Method and system for electronic trading via a yield curve

• US 7,734,533 B2
• Filed: 11/10/2006
• Issued: 06/08/2010
• Est. Priority Date: 11/13/2005
• Status: Active Grant

• Current Assignee: Prime Trading LLC
• Original Assignee: Rosenthal Collins Group LLC (Marex Spectron Group Ltd.)
• Inventors: Mackey, Richard J. Jr., Harvey, Edward J. III
• Primary Examiner(s): Kazimi; Hani
• Assistant Examiner(s): Kanervo; Virpi H
• Application Number:
  US11/595,498
• Publication Number:
  US 20070112665A1
• Time in Patent Office: 1,306 Days
• Field of Search: None
• US Class Current: 705/37
• CPC Class Codes: G06Q 40/02 Banking, e.g. interest calculation or account maintenance credit or loans G06Q40/03
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Abstract

A method and system for providing electronic trading via yield curves. The method and system allow automatic execution of electronic trades with yield curve trading strategies using real, synthetic, black box, spread, and supply differential yield curve trading information.

Claims

1. A method for electronic trading via a yield curve, comprising:

obtaining one or more sets of electronic trading strategy information on an application on a target network device with one or more processors to automatically execute one or more electronic trades on one or more electronic trading exchanges via a communications network;

creating one or more yield curves using the obtained one or more sets of electronic trading strategy information for real trades, synthetic trades, black box trades, trades for spreads and trades for supply differentials for commodity futures contracts traded electronically on the one or more electronic trading exchanges;

receiving continuously one or more sets of electronic trading information on the application on the target network device via a communications network from the one or more electronic trading exchanges thereby automatically generating yield values from a real-time electronic trading information automatically generated for the one or more created yield curves;

executing automatically one or more electronic trades via the one or more created yield curves using the received one or more sets of electronic trading information in real-time via the application on the target network device, wherein the one or more electronic trades are executed using real-time yield values generated for the one or more created yield curves;

displaying results from the automatic execution of the one or more electronic trades via the one or more created yield curves in one or more graphical windows on a multi-windowed graphical user interface including a plurality of graphical yield curve trading indicators visually displaying trading results for the one or more created yield curves comprising a yield curve impact indicator, a yield curve ratio indicator and a yield curve settlement indicator, wherein each of the plurality of graphical yield curve trading indicators includes a plurality of different display colors for displaying information for each of the plurality of graphical yield curve trading indicators; and

executing automatically one or more additional electronic trades via the one or more created yield curves and one or more of the displayed plurality of graphical yield curve trading indicators via the application on the target network device.

2. The method of claim 1, wherein the obtaining step includes obtaining the one or more sets of electronic trading strategy information from a spreadsheet, from a spreadsheet macro, from a data file, from a database entry or via manual inputs.

3. The method of claim 2, wherein the spreadsheet, the spreadsheet macro, the data file, the database entry or the manual inputs may include pre-determined formulas, macros or other trading entities used to define a trading strategy for a yield curve.

4. The method of claim 1, wherein the receiving step includes receiving continuously one or more sets of electronic trading information on the application via one or more application program interfaces (API), one or more fixed connections or one or more dynamic connections.

5. The method of claim 1, wherein the step of executing automatically one or more electronic trades via the one or more created yield curves includes executing automatically one or more electronic trades based on one or two standard deviations of yield curve information derived from the received one or more sets of electronic trading information.

6. The method of claim 1, wherein the displaying step includes displaying the results from the automatic execution of the one or more electronic trades via the one or more created yield curves on a order ticket graphical window, an aggregated book view/ask bid volume (ABV) graphical window with a dynamic price column or a yield curve graphical window.

7. The method of claim 1, wherein the displaying step includes displaying the results from the automatic execution of the one or more electronic trades via the one or more created yield curves using a plurality of different colors.

8. The method of claim 7, wherein the plurality of different colors include a yellow color used for electronic trading when trading via the yield curve results are neutral, a green color used for electronic trading when trading via the yield curve results are positive and a red color used for electronic trading when trading via the yield curve results are negative.

9. The method of claim 1, further comprising:

selecting one or more of the created yield curves for electronic trading on the application on the target network device, wherein the one or more created yield curves include one or more pre-determined trading strategies, wherein the pre-determined trading strategies are defined with pre-determined formulas obtained in real-time from a spreadsheet or spreadsheet macros, and wherein the pre-determined trading strategies are defined for real trades, synthetic trades, black box trades, trades for spreads and trades for supply differentials for commodity futures contracts;

receiving continuously results on the application on the target network device via the communications network from the one or more electronic trading exchanges for automatic execution of one or more electronic trades via the selected one or more created yield curves, thereby automatically generating yield values from a real-time electronic trading information automatically generated for the selected one or more created yield curves;

executing automatically one or more new electronic trades via the selected one or more created yield curves on the application on the target network device using the received one or more sets of electronic trading information in real-time, wherein the one or more new electronic trades are executed using real-time yield values generated for the selected one or more created yield curves;

displaying results from the automatic execution of the one or more electronic trades via the selected one or more created yield curves in the one or more graphical windows on the multi-windowed graphical user interface, wherein the results are displayed in the one or more graphical windows with the generated yield values with a plurality of graphical yield curve trading indicators including a graphical yield curve impact indicator displayed as a first color, a graphical yield curve ratio indicator displayed as a second color and a graphical yield curve settlement indicator displayed as a third color; and

executing automatically one or more additional electronic trades via the selected one or more created yield curves and one or more of the displayed plurality of graphical yield curve trading indicators via the application on the target network device.

10. The method of claim 9, wherein the receiving step includes automatically receiving results of the one or more electronic trades based on one or two standard deviations of the created yield curve electronic trading information.

11. The method of claim 9, wherein the displaying step includes displaying the results from the automatic execution of the one or more electronic trades via the selected one or more created yield curves on a order ticket graphical window, an aggregated book view/ask bid volume (ABV) graphical window with a dynamic price column or a yield curve graphical window.

12. The method of claim 9, wherein the displaying step includes displaying the results from the automatic execution of the one or more electronic trades via the selected one or more created yield curves using a plurality of different graphical arrows with a plurality of different colors for the plurality of graphical yield curve trading indicators wherein a displayed type of graphical arrow indicates a yield curve direction for the selected one or more created yield curves including a positive or negative yield curve direction.

13. The method of claim 12, wherein the plurality of different colors include a yellow color used for electronic trading when trading via the yield curve results are neutral, a green color used for electronic trading when trading via the yield curve results are positive and a red color used for electronic trading when trading via the yield curve results are negative.

14. A computer readable medium having stored therein a plurality of instructions for causing one or more processors to execute the steps of a method comprising:

obtaining one or more sets of electronic trading strategy information on an application on a target network device with one or more processors to automatically execute one or more electronic trades on one or more electronic trading exchanges via a communications network;

creating one or more yield curves using the obtained one or more sets of electronic trading strategy information for real trades, synthetic trades, black box trades, trades for spreads and trades for supply differentials for commodity futures contracts traded electronically on the one or more electronic trading exchanges;

receiving continuously one or more sets of electronic trading information on the application on the target network device via a communications network from the one or more electronic trading exchanges thereby automatically generating yield values from a real-time electronic trading information automatically generated for the one or more created yield curves;

executing automatically one or more electronic trades via the one or more created yield curves using the received one or more sets of electronic trading information in real-time via the application on the target network device, wherein the one or more electronic trades are executed using real-time yield values generated for the one or more created yield curves;

displaying results from the automatic execution of the one or more electronic trades via the one or more created yield curves in one or more graphical windows on a multi-windowed graphical user interface including a plurality of graphical yield curve trading indicators visually displaying trading results for the one or more created yield curves comprising a yield curve impact indicator, a yield curve ratio indicator and a yield curve settlement indicator, wherein each of the plurality of graphical yield curve trading indicators includes a plurality of different display colors for displaying information for each of the plurality of graphical yield curve trading indicators; and

executing automatically one or more additional electronic trades via the one or more created yield curves and one or more of the displayed plurality of graphical yield curve trading indicators via the application on the target network device.

15. A system for electronic trading via a yield curve, comprising in combination:

means for obtaining one or more sets of electronic trading strategy information on an application in a computer readable medium on a target network device with one or more processors to automatically execute one or more electronic trades on one or more electronic trading exchanges via a communications network;

means for creating one or more yield curves on the application on the target network device using the obtained one or more sets of electronic trading strategy information for real trades, synthetic trades, black box trades, trades for spreads and trades for supply differentials for commodity futures contracts traded electronically on the one or more electronic trading exchanges;

means for selecting the one or more created yield curves for electronic trading on the application on the target network device with one or more processors;

means for receiving continuously one or more sets of electronic trading information on the application on the target network device via the communications network from the one or more electronic trading exchanges thereby automatically generating yield values from real-time electronic trading information automatically generated for the one or more created yield curves;

means for executing automatically one or more electronic trades using the selected one or more created yield curves on the application on the target network device via the communications network and via the one or more electronic trading exchanges in real-time, wherein the one or more electronic trades are executed using yield values automatically generated for the one or more created yield curves in real-time and for automatically executing one or more new electronic trades via the selected one or more created yield curves and one or more of a plurality of graphical yield curve trading indicators displayed via the application on the target network device; and

means for displaying results via the application from the automatic execution of the one or more electronic trades via the selected one or more created yield curves in one or more graphical windows on a multi-windowed graphical user interface on the application on the target network device, wherein the results are displayed in the one or more graphical windows using a graphical yield curve impact indicator displayed as a first color, a graphical yield curve ratio indicator displayed as a second color and a graphical yield curve settlement indicator displayed as a third color; and

means for executing automatically one or more additional electronic trades via the one or more created yield curves and the one or more of the displayed plurality of graphical yield curve trading indicators via the application on the target network device.

16. The system of claim 15, further comprising:

means for automatically executing one or more electronic trades based on one or two standard deviations of yield curve information derived from the selected one or more created yield curves.

17. The system of claim 15, further comprising:

means for displaying the results from the automatic execution of the one or more electronic trades via the selected one or more created yield curves on a order ticket graphical window, an aggregated book view/ask bid volume (ABV) graphical window with a dynamic price column or a yield curve graphical window.

18. The system of claim 15, further comprising:

means for displaying results from the automatic execution of the one or more electronic trades via the selected one or more created yield curves using a plurality of different colors wherein a yellow color is used for electronic trading when trading via the yield curve results are neutral, a green color is used for electronic trading when trading via the yield curve results are positive and a red color is used for electronic trading when trading via the yield curve results are negative.

19. The system of claim 15, further comprising:

means for displaying results on the application on the target network device from the automatic execution of the one or more electronic trades via the selected one or more created yield curves with a plurality of colors in the one or more graphical windows on the multi-windowed graphical user interface, wherein the selected one or more created yield curves include one or more pre-determined trading strategies for real trades, synthetic trades, black box trades, trades for spreads and trades for supply differentials for commodity futures contracts traded electronically on the one or more electronic trading exchanges, wherein a yellow color is used for electronic trading when trading via the yield curve results are neutral, a green color is used for electronic trading when trading via the yield curve results are positive and a red color is used for electronic trading when trading via the yield curve results are negative;

means for displaying on the application on the target network device the graphical yield curve impact indicator with graphical arrows indicting a direction for a yield curve trading strategy and wherein the graphical yield curve impact indicator is displayed with a plurality of colors, wherein a yellow color and no arrow is used when the graphical yield curve impact indicator results are neutral, a green color and vertical arrow pointing upwards is used when the graphical yield curve ratio indicator is positive and a red color and vertical arrow pointing downwards is used when the graphical yield curve settlement indicator is negative;

means for displaying on the application on the target network device the graphical yield curve ratio indicator with a plurality of colors, wherein a yellow color is used when the graphical yield curve ratio indicator results are neutral, a green color is used when the graphical yield curve ratio indicator is positive and a red color is used when the graphical yield curve ratio indicator is negative; and

means for displaying on the application on the target network device the graphical yield curve settlement indicator with a plurality of colors, wherein a yellow color is used when the graphical yield curve settlement indicator is neutral, a green color is used when the graphical yield curve settlement indicator is positive and a red color is used when the graphical yield curve trading settlement indicator is negative.