Method and system for providing automatic execution of black box strategies for electronic trading

• US 8,364,575 B2
• Filed: 09/14/2010
• Issued: 01/29/2013
• Est. Priority Date: 05/04/2005
• Status: Active Grant

• Current Assignee: Rosenthal Collins Group LLC (Marex Spectron Group Ltd.)
• Original Assignee: Rosenthal Collins Group LLC (Marex Spectron Group Ltd.)
• Inventors: Rosenthal, Leslie, Collins, J. Robert
• Primary Examiner(s): Cheung, Mary
• Application Number:
  US12/881,740
• Publication Number:
  US 20110016035A1
• Time in Patent Office: 868 Days
• Field of Search: 705 35- 37, 715/200, 715/243, 715/700, 345/1.1
• US Class Current: 705/37
• 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

A method and system for providing automatic execution of black box trading strategies for electronic trading. A black box trading entity is created from two or more real or synthetic trading entities including real or synthetic contracts or financial instruments. The black box trading entity is automatically traded via one or more electronic trading exchanges on a client device and/or a server device and/or a combination thereof, thereby making the execution of electronic trades for the black box trading entity faster and more reliable than when executing on one network device alone.

Claims

1. A method for automatically executing a black box trading entity, comprising:

creating the black box trading entity from two or more real or synthetic trading instruments or contracts on a first application on a target network device with one or more processors;

creating a black box trading strategy on the first application on the target network device for the black box trading entity to automatically and simultaneously execute one or more electronic trades for the black box trading entity in one or more electronic trading markets, wherein the two or more trades in the black box trading strategy have a pre-determined relationship;

sending the black box trading entity and the black box trading strategy to a second application on a server network device with one or more processors via a communications network to automatically execute the one or more electronic trades for the black box trading entity, thereby making the execution of the one or more electronic trades for the black box trading entity faster and more reliable than executing the one or more electronic trades via the first application on the target network device alone;

receiving simultaneously on the first application on the target network device and on the second application on the server network device two or more sets of electronic trading information from one or more electronic trading exchanges including electronic trading information for the two or more real or synthetic trading entities for the black box trading entity via the communications network;

automatically executing on the second application on the server network device the black box trading strategy created for the black box trading entity the one or more electronic trades for the black box trading entity;

displaying automatically via the first application on the target network device selected ones of the two or more sets of electronic trading information on an aggregate book view/ask bid volume (ABV) window on a graphical user interface with a plurality of graphical windows used for electronic trading, including displaying bid size and bid offer by price in a market depth format for the two or more real or synthetic electronic trading entities used to create the black box trading entity and displaying prices in a dynamic price column in the ABV window,

wherein the ABV window includes an order entry mode for entering a trade near, or away from a current last traded price,

wherein the ABV window allows entering and canceling of electronic trading orders and automatically sending electronic trading orders entered into the ABV window at a selected price to the one or more electronic trading exchanges;

automatically and dynamically re-centering the dynamic price column in the ABV window upon a current last traded price that continuously and dynamically changes with price fluctuations in the current last traded price; and

automatically requesting via the ABV window on the first application on the target network device one or more additional electronic trades be executed for the black box trading entity on the one or more electronic trading exchanges, wherein the one or more additional electronic trades are automatically sent to the second application on the server network device by the ABV window for execution.

2. The method of claim 1 wherein the black box trading entity includes a real or synthetic trading entity created from two or more selected real or synthetic financial instruments.

3. The method of claim 1 wherein the black box trading entity includes the black box trading entity created from two or more selected real or synthetic financial or commodity futures contracts.

4. The method of claim 1 wherein the black box trading entity includes a configurable slippage factor portion to execute an alternative real or synthetic trade if a primary real or synthetic trade is missed or execute within a pre-determined slippage range of trading prices.

5. The method of claim 1 wherein the black box trading strategies include if-then trading strategies, one-cancels-other (OCO), market-on-open (MOO), market-on-close (MCO), block trading, good-til-canceled (GTC), good-til-date (GTD), fill-and-kill (FAK), fill-or-kill (FOK), Iceberg, multi-leg spread, over-the-counter (OTC) or yield curve black box trading strategies or a combination thereof.

6. The method of claim 1 further comprising:

automatically executing on the first application on the target network device a first trade for the black box trading entity on a first electronic trading exchange; and

automatically executing on the second application on the server network device a second trade for the black box trading entity on a second electronic trading exchange,

thereby splitting execution of the black box trading entity between the first application on the target network device and the second application on the server network device.

7. The method of claim 6 wherein the first trade includes a first leg of a black box trading spread and the second trade includes a second leg of a black box trading spread.

8. The method of claim 7 wherein the black box trading spread includes a intra-commodity spread, inter-commodity spread, butterfly spread, back spread, vertical spread, horizontal spread, ratio spread, synthetic spread or an inter-exchange black box trading spread.

9. The method of claim 6 wherein second trade executed on the second application on the server network device is for a larger trade order than the first trade executed on the first application the target network device.

10. The method of claim 6 wherein the first trade includes a trade for a real financial instrument or contract and the second trade includes a trade or synthetic financial instrument or contract.

11. The method of claim 1 wherein the first application on the target network device and the second application on the server network device provide an integrated viewpoint of black box trading across all trading accounts and across all electronic trading exchanges for an electronic trader.

12. The method of claim 10 wherein integrated viewpoint information is displayed on the ABV window on the target network device.

13. The method of claim 1 wherein the second application on the server network device includes on a aggregate book view/ask bid volume (ABV) window with a dynamic price column on a graphical user interface with a plurality of graphical windows used for electronic trading.

14. The method of claim 1 wherein selected ones of the two or more sets of received electronic trading information for black box trading are displayed in the ABV window in a three dimensional (3D) format.

15. The method of claim 1 wherein the step of automatically executing on the second application on the server network device with the black box trading strategy created for the black box trading entity the one or more electronic trades for the black box trading entity provides fault tolerance against loss of communication between the target network device and the communications network for electronic trading.

16. One or more processors including a non-transitory computer readable medium having stored therein a plurality of instructions for causing the one or more processors to execute a method for automatically executing a black box trading entity, the method comprising:

creating the black box trading entity from two or more real or synthetic trading instruments or contracts on a first application on a target network device with one or more processors;

creating a black box trading strategy on the first application on the target network device for the black box trading entity to automatically and simultaneously execute one or more electronic trades for the black box trading entity in one or more electronic trading markets, wherein the two or more trades in the black box trading strategy have a pre-determined relationship;

sending the black box trading entity and the black box trading strategy to a second application on a server network device with one or more processors via a communications network to automatically execute the one or more electronic trades for the black box trading entity, thereby making the execution of the one or more electronic trades for the black box trading entity faster and more reliable than executing the one or more electronic trades via the first application on the target network device alone;

receiving simultaneously on the first application on the target network device and on the second application on the server network device two or more sets of electronic trading information from one or more electronic trading exchanges including electronic trading information for the two or more real or synthetic trading entities for the black box trading entity via the communications network;

automatically executing on the second application on the server network device the black box trading strategy created for the black box trading entity the one or more electronic trades for the black box trading entity;

displaying automatically via the first application on the target network device selected ones of the two or more sets of electronic trading information on an aggregate book view/ask bid volume (ABV) window on a graphical user interface with a plurality of graphical windows used for electronic trading, including displaying bid size and bid offer by price in a market depth format for the two or more real or synthetic electronic trading entities used to create the black box trading entity and displaying prices in a dynamic price column in the ABV window,

wherein the ABV window includes an order entry mode for entering a trade near, or away from a current last traded price,

wherein the ABV window allows entering and canceling of electronic trading orders and automatically sending electronic trading orders entered into the ABV window at a selected price to the one or more electronic trading exchanges;

automatically and dynamically re-centering the dynamic price column in the ABV window upon a current last traded price that continuously and dynamically changes with price fluctuations in the current last traded price; and

automatically requesting via the ABV window on the first application on the target network device one or more additional electronic trades be executed for the black box trading entity on the one or more electronic trading exchanges, wherein the one or more additional electronic trades are automatically sent to the second application on the server network device by the ABV window for execution.

17. A system for automatically executing a black box trading entity, comprising in combination:

means for creating the black box trading entity from two or more real or synthetic trading instruments or contracts on a first application on a target network device with one or more processors;

means for creating a black box trading strategy on the first application on the target network device for the black box trading entity to automatically and simultaneously execute one or more electronic trades for the black box trading entity in one or more electronic trading markets, wherein the two or more trades in the black box trading entity have a pre-determined relationship;

means for sending the black box trading entity and the black box trading strategy to a second application on a server network device with one or more processors via a communications network to automatically execute the one or more electronic trades for the black box trading entity, thereby making the execution of the one or more electronic trades for the black box trading entity faster and more reliable than executing the one or more electronic trades via the first application on the target network device alone;

means for receiving simultaneously on the first application on the target network device and on the second application on the server network device two or more sets of electronic trading information from one or more electronic trading exchanges including electronic trading information for the two or more real or synthetic trading entities for the black box trading entity via the communications network;

means for automatically executing on the second application on the server network device with the black box trading strategy created for the black box trading entity the one or more electronic trades for the black box trading entity;

means for displaying automatically via the first application on the target network device selected ones of the two or more sets of electronic trading information on an aggregate book view/ask bid volume (ABV) window on a graphical user interface with a plurality of graphical windows used for electronic trading, including displaying bid size and bid offer by price in a market depth format for the two or more real or synthetic electronic trading entities used to create the black box trading entity and displaying prices in a dynamic price column in the ABV window,

wherein the ABV window includes an order entry mode for entering a trade near, or away from a current last traded price,

wherein the ABV window allows entering and canceling of electronic trading orders and automatically sending electronic trading orders entered into the ABV window at a selected price to the one or more electronic trading exchanges;

means for automatically and dynamically re-centering the dynamic price column in the ABV window upon a current last traded price that continuously and dynamically changes with price fluctuations in the current last traded price; and

means for automatically requesting via the ABV window on the first application on the target network device one or more additional electronic trades be executed for the black box trading entity on the one or more electronic trading exchanges, wherein the one or more additional electronic trades are automatically sent to the second application on the server network device by the ABV window for execution.

18. The system of claim 17 further comprising:

means for automatically executing on the first application on the target network device a first trade for the black box trading entity on a first electronic trading exchange; and

means for automatically executing on the second application on the server network device a second trade for the black box trading entity on a second electronic trading exchange,

thereby splitting execution of the black box trading entity between the first application on the target network device and the second application on the server network device.

19. The system of claim 17 wherein the black box trading strategies include if-then trading strategies, one-cancels-other (OCO), market-on-open (MOO), market-on-close (MCO), block trading, good-til-canceled (GTC), good-til-date (GTD), fill-and-kill (FAK), fill-or-kill (FOK), Iceberg, multi-leg spread, over-the-counter (OTC) or yield curve, black box trading strategies.

20. The system of claim 17 further comprising:

means for creating a configurable slippage factor to execute an alternative real or synthetic trade if a primary real or synthetic trade is missed or execute within a pre-determined slippage range of trading prices for the created black box trading strategy.