Regulating Order Entry in an Electronic Trading Environment to Maintain an Actual Cost for a Trading Strategy
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Abstract
Regulating order entry based on an acceptable slop range for a trading strategy is described. According to one example embodiment, a trader may define an acceptable slop range for a trading strategy as a percentage. Using a spread trading algorithm, a spread price axis is generated and the trader may place an order for the trading strategy at a desired price, comprising placing an order in one leg market dependent on the market conditions of another leg market. Using the acceptable slop range, the system keep the net cost to the trader within the acceptable slop range, by regulating orders in the leg markets. Defining an acceptable slop range as a percentage allows the trader to monitor and regulate their profits and loss, regardless of the type of spread trading algorithm used or the placement of an order on the spread price axis.
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Citations
12 Claims
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1. (canceled)
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2. A method including:
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determining by a computing device an acceptable range of prices for a trading strategy based on a desired strategy price and a slop percentage value such that an actual cost of the trading strategy, when executed, is within a consistent tolerable difference from a desired cost of the trading strategy, regardless of the desired strategy price, wherein the trading strategy includes a first leg for a first tradable object and a second leg for a second tradable object; generating by the computing device an order message for an order to trade the first leg with a price based on the desired strategy price and a condition in the second leg; detecting by the computing device a change in the condition in the second leg; and determining by the computing device whether the change in the condition in the second leg would cause the actual cost of the trading strategy, if executed, to fall outside of the acceptable range of prices and, if so, re-pricing the order to trade the first leg to maintain the desired strategy price, and, if not, refraining from re-pricing the order to trade the first leg. - View Dependent Claims (3, 4, 5, 6, 7, 8, 9, 10, 11, 12)
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Specification