first expression is specified by one or more placed build block buttons, wherein each placed building block button represents an element of the first expression;

wherein the client device is adapted to determine a first live evaluation value for a first element of the first expression; and

wherein the client device is adapted to display the determined first live evaluation value in relation to the first element.

16. The apparatus of claim 15, wherein the algorithm area includes a price area, a quantity area, and a conditional area.

17. The apparatus of claim 15, wherein first expression includes an IF-THEN-ELSE element.

18. The apparatus of claim 15, wherein the client device is adapted to determine a second live evaluation value for a second expression in the algorithm area, wherein the second expression is an element of the first element of the first expression.

19. A method including:

displaying by a computing device a value axis;

receiving by the computing device a command to select a user-defined trading algorithm;

receiving by the computing device a command to initiate placement of an order; and

managing an order according to the selected user-defined trading algorithm.

20. The method of claim 19, wherein the command to initiate placement of the order includes at least one of a price and a quantity, wherein managing the order according to the selected user-defined trading algorithm is based on the at least one of the price and the quantity.

21. The method of claim 19, further including:

displaying by the computing device a first indicator in relation to the value axis, wherein the first indicator represents a working order being managed according to a first user-defined trading algorithm; and

displaying by the computer device a second indicator in relation to the value axis, wherein the second indicator represents a working order being managed according to a second user-defined trading algorithm, wherein the first user-defined trading algorithm and the second user-defined trading algorithm are different.

22. A method including:

displaying by a computing device a trading interface, wherein the trading interface includes an order entry region and a ranking region;

receiving by the computing device market data for a plurality of tradeable objects selected by a user;

determining by the computing device a ranking for the plurality of tradeable objects based on the received market data;

displaying by the computing device the determined ranking for the plurality of tradeable objects in the ranking region of the trading interface, wherein the display of the ranking for the plurality of tradeable objects is dynamically updated based on the received market data;

receiving by the computing device a quantity to buy or sell from a user through the order entry region of the trading interface; and

initiating placement by the computing device at least one order for at least one of the plurality of tradeable objects based on the ranking of the plurality of the tradeable objects and the quantity to buy or sell.

23. The method of claim 22, wherein the trading interface includes a selection region adapted to allow the user to select the plurality of tradeable objects.

24. The method of claim 22, wherein the trading interface includes an execution strategy selection region, wherein the execution strategy selection region is adapted to allow the user to a select an execution strategy from a plurality of available execution strategies.

25. The method of claim 24, further including receiving by the computing device a selection of an execution strategy through the execution strategy selection region of the trading interface.

26. The method of claim 25, wherein initiating placement of the at least one order is based on the selection of the execution strategy.