EP1588240A4 - System and method for displaying information and using a plurality of profit levels for money management in an alectronic trading environment - Google Patents
System and method for displaying information and using a plurality of profit levels for money management in an alectronic trading environmentInfo
- Publication number
- EP1588240A4 EP1588240A4 EP04707113A EP04707113A EP1588240A4 EP 1588240 A4 EP1588240 A4 EP 1588240A4 EP 04707113 A EP04707113 A EP 04707113A EP 04707113 A EP04707113 A EP 04707113A EP 1588240 A4 EP1588240 A4 EP 1588240A4
- Authority
- EP
- European Patent Office
- Prior art keywords
- order
- indicator
- money management
- profit
- net
- Prior art date
- Legal status (The legal status is an assumption and is not a legal conclusion. Google has not performed a legal analysis and makes no representation as to the accuracy of the status listed.)
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- G—PHYSICS
- G06—COMPUTING; CALCULATING OR COUNTING
- G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
- G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
- G06Q40/04—Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
Definitions
- TITLE SYSTEM AND METHOD FOR DISPLAYING INFORMATION
- the present invention is directed towards electronic trading. More specifically, the present invention is directed to tools for controlling trading, assisting a trader in risk analysis, and making profitable trades in an electronic trading environment.
- Electronic trading is generally based on a host exchange, one or more computer networks, and client devices.
- the host exchange includes one or more centralized computers to form the electronic heart. Its operations typically include order matching, maintaining order books and positions, price information, and managing and updating a database that records such information.
- the host exchange is also equipped with an external interface that maintains uninterrupted contact to the client devices and possibly other trading-related systems.
- a network is a group of two or more computers or devices linked together.
- wired and wireless networks such as local area networks and wide area networks.
- Networks can also be characterized by topology, protocol, and architecture.
- some market participants may link to the host through a direct connection such as a Tl or ISDN.
- Some participants may link to the host exchange through direct connections and through other common network components such as high-speed servers, routers, and gateways.
- the Internet a well- known collection of networks and gateways, can be used to establish a connection between the client device and the host exchange.
- networks and combinations of network types known in the art can link traders to the host exchange.
- a client device is a computer such as a personal computer, laptop computer, hand-held computer, and so forth that has network access.
- client devices run software that creates specialized interactive trading screens. Trading screens enable market participants to obtain market quotes, monitor positions, and submit orders to the host.
- the host checks the conditions associated with the order, for example price and quantity, and prioritizes the order with other orders of the same price.
- a trade occurs and trade information is then relayed in some fashion to one or more client devices.
- the host exchanges typically publish a data feed to the client devices so that the traders can have access to the most current market information.
- Market information commonly includes information regarding the inside market and market depth.
- the inside market is the lowest sell price in the market and the highest buy price in the market at a particular point in time.
- Market depth refers to quantities available at the inside market and may also refer to quantities available at other prices away from the inside market.
- the quantity available at a given price level is usually provided by the host exchange in aggregate sums.
- a host exchange usually provides the total buy or the total sell quantity available in the market at a particular price level in its data feed.
- the extent of the market depth available to a trader usually depends on the host exchange. For instance, some host exchanges provide market depth for all price levels, while some provide only quantities associated with the inside market, and others may provide no market depth at all. Additionally, host exchanges can offer other types of market information such as the last traded price (LTP), the last traded quantity (LTQ), and order fill information.
- LTP last traded price
- LTQ last traded quantity
- Figure 1 is an example network configuration for a communication system utilized to access one or more exchanges
- FIG. 2 is a block diagram illustrating an example money management module according to one embodiment
- Figure 3 is a flow chart illustrating an example method for money management in an electronic trading environment according to one embodiment
- Figure 4 is a block diagram illustrating an example graphical interface for displaying profit/loss ("P/L”) information related to a tradeable object;
- Figure 5 is a block diagram illustrating an example graphical interface for displaying P/L indicators for working orders associated with a tradeable object
- Figure 6 is a block diagram illustrating an example graphical interface for displaying P/L levels for a plurality of working orders that a trader may enter to exit the trader's position;
- Figure 7 illustrates one example embodiment for displaying a plurality of working order indicators in combination with a Net P/L indicator and a Realized P/L indicator.
- Figure 8 is a block diagram illustrating an example graphical interface for displaying a plurality of potential profit levels determined based on potential market movements;
- Figure 9 is a block diagram illustrating an example money management interface for defining filter criteria and filter conditions
- Figure 10 is a block diagram illustrating an example monitoring interface that allows a trader to view market conditions and limitations imposed on each tradeable object or a group of the tradeable objects associated with the created filters;
- Figure 11 is a block diagram illustrating an example graphical interface for displaying trader related P/L information and money management filter related data.
- Figure 12 is a block diagram illustrating an example graphical interface using which a trader can configure a plurality of filters for each P/L trigger level
- Figure 13 is a block diagram illustrating an example graphical interface for displaying a money management filter band in combination with P/L indicators and time- based filter indicators.
- Figure 14 is a block diagram illustrating an example graphical interface that may be used for verifying and changing filter conditions configured by a trader or a system administrator based on a plurality of drop off loss conditions;
- Figure 15 is a block diagram illustrating an example interface that displays potential profit drop off indicators in relation to a trader's realized profit indicator.
- preferred embodiments provide a graphical user interface that displays and dynamically updates a plurality of profit/loss ("P/L") level indicators including a realized P/L indicator, and one or more P/L indicators that are determined based on the trader's net position and current market conditions, such as the last traded price, the embodiments of which will be described in greater detail below.
- P/L profit/loss
- the trader may view potential profit levels at any time during a trading day and close his position when the market moves in a direction favorable to the trader.
- the trader can easily control his open positions and take advantage of market movements that he or she would have otherwise missed.
- the plurality of P/L indicators may be displayed in relation to a plurality of money management regions defining money management parameters designed to control trader's trading so that, based on the positions of the P/L indicators, a trader may quickly determine his current as well as potential money management parameters.
- a trader may also view a number of potential risk indicators that may aid a trader in viewing his potential losses or gains before the trader enters any order having a predetermined order quantity.
- the potential risk or gain indicators may also be displayed in relation to the money management regions so that a trader can quickly determine his potential P/L level as well as a set of money management parameters which will control the trader's trading when a trader enters an order having a predetermined order quantity and when the market moves a predetermined number of ticks up or down, as defined by one or more risk/gain indicators.
- the preferred embodiments provide a method and a system that preferably operates as a money management tool by dynamically modifying an order parameter such as an order quantity to prevent or reduce losses or increase trader's profits. That is, it preferably operates as a frader' s conscience or an automatic trading tool that prevents a trader from losing money by restricting certain orders from being sent to the exchange and/or by modifying the orders before they are sent to the exchange. By reducing potential losses that might have been caused by such unchanged orders, a frader or trading house can benefit with increased profits. Additionally, the system can be programmed to dynamically loosen the restrictions set on certain orders when the frader or automatic trading tool is making money. Advantages, including those described directly above, will become readily apparent to one skilled in the art upon reading the description herein.
- a frader or some automatic trading tool sends an order to buy or sell a tradeable object to an exchange.
- the system intercepts the order and attempts to match it to one or more specific filters, which have been set by a trader or system administrator.
- the one or more filters may be based on a plurality of filter criteria such as dynamically computed trader's P/L levels.
- a filter criterion may be based on a realized, net, or open P/L level, the embodiments of which will be described below.
- the order can match one or more filters, and if there is a conflict between the filters, the most conservative condition may control.
- This preferred process may result in sending a modified order to the exchange, preventing the order from reaching the exchange, or sending the order to the exchange without any modifications, the embodiments of which will be described further below.
- FIG. 1 is a block diagram that illusfrates an electronic trading system 100 in accordance with the preferred embodiments.
- the system 100 includes one or more exchanges 102, 104, 106 and one or more client devices 108, 110, 112. Intermediate devices such as gateways 114, 116, 118, routers, and other such types of client devices may be used to connect network 120 to networks 122, 124, 126 so that client devices 108, 110 and 112 and exchanges 102, 104, and 106 can communicate market information. It should be understood that the present invention is not limited to any particular system configuration. For example, networks 122, 124, and 126, or client devices 108, 110, 112 could connect separately to gateways 114, 116, 118. Of course, there are many other system configurations on which the preferred embodiments may be implemented.
- Host exchanges 102, 104, and 106 may represent electronic exchanges such as, for example, the London International Financial Futures and Options Exchange (“LIFFE”), the Chicago Board of Trade (“CBOT”), the New York Stock Exchange (“NYSE”), the Chicago Mercantile Exchange (“CME”), the German stock exchange- Exchange Electronic Trading (“Xetra”), or the European Exchange (“Eurex”), or any other exchange, which may include basic to more complex systems that automatically and electronically match incoming orders.
- LIFFE London International Financial Futures and Options Exchange
- CBOT Chicago Board of Trade
- NYSE New York Stock Exchange
- CME Chicago Mercantile Exchange
- Xetra German stock exchange- Exchange Electronic Trading
- Eurex European Exchange
- Exchanges 102, 104, 106 allow traders to log onto a market to trade tradeable objects.
- tradeable objects refers simply to anything that can be traded with a quantity and/or price. It includes, but is not limited to, all types of tradeable objects such as financial products, which can include, for example, stocks, options, bonds, futures, currency, and warrants, as well as funds, derivatives and metals.
- the tradeable object may be "real,” such as products that are listed by an exchange for trading, or "synthetic,” such as a combination of real products that is created by the user.
- a tradeable object could actually be a combination of other tradeable objects, such as a class of tradeable objects.
- An exchange 102, 104, 106 can implement numerous types of order execution algorithms, and sometimes the type of algorithm depends on the tradeable object being fraded.
- the preferred embodiments may be adapted by one skilled in the art of work with any particular order execution algorithm.
- Some example order execution algorithms include first-in-first-out and pro rata algorithms.
- the first-in-first-out (FIFO) algorithm used for some markets listed with Eurex for example, gives priority to the first person to place an order.
- the pro rata algorithm used for some markets listed with LIFFE for example, splits all orders for the same price.
- the present invention is not limited to any particular type of order execution algorithm.
- each exchange 102, 104, and 106 preferably provides similar types of information to subscribing devices 108, 110, and 112.
- Market information may include data that represents the inside market, which is the lowest sell price (best ask) and the highest buy price (best bid) at a particular point in time.
- Market information may also include market depth.
- Market depth refers to quantities available at the inside market and can also refer to quantities available at other prices away from the inside market.
- the quantity available at a given price level is usually provided by the host exchange in aggregate sums. In other words, the exchange usually provides the total buy quantity and the total sell quantity available in the market at a particular price level in its data feed. The extent of the market depth available to a trader usually depends on the exchange.
- Gateway Gateways 114, 116, 118 are devices such as a mainframe, superminicomputer, minicomputer workstation, microcomputer that connect network 120 to networks 122, 124, 126 so that market information can be successfully passed between client devices 108, 110, 112 and exchanges 102, 104, 106.
- Gateways 114, 116, 118 preferably receive market information from the exchanges 102, 104, and 106 and convert it to a format compatible with the protocols used by the client devices 108, 110, 112 using conversion techniques known in the art. Also, as known by those skilled in the art, gateways 114, 116, 118 may have one or more servers to support data feeds, such as a price server for processing price information, an order server for processing order information, and a fill server for processing fill information. A frader at one of the client devices 108, 110, 112 can subscribe to price information, order information, and fill information for a particular market hosted at the exchanges 102, 104, and 106.
- the gateways 114, 116, and 118 also preferably receive transaction information, such as orders, order changes, queries, etc., from the client devices 108, 110, and 112 and forward that information to corresponding exchanges 102, 104, and 106.
- transaction information such as orders, order changes, queries, etc.
- the client devices 108, 110, and 112 are devices that provide an interface for traders to trade at one or more markets listed with one, some, or all of the exchanges 102, 104, and 106. Some examples of client devices include a personal computer, laptop computer, handheld computer, and so forth.
- the processor and memory both well known computer components, are not shown in Figure 1 for sake of clarity.
- the processor has enough processing power to handle and process various types of market information. It should be understood that more market information is received and processed, the more processing power is preferred. However, any present day processor has enough capability to perform at least the most basic part of the present invention.
- Memory may include a computer readable medium.
- the term computer readable medium refers to any medium that participates in providing insfructions to processor for execution. Such a medium may take many forms, including but not limited to, non-volatile media, and transmission media.
- Non-volatile media includes, for example, optical or magnetic disks, such as a storage device.
- Volatile media include dynamic memory, such as main memory or random access memory ("RAM").
- Computer-readable media include, for example, a floppy disk, a flexible disk, a hard disk, a magnetic tape, or any other magnetic medium, a CD-ROM, any optical medium, punch cards, paper tape, any other physical medium with patterns of holes, a RAM, a PROM, and EPROM, a FLASH-EPROM, and any other memory chip or cartridge, or any other medium from which a computer can read.
- the client devices 108, 110, and 112 receive market information from any of the exchanges 102, 104, and 106. According to the preferred embodiments, market information is displayed to the frader(s) on the visual output device or display device of the client devices 108, 110, and 112.
- the output device can be any type of display.
- the display could be a CRT-based video display, an LCD-based or a gas plasma-based flat-panel display, a display that shows three-dimensional images, or some other display type.
- the present invention is not limited to any particular type of display.
- a frader may wish to send orders to an exchange, cancel orders in a market, query an exchange, and so on.
- the frader may input various commands or signals into the client devices 108, 110, and 112, for example, by typing into a keyboard, inputting commands through a mouse, or inputting commands or signals through some other input devices.
- the client devices 108, 110, and 112 preferably generate fransaction information. For instance, a trader may click a mouse button to initiate an order to buy a tradeable object. Then, fransaction information would include an order to buy a particular quantity of the tradeable object at a particular price.
- FIG. 2 shows an example overview of the money management application 200, referred hereinafter interchangeably as a money management module.
- the money management module 200 may be implemented on any type of computing device. In the preferred embodiment, the money management module 200 is implemented on a client device. Alternatively, the money management module 200 may be implemented on any type of computing device.
- the money management module 200 preferably includes one or more filters 202.
- Each filter is made up of certain filter criteria that is preferably set by an individual, such as by a trader himself or by an administrator.
- the filter criteria may include criteria that are based on the order itself, such as the name of an exchange, a tradeable object, a type of order, e.g., whether the order is a buy or a sell, a range of price levels, or a range of quantities.
- the filter criteria may include criteria that are based on factors other than those related to the order, such as, for example, trader's profit and loss ("P/L”) information, last fraded price, last traded quantity, theoretical values, or other variables.
- P/L trader's profit and loss
- the money management application 200 may determine filter criteria dynamically based on trader-related data or order data, e.g., order data being sent from a client device to an exchange, or based on order-related data that is received from the exchange in a data feed, data from any outside sources such as employment numbers or interest rates, or any data coming from an exchange such as price information, for example.
- Dynamic filter criteria may include a trader's net position, profit levels, a total working buy/sell quantity, a total filled buy/sell quantity, or any data that is received from the exchange or outside sources such as any news.
- the filter criteria may be time-based so that time-based filters may be used in combination with another set of filter conditions. In such an embodiment, if more than one filter applies to the order, the most conservative filter conditions will control order parameters. Alternatively, the time-based filter may suppress other filters for the time period associated with the filter.
- filter criteria may be based on different types of P/L levels including an open, net, or realized P/L level. Further, for example, filter criteria may be based on any user-configurable equations that may include a plurality of user-configurable factors that are based on data available from an exchange or other sources. It should be understood that many other filter criteria are possible as well, and filter criteria may be user configurable. According to an example embodiment, each filter is associated with one or more filter conditions that may be applied to an incoming order if the order matches the filter criteria. This process, as will be described in greater detail below, may result in sending a modified order to an exchange.
- a certain condition associated with a filter when applied to the order, may result in modifying one or more order parameters, such as increasing or decreasing order quantity.
- an application of a certain filter condition may result in preventing the order from reaching the exchange.
- a filter condition may result in sending the order to the exchange without modifying any of the order parameters.
- the money management module 200 may enable a frader or a risk administrator to configure filters as well as any filter conditions for each filter via a graphical user interface, the embodiments of which will be discussed in greater detail below.
- the graphical user interface may provide a frader with a list of filters so that when a frader selects one of the filters from the list, a second graphical user interface may be displayed, via which the frader may define any desired filter conditions for that filter.
- a single interface may be used to enable a trader to select any desired filters and define filter conditions.
- a frader may define filters and/or filter conditions using a spreadsheet application that may be linked to the graphical user interface or money management module 200.
- a filter condition may be in a format of an equation, and a trader may enter the equation or change any variables in the equation using the spreadsheet.
- any desirable data exchange protocol could be used to embed information from the third party software to the money management module 200 or to the graphical user interface that is used to define filters and filter conditions.
- Microsoft OLE 2.0 may be used to perform these functions.
- Microsoft OLE 2.0 may be used to provide a link between any filter condition and a cell from a Microsoft EXCEL spreadsheet.
- Data exchange protocols in general, and linking as well as embedding techniques in particular, are well known to those skilled in the art.
- the spreadsheet application or any other third party software may dynamically calculate a new value for the filter condition associated with the equation.
- the money management module 200 may apply the most recently calculated filter conditions provided by the spreadsheet application, for example.
- an individual frader can uniquely set filters and filter conditions to suit his or her individual trading risk strategies.
- the trader could program the money management filters and conditions in a variety of ways and at any time such as before trading begins or on the fly.
- a system administrator who oversees a number of traders may set up a number of filters and filter conditions for a group of traders or for individual traders, thus creating a money management program that controls trades of the group of traders.
- the money management module 200 can execute the program by applying the pre-configured filter criteria and filter conditions to the order.
- Figure 3 is a flow chart illustrating an example method 300 for money management in an electronic trading environment.
- the money management module 200 may perform the method 300.
- the example method 300 includes receiving an order at step 302, applying a first filter at step 304, determining if the filter is applicable to the order at step 306, then, if the filter is applicable, applying conditions associated with the filter at step 308, and determining if there are any other filters to be applied to the order at step 310. If there are any other applicable filters, the method 300 includes retrieving the next filter at step 314, and then repeating steps 304, 306, 308, and 310 until there are no more filters that are applicable to the order. If there are no more filters, the method 300 includes, at step 312, processing the order based on the applied conditions.
- money management module 200 detects a new order being placed by a frader. It should be understood that a trader may input a new order using many different trading applications and interfaces. In one embodiment, a trader may use a commercially available trading application, XJTRADER® from Trading Technologies International, Inc. of Chicago, Illinois, that allows the frader to frade in a system like the one shown in Figure 1. XJTRADER® also provides an electronic trading interface,
- MD TraderTM in which working orders and/or bid and ask quantities are
- the preferred embodiments are not limited to any particular product that allows a frader to input orders and frade in the system like the one shown in Figure 1.
- the money management module 200 and a trading application may share commonly used information so that, for example, the money management module 200 may have access to any data provided via data feeds from an exchange, such as information related to any fills related to orders submitted by a particular trader, and also to any data entered by a frader via a trading application interface.
- the money management module 200 may access a set of pre-configured filters and then may apply a first filter to the order.
- a filter may include one or more filter criteria, such as, for example, a frader' s identifier, a name of a predetermined tradable object, a type of the order, e.g., a buy or a sell, or any other trader-related filter criteria such as criteria related to trader's performance, for example.
- the money management module 200 determines if one or more criteria associated with the first filter apply to the received order.
- a filter may include one or more user configurable criteria. If a filter includes a plurality of filter criteria, the order preferably matches all identified filter criteria for the filter to be applicable.
- the money management module 200 applies one or more conditions associated with the filter to the order parameters. For example, the application of a filter condition to an order may result in decrementing or incrementing the quantity associated with the order when the order is submitted to the exchange. If the money management module 200 determines that the first filter does not apply to the order, the method 300 continues at step 310, and the money management module 200 determines if there are more filters to be applied to the order. If there are any other filters, at step 314, the money management module 200 selects a next filter from the list of filters, and the method 300 continues at steps 304, 306, 308, and 310.
- the money management module 200 applies conditions imposed by the filter(s) to parameters associated with the order.
- the order may be sent to the exchange.
- sending the order to the exchange may involve sending the original order with no conditions, e.g., the original order with its non- modified order parameters, or sending the original order with conditions, e.g., the original order having one or more of its order parameters modified based on the conditions of the applicable filter(s).
- the application of filter conditions may result in not sending the order to the exchange, e.g., effectively preventing the order from reaching the exchange.
- a message may be displayed for a frader so that a trader is aware that the order was not sent to the exchange.
- a message may also be displayed to inform a frader of any order modifications such as order quantity modifications, for example.
- the money management module 200 may also determine and display to a frader via one or more graphical interfaces, in combination with or separately from the money management filters, one or more P/L level indicators that may allow a trader to view his/her profit information at any time during a trading day and that may assist a trader in making profitable trades.
- Figures 4, 5, 6, 7 and 8 illustrate example graphical interfaces that display profit related indicators associated with a plurality of profit levels.
- Figures 9, 10 and 12 illustrate example graphical interfaces that enable a frader to configure and view filters and filter conditions that may be used for automatic money management.
- Figures 11 and 13 displays an example graphical interface that may be used to display money management filters and profit indicators.
- Figures 14 and 15 are example graphical interfaces that display potential loss drop-off indicators that may be used to verify filter configurations and to assist a frader in making new trades and his/her trading strategy.
- a graphical interface may display to a trader a plurality of P/L indicators that may assist a frader in maldng profitable trades as well as allow a trader to view his current as well as potential P/L levels at any time during a trading day.
- the P/L indicators include indicators corresponding to realized, net, and open P/L levels, the methods of calculating each of them will be described hereinafter.
- the realized P/L level is based on a difference between the total sell price and the total buy price associated with trader's trades related to a tradeable object. Therefore, the realized P/L level may be calculated using the following formula:
- the Realized P/L is calculated when the trader's net position is zero such as, for example, when a frader buys 30 lots first and then sells 30 lots.
- the Realized P/L could be determined when a trader's net position crosses zero.
- the Realized P/L may be determined based on 30 buys at 100 and 30 sells at 101, leaving the net position of 20.
- the Realized P/L may be determined by mapping each new fill to one of the quantities associated with the net position.
- the quantity of 2 may be matched with one of the buy order quantities that got filled to establish the net position of 30, thus creating a new net position of 28.
- matching of the orders may be done in any manner. For example, if a frader entered a plurality of buy orders to establish the position of 30, the sell order quantity may be matched with a buy order quantity and price associated with the first buy order. Alternatively, the sell quantity may be matched with a buy order quantity and price associated with the last buy order that was entered to create the net position of 30.
- an average buy price may be calculated for all buy orders, and the average price of all orders may be used as a basis for determining the Realized P/L. It should be understood that a user could also define how and when the Realized P/L is calculated. According to an example embodiment, the Realized P/L level may be dynamically updated based on market updates being received from one or more exchanges so that the Realized P/L level may be updated every time one of the conditions described above is detected.
- the net profit level may be determined when the trader's net position is nonzero, such as when the trader holds a position on the market. Therefore, the net profit level is determined based on the trader's net position and the current market conditions, such as the last traded price being received from the exchange. Preferably, the net position is calculated based on the buy and sell orders that have been filled excluding working orders, which may be used for risk analysis, as will be described below. It should be understood that when the trader's net position or the last traded price changes, the net P/L level is dynamically recalculated to reflect each change.
- the first factor "(Sells - Buys)" corresponds to the cost of every buy and sell that a frader has made
- the second factor "(Net Position x Market Price)” is an adjustment factor as if the trader was to trade out of his open positions in the current market, such as based on the last fraded price corresponding to a predetermined tradeable object. Therefore, using the net P/L, the trader can easily determine the profit or loss that the trader would incur if he/she were to close the pending positions at the last traded price.
- other prices other than the last fraded price could also be used to reflect the current market conditions.
- a bid/ask price at the inside market could be used in place of the last fraded price so that when a trader's net position is negative, the bid price at the inside market is used, and when a trader's position is positive, the ask price at the inside market is used instead.
- different or equivalent prices could also be used.
- the Net P/L may be used as a factor in any other equations to calculate different types of P/Ls.
- the Open P/L could be calculated by subtracting the Realized P/L from the Net P/L.
- the Open P/L level may be calculated using the following formula:
- the trader can easily view the risk that the trader is taking by keeping his positions opened at the current market level.
- the Open P/L is zero as there has been no market movement since the frader entered into the position of -20, i.e., sold 50 lots at 101.
- the market move is favorable to the frader since the trader has the open position of -20 that he entered by selling at 101.
- FIG. 4 is a block diagram illustrating an example graphical interface 400 for displaying P/L information related to a tradeable object being traded by a trader at one or more electronic exchanges.
- the interface 400 displays a number of graphical and numerical indicators corresponding to the Realized P/L and Net P/L levels. More specifically, graphical indicators 424 and 426 correspond to the Realized and Net P/Ls, respectively, and the numerical indicators 404, 410 display actual values (120, 200) corresponding to the two P/L levels. It should be understood that the distance between the net and realized indicators corresponds to the Open P/L. Thus, in the embodiment illustrated in Figure 4, where the P/L scale (x-axis) increases to the left, the Open P/L is positive and indicates that the frader is making money in the current market. It should be understood that the x-axis could also display values increasing from left to right as well.
- the Open P/L is 80.
- the height of the Net P/L indicator may correspond to the trader's Net Position.
- the quantity scale that in this and following examples is used to display the Net Position, is displayed on the y-axis of the graphical indicator window, and the height of the indicator 426 corresponds to the net position of 25.
- a numerical value corresponding to the net position could be displayed in relation to the indicator 426.
- the indicator 426 is preferably color-coded to distinguish a long (positive) position from a short (negative) net position. For example, red and blue could be used where the red indicator would correspond to the short position, and the blue indicator corresponds to the long position. However, different colors could also be applied to the indicator. Additionally, it should be understood that the graphical display could be configured in any manner so that the values on the x-axis, for example, in this Figure as well as subsequent Figures could increase in a traditional manner to the right rather than to the left. Further, the axis could be displayed in any manner as well, such as at angles that can be user configurable.
- each graphical profit indicator may be mapped to and displayed in one of a plurality of money management regions that correspond to a plurality of money management filters.
- a money management filter is defined using one or more filter criteria and is associated with a set of parameters that control trader's trading.
- a filter criterion corresponds to a predetermined profit range
- the controlling parameters may define a maximum order quantity that a frader may submit with any order, and a maximum net position that the trader may hold based on the trader's profit level.
- a frader or a system administrator may configure which of the P/L levels controls selection of the filters.
- the order quantity is modified to the value associated with the maximum order quantity defined by the filter.
- the Net P/L level, Open P/L level, the Realized P/L level, or a combination thereof may determine the filter selection for the money management purposes, and the maximum order quantity as well as the maximum net position may be determined using an equation defined for each filter so that more than one order quantity can be associated with each filter.
- the money management module may guard and limit trader's losses if the market moves in a direction that is not favorable to a frader. Then, the change in the trader's Open and Net P/Ls, which dynamically change based on the market movement, may consequently move the frader to the lower/higher filter associated with a higher/lower maximum order quantity and maximum net position. Therefore, when the market moves against the trader's position, the trader will be allowed to trade lower order quantities as compared to order quantities that a frader may frade if the market moves in a direction favorable to a frader.
- the money management module may prevent the frader from further increasing his net position by preventing another order that would increase the trader's net position from being sent to the exchange.
- each frader may also create his own set of filters.
- the trader-created filters may be based on the same or different filter criteria and associated filter conditions as the filters created by the administrator.
- the money management module may apply two sets of filters to an incoming order, and if two or more applicable filters conflict, the most conservative filter condition may be selected to control the orders being sent to the exchange. This embodiment may be especially useful when a frader is willing to risk less than what he is allowed to based on the filters that have been set up by the system administrator.
- the filter conditions may include a maximum order quantity and a maximum net position.
- the graphical interface 400 may also display filter conditions determined for each P/L level.
- the trader's Realized P/L 404 corresponds to a money management filter associated with a maximum order quantity 406 of 24 and a maximum net position 408 of 40.
- the Net P/L 410 corresponds to a different money management filter associated with a maximum order quantity 412 of 44 and a maximum net position 414 of 88.
- the Open P/L 416 is associated with the filter conditions including a maximum order quantity 418 of 30, and a maximum net position 420 of 50.
- the graphical interface 400 may also display numerical profit levels including the trader's maximum, minimum, and current realized profit levels of 414, -249, and 120, as shown at 422. It should be understood that the P/L levels do not necessarily have to reflect the P/L levels determined for the entire trading day interval. Alternatively, a frader may select a shorter time interval, such as the last hour, for which the maximum, minimum, and current realized P/L levels may be determined, and the values of which may be dynamically displayed via the graphical interface. Additionally, it should be understood that the graphical interface 400 may also display numerical values for maximum, minimum, and current profit levels related to other P/L levels, such as the Net P/L and/or Open P/L levels.
- positions of profit indicators on the graphical interface may be dynamically updated every time a new P/L level is recalculated based on market condition changes, such as last traded price changes, or based on changes in the trader's net position.
- the re-calculation is done dynamically based on information being provided from the exchange, and every time a new net position or last traded price is detected, the P/L levels are recalculated.
- the respective P/L indicators, the Net and Open P/L indicators in this example may be repositioned to the new level to reflect the change. Similar updates may occur when a changed in the trader's net position is detected.
- the example embodiments for displaying trader's profit related information are not limited to the display illustrated in Figure 4.
- the graphical interface could be divided into a plurality of windows or areas, and each window may display graphical and/or numerical profit level indicators associated with one of the plurality of tradeable objects being traded by the trader.
- the P/L levels could be determined for all or a selected group of tradeable objects being fraded by the frader at one or more exchanges.
- the frader may view, in addition to or instead of P/L levels determined for a specific tradeable object, his/her overall and dynamically updated P/L levels.
- the money management module or the trading application may convert the P/L levels corresponding to each tradeable object to the common tick or currency value that is then used to calculate a cumulative P/L level.
- the graphical interface may display only filter conditions, e.g., the maximum order quantity and the maximum net position, corresponding to that filter.
- a frader could instead reset P/L levels to a zero level at any time during a trading day.
- the displayed P/L level is based on a P/L calculated from the zero level starting from the time when a resetting input was detected.
- the resetting input may be received via many means including, for example, any graphical selection input, or any key-combination input.
- once the reset input is detected only the reset P/Ls are displayed, and a frader may switch back to the cumulative P/L by selecting the same resetting selection input.
- the frader selects the reset input, the cumulative and reset P/L values may be displayed using different indicators.
- the P/L values control the filter selection
- the most conservative filter may control the trader's trading since the trader starts trading from the zero P/L level.
- the cumulative P/L may still control filter selection, while the graphical interface displays the reset P/L levels.
- a frader may select which of the P/L levels is reset. For example, a frader may reset only the Realized P/L or only a Net P/L.
- the graphical indicators that are used to display P/L levels are not limited to any specific format, and the indicators could have any format and could be user-configurable.
- the open, realized, and net P/L indicators may be distinguished using different colors or different indicator types.
- the indicators could also be displayed in any manner, such as horizontally, vertically, or at any angle, and in association with any trader-related or market-related information.
- the graphical user interface 400 could also be used for sending orders to one or more elecfronic exchange.
- the net P/L indicator 426 may be associated with an order-sending component for receiving a command to send an order to an elecfronic exchange as a result of a selection of an area in relation to the indicator 426 and detecting a predetermined key combination input.
- a graphical selection order input indicator could be displayed in relation to the indicators via the graphical user interface 400 so that once the graphical selection order input indicator is enabled, a frader may simply select an area in relation to the indicator 426 to send the order to the exchange.
- an order may be sent to the exchange upon selecting the indicator 426, and an order quantity may be based on a trader's net position and may be set to a quantity lower than, higher than, or equal to the trader's net position. Then, the price of the order may be determined based on a current net P/L, so that the price of the order may be based on a current market level. Alternatively, another P/L level in association with the indicator 426 may be selected, and the price of the order may be determined based on the selected P/L level and based on the price level associated with orders associated with the net position level.
- the graphical interface may also display one or more profit levels that are based on potential future market movements.
- the graphical interface may display profit levels that are based on potential market movements when the market goes against the trader's position, thus, providing to a frader a graphical representation of potential risk.
- Figure 5 is a block diagram illustrating a graphical interface 500 for displaying a plurality of profit level indicators including the indicators associated with working orders that a trader may place on the market to completely trade-out of his net position.
- the graphical interface 500 displays profit related indicators determined for the fradeable object XS 502, and includes a realized profit indicator 504 at the P/L of 110, a net profit indicator 506 at the P/L of 220, and two additional profit indicators 508 and
- the indicator 508 may be associated with a working buy order having a predetermined order quantity equal to the current net position, placed at the price level of (LTP-X), where X corresponds to a number of ticks away from the current LTP.
- the profit level associated with the indicator 508 illustrates a Realized P/L if the working order gets filled.
- the indicator 510 may correspond to a stop/limit order that a trader has placed on the market at a price level higher than the last traded price (LTP + X) to minimize his losses in case his working order associated with the indicator 508 does not get filled and the market moves against his position.
- the method of calculating the profit level corresponding to the stop working order may vary based on system configurations that are used for placing the stop orders.
- "X" may correspond to the price that triggers placement of the order on the market, and then the price where the actual order is placed on the market may vary based on the order configuration.
- the order may turn into another order, the type of which may depend on the trader's configuration.
- the actual order may be a limit order configured at a limit price that may be set to the stop price plus/minus an offset.
- the offset parameter may be statically set by a trader, or may be dynamically determined based on how fast the market moves, and in what direction the market moves at the time when the trigger price is detected. For example, a positive or negative offset may be added to X to increase the chances of the order getting filled. If such an offset is used, the money management module or the trading application may consider the offset in calculating the profit level associated with the working order. Alternatively, an offset of zero could be used so that when the market reaches the stop price, the order is placed at the stop price. Those skilled in the art will realize that many different variations are possible as well.
- a market order could be used instead of placing a limit order, so that once the stop price is detected, the order is placed at the market price so that in the fast moving market, the price at which the order is placed on the market may be a few ticks away from the stop price.
- the working order indicator may display the profit level as if the order was to get filled at the stop price rather than any other price.
- Figure 6 is a block diagram illustrating a graphical interface 600 for displaying Net P/L levels for a plurality of working orders that a trader may enter to get out of the trader's position.
- a trader's buy order having an order quantity of 30 gets filled at the price of 100 so that the trader's net position is now 30.
- the frader places four sell orders to offset his current net position of 30.
- the four sell orders include a first order having an order quantity of 20 at the price of 101 (20@101), a second order of 3@102, a third order of 5@103, and a fourth order of 2@104.
- the x-axis corresponds to the total P/L associated with working orders
- the y-axis corresponds to the quantity.
- each working order is depicted using an indicator, the length of which corresponds to the order quantity of each working order.
- the first working order is displayed at the quantity level corresponding to the net position. For example, even if only one working order has the order quantity lower than the net position, the top of such a working order indicator will be displayed at the level of the net position, and the length of the indicator will correspond to the working order quantity. Therefore, for example, an indicator 602 corresponds to the first worlcing order, where the top of the indicator is displayed at the level of the net position of 30, and the length of the indicator corresponds to the quantity associated with the first order.
- each worlcing order indicator is displayed in relation to the P/L level.
- the indicator 602 is plotted at the P/L level of 30 since the first working order corresponds to a price that is one tick higher than the originally filled order, and one tick movement based on the total working order quantity of 30 corresponds to the profit tick movement of 30. Then, assuming that the first working order gets filled, the total working order quantity would decrease to 10, and each one tick P/L movement would cause the P/L to move by 10 ticks, respectively. Therefore, the indicator 604 corresponding to the second order is plotted at the total quantity level of 10 and the P/L of 40, where the length of the indictor corresponds to the order quantity of 3.
- the indicators 606 and 608 are plotted using the same method and correspond to the third, and fourth orders. Therefore, if all worlcing orders were to get filled, the frader would realize the P/L of 49.
- the order in which the indicators are illustrated corresponds to their prices since if the market sweeps through the working orders, the first order will get filled before the second order, and the second order will get filled before the third order, etc. It should be understood, however, that if the order quantity corresponding to the working orders is higher than the filled quantity of 30, in this example, the remaining quantity represents the start of the next net position and may be graphically displayed in relation to the fourth working order indicator 610. For example, a graphical indicator with a number corresponding to the remaining working quantity could be displayed.
- a frader could modify, delete, or add worlcing orders using the graphical interface 600.
- Each working order may be associated with an order sending component such as the one described in relation to the net P/L indicator in Figure 4.
- a trader could modify a worlcing order quantity of each worlcing order by simply clicking on each working order indicator.
- a selection of the indicator may enable a display of a window, via which a trader can change the order quantity and the order price.
- a frader could simply drag the length of the indicator to modify the quantity associated with the order and also drag the indicator to a desired P/L level location.
- a frader could also delete a working order by simply selecting the working order indicator and then entering a delete selection input, which may include a graphical identifier or any key combination input.
- a frader could also enter new working orders using the methods described in reference to Figure 4, where instead of selecting an area in relation to the net P/L indicator, the trader could select the area in relation to one or more working orders. For example, referring to the example given above, if a trader has a first working order having the order quantity of 20 at 101, and the second order having the order quantity of 10 at 103, a trader may input another working order between the two orders by entering a predetermined selection input, such as entering a predetermined key combination, or a mouse input, and then inputting an order quantity via a pop-up window.
- a predetermined selection input such as entering a predetermined key combination, or a mouse input
- the P/L level at which the order is entered may be used to determine a price level at which to enter the order.
- the price could be determined by reversing the method that was used to determine P/L levels for the worlcing orders. Therefore, the price level for a working order may be determined relative to the price of the filled order, i.e., 100 in this example.
- the order quantity of the original second order may be modified to 5 so that the sum of the quantities is still equal to 30.
- the order quantity of the original second order may remain the same, so that when all working orders are filled, the trader will end up with a net position of -5, since the working order is this examples are sell working orders. Therefore, a frader may input working orders when a fill quantity is detected for another order so that the working orders are used to exit the net position.
- a worlcing order frade-out mechanism may be provided so that when a predetermined selection input is detected, and then a frader selects one of the worlcing order indicators, for example, the order quantity corresponding to that order could change to a quantity that is required to get out of the net position.
- the predetermined selection input can correspond to a graphical indicator, a key combination input, or any other input means.
- the frader can select the indicator 604, which would then cause the working order quantity of 3 to be changed to the working order quantity of 10.
- the working order frade-out mechanism may then cause the third and fourth orders to be deleted. Alternatively, the third and fourth order may remain on the market, but the fill of the orders would result in a non-zero net position.
- the working order indicators could be also displayed in combination with the Net P/L indicator and the Realized P/L indicator.
- Figure 7 illusfrates one example embodiment for displaying a plurality of worlcing order indicators in combination with a Net P/L indicator and a Realized P/L indicator.
- the graphical interface 700 displays a Realized P/L indicator 702, a Net P/L indicator 704 that is based on a market price and the net position that a trader is holding, so that the indicator 704 moves based on the market movements.
- the graphical interface also includes a plurality of working order indicators 706, 708, 710, and 712. Therefore, when the market moves to the price level associated with the first worlcing order 706, and
- the order gets filled the Net P/L indicator will move to the P/L level corresponding to the first order 706. Additionally, since the net position will be decreased as the result of the fill, the length of the Net P/L indicator will decrease as well.
- An example, Net P/L indicator 714 is displayed to illustrate such an embodiment. It should be understood that if the market moves to price levels associated with other working orders, the Net P/L indicator will move to the P/L positions associated with the orders, and the length of the Net P/L indicator will decrease respectively. Therefore, once all working orders get filled, and if the worlcing order quantity is equal to the net position, the Realized P/L indicator 702 will move to the P/L level corresponding to the working order indicator 712.
- Figure 8 is a block diagram illustrating a graphical interface 800 for displaying a plurality of net profit levels based on potential market movements. More specifically, the graphical interface displays a Net P/L level indicator 802 associated with a Net P/L level of 390 and a Net position ("NP") of 50.
- the graphical display interface 800 displays a number of graphical indicators associated with a plurality of potential P/L levels that may result when the market moves against the trader's position, e.g., as if the frader were to get out of or close his position at that point in time. As shown in Figure 8, three potential profit levels 804, 806, and 808 are illustrated based on the market dropping by 1, 2, and 3 ticks from the current market level, respectively.
- the frader can easily view potential profit levels such as if the market was to move against the trader's position.
- potential profit levels such as if the market was to move against the trader's position.
- the trader's net profit as shown at 804, will decrease to 340 (390-current Net P/L minus 50-net position multiplied by 1 tick).
- the trader's net profit will decrease to 290 and 240, respectively.
- the potential net P/L indicators may be based on the trader's average loss.
- the money management module may determine a trader's average loss during a trading day based on an average number of ticks that a frader tends to lose on losing trades. For example, the money management module may dynamically update the frader' s average loss during a trading day based on the trader's performance.
- the trader's average loss may correspond to a specific time interval such as the last hour of the trader's trading. It should be understood that a frader or system adminisfrator may specify how and based on what time interval the average loss is calculated.
- the trader's average loss may be used to determine another set of potential Net P/L indicators.
- all potential net P/L loss indicators displayed via the interface 800 may be based on the trader's average loss rather than the fixed tick loss.
- the indicator 806 could correspond to a potential Net P/L determined based on the trader's average loss
- the indicator 804 may correspond to Net P/L determined based on one half of the trader's average loss
- the indicator 806 may correspond to Net P/L determined based on twice the trader's average loss.
- the average loss similarly to the realized P/L level, may be computed when the trader's net position reaches or crosses the zero level. It should be understood that different indicators associated with the trader's loss information can be displayed as well. For example, the money management module or the trading application could compute a percentage of losing orders (e.g., orders that resulted in the loss of profit), and the average cost of each loss, the values of which could be displayed via the graphical interface 800. Further, as will be described in greater detail below, trader's average loss could also be used as one of the factors in determining when the frader is moved to the lower money management filter.
- a money management filter may be defined using one or more filter criteria and filter conditions.
- filter criteria may include one or more of the following criteria: Open P/L, Realized P/L, Net P/L, trader's net position, available credit, a number of transactions, a transaction/fill ratio, a change in net position, or a type of fradeable object, and any other trader-related or market-related data.
- the P/L levels associated with filter criteria may be calculated for a specific fradeable object or a combination of fradeable objects being fraded by a frader.
- Figure 9 is a block diagram illustrating an example money management interface 900 that a trader or a system administrator may use to define filter criteria and filter conditions.
- a frader or a system adminisfrator may define via a profile name window 902 a filter profile that may include a combination of filters.
- the filters in the filter profile may be based on different filter criteria, however, if two or more filters are applicable to the incoming order, and their filter conditions conflict, the most conservative filter condition will preferably be used.
- a filter may be configured so that only filter conditions associated with the filter will control order parameters even if another filter associated with a different set of filter conditions applies.
- the profile may be created for a predeteraiined fradeable object or a group of fradeable objects being fraded by the frader, and the trader may select one or more fradeable object to be associated with the profile using a fradeable object pull down menu 904.
- the filter criteria 906 are based on the Open P/L level, and each filter is associated with a P/L threshold level 908 that then maps to a number of filter conditions including a maximum order quantity 912 and a maximum net position 914.
- the filter criteria may be based on the Net P/L level or a combination of different P/L levels.
- a frader may also define one or more refraction levels that are configured to limit trader's losses once a frader reaches a predetermined profit level.
- the profit levels and retraction levels may be defined using many methods. For example, the profit levels and retraction levels may be defined in ticks or currency, and the refraction levels could also be defined as a percentage of the maximum P/L.
- the frader may trade the maximum order quantity of 5 and may hold the maximum net position of 10.
- the net position may be determined using different methods, and a frader or system administrator may define which orders are taken into consideration to calculate the net position.
- the trader's open P/L reaches the value of 10 and then falls to the level of 7, as shown in the refraction level column 910, the trader's ability to trade is limited to the order quantities of 3 and the maximum net position of 6.
- the frader is limited to frade order quantities of 3 to frade down to the position of 0.
- the frader may save the profile by simply selecting a save selection input 916. Alternatively, the frader may quickly delete the profile by selecting a delete selection input 918. Further, alternatively, the trader may quickly exit the money management setup interface 900 by selecting a cancel selection input 920.
- the frader may easily refrieve and edit the profile's filter criteria and conditions by selecting the profile's name using the pull down profile menu 902.
- the system adminisfrator may set up authorization rules defining one or more traders or system administrators who can create, edit, enable, disable, or reset limits created for the group of traders.
- Filter selection may be modified based on the trader's performance such as a percentage of losing frades, or average cost of all losses incurred by a frader during a trading day.
- the money management module may monitor a number of losing frades associated with the frader when the trader is being controlled by a predetermined filter and then use that number as a filter selection overriding mechanism. For example, a frader may configure a number of losing frades that a trader may incur while being controlled by a specific filter.
- the less restricting filter may still control the trader's trading until another losing frade is detected, for example.
- a number of losing frades that would allow a frader to remain under the control of the less restricting filter could be user configurable.
- Figure 10 is a block diagram illustrating a monitoring interface that allows a trader to view market conditions and limitations imposed on each tradeable object or a group of the fradeable objects associated with the created filters.
- the money management monitoring interface 1000 displays a name of each profile 1002, a name or names of tradeable object(s) 1004 associated with each profile, "limits on" indicators 1006 that may be used to enable filters for the specific fradeable object, a quantity associated with working orders 1008, a trader's net position 1010, a maximum P/L 1012 and a minimum P/L 1014 determined for a frader during a trading day, a current P/L 1016, as well as effective current limits 1018 including a maximum net position and a maximum order quantity that are currently imposed on a trader based on the trader's current P/L level.
- the current P/L 1016 may display the P/L level associated with each fradeable object as well as the combined P/L level associated with all or some fradeable objects in the profile. It should be understood that the current P/L 1016 can be associated with any P/L specified by the frader such as an Open, Realized, Net P/L level, or the combination thereof. It should be understood that a frader may add or delete columns in the money management interface 1000 and specify which of the described or additional parameters are to be displayed via the interface.
- Figure 11 is a block diagram illustrating a graphical interface 1100 that displays frader related P/L information in combination with money management filter related data.
- the graphical interface 1100 displays a number of filter triggers 1126 associated with a plurality of P/L trigger levels that, in this example, are associated with Net P/L trigger levels.
- each P/L trigger level maps to one or more filters defining a maximum order quantity and a maximum net position.
- the trigger corresponding to the trader's Net P/L level may be highlighted so that the trader can easily tell which filter level or filter band is used to currently control the trader's trades.
- the graphical interface 1100 may display via a money management filter region 1104 one or more filters corresponding to that P/L trigger.
- the P/L trigger level of 300 corresponds to four filters including the main filter 1128, and three loss-limiting filters 1130, 1132, and.1134.
- the main filter 1128 controls the orders being sent by a trader to an exchange when the frader's open P/L level is between 300 and 450 profit levels. More specifically, the filter 1128 limits the order quantity that a trader may submit to the exchange to the maximum order quantity of 44, and further limits the trader's net position to the maximum net position of 88.
- one of the loss-limiting filters corresponding to the Net P/L trigger level of 300 controls the frader's orders. For example, if the frader's Net P/L drops to a profit level between the 200 and 300 profit range, filter conditions associated with the filter 1130, e.g., a maximum order quantity of 31 and a net position of 62, may confrol the orders being sent by the frader.
- filter conditions associated with the filter 1132 including a maximum order quantity of 24 and a maximum net position of 48, control the trader's orders being sent to the exchange.
- the frader's profit level reaches the profit level below 150, the frader is limited to the order quantity of 16 and a net position of 0 so that a frader is forced to frade out rather than to submit orders that increase the frader's net position.
- the frader's frading is controlled by the filter conditions of that band.
- filters 1128, 1130, 1132, and 1134 associated with the filter trigger of 450 may confrol the frader's frading.
- the trader's frading will be controlled by the filter conditions associated with the filter 1132 rather than some other filter that is associated with a different band and having the same P/L level as one of its filter criteria.
- the present invention is not limited to the graphical interface described in reference to Figure 11.
- the money management region 1104 may be color-coded so that, for example, different colors or different shades of the same color correspond to different sets of money management parameters, such as different maximum order quantities and maximum net positions. Different embodiments are possible as well.
- a trader in addition to selecting applicable filters based on the profit levels, other methods may be provided to a trader to further confrol filter selection.
- One example method is a permanent pullback that prevents the trader from advancing to a higher filter once the frader drops to the lower one.
- the permanent pullback option lets assume that the frader's frades are being initially controlled by the filter 1130, and then the frader starts losing money and drops down to the lower filter such as the filter 1132. With the permanent pullback enabled, even when the frader advances back to the profit level associated with the filter 1130, the frader is still limited by the filter conditions associated with the filter 1132.
- a trader may be able to advance to a higher filter only when the trader gets to a profit level that advances the trader to another filter band, such as P/L of 450 in Figure 11.
- a filter band such as P/L of 450 in Figure 11.
- two indicators associated with the permanent pullback option and the band advance option may be displayed to a frader when the filter configures filter parameters via a filter configuration window.
- a frader may enable the permanent pullback at any time during trading as well.
- the permanent pullback could be disabled at other times of the frader's trading, such as when the frader advances a predetermined number of filters within the filter band.
- the money management region 1104 In addition to displaying a number of money management filters, the money management region 1104 also displays profit indicators that are dynamically updated during a frading day to reflect current profit levels associated with the frader. It should be understood that a frader may select which of the profit indicators are displayed via the money management filter region 1104.
- Figure 11 illusfrates two P/L indicators including a Net P/L indicator 1124 and a Realized P/L indicator 1122 that are dynamically updated throughout the frading day upon detecting a change in the corresponding profit levels. As shown in Figure 11, the Realized P/L is at 175, and the Net P/L is at 400. It should be understood that a trader may configure graphical representation of each profit indicator, such as the shape or color of each indicator, so that the frader can easily distinguish between the two or more indicators.
- the profit indicators correspond to a predetermined tradeable object, here the fradeable object XS 1102.
- additional profit indicators could be displayed via the money management region 1104, such as overall profit indicators determined based on P/L levels associated with all or some tradeable objects being fraded by the trader.
- the money management filter region 1104 could also display a plurality of P/L indicators determined based on worlcing orders that a trader has on the market. It should be understood that if a trader has a large number of worlcing orders on the market, the potential profit levels associated with those orders may be combined and displayed using a single P/L indicator.
- the graphical interface 1100 may also display a number of numerical indicators.
- the indicators include a working buy order indicator 1106 that displays a working buy quantity of 20, a working sell order indicator 1108 that displays a working sell quantity of 0, and a trader's net position 1110 that displays a trader's net position of -20.
- the P/L levels may be displayed using numerical P/L indicators 1112.
- the P/L indicators 1112 correspond to the Net P/L levels and include the maximum Net P/L level of 414 that the frader has held during the trading day, the minimum Net P/L level of -249, and the current Net P/L level of 400. It should be understood that the profit levels may be distinguished using different colors or graphical indicators.
- each filter may be associated with different maximum order quantities depending on whether a frader submits a buy or sell order.
- the graphical interface 1100 may also display numerical indicators 1118 and 1120 associated with the maximum order quantity and the maximum position that a frader may hold based on the trader's current profit level.
- numerical values for the indicators 1118 and 1120 are determined based on the trader's net P/L level associated with the fradeable object XS 1102.
- the values may be determined based on any user-configurable profit level associated with one or more tradeable objects being fraded by one or more traders.
- a trader may also use the money management filter region 1104 for filter configuration purposes. For example, when the graphical interface 1100 is opened for the first time, the money management filter region 1104 can display a plurality of default filter/money management regions such as the regions 1128, 1130, 1132, and 1134. Then, a trader may click on each of the regions to configure the maximum order quantity, the maximum net position, and the profit range for each of the regions. In one embodiment, a frader may simply change default values being displayed in association with each filter to desired values.
- a frader may click on the filter region, and a pop-up window could be displayed via which a frader may enter filter criteria and conditions for one or more filters.
- a frader may configure the filters using a configuration interface such as the one illusfrated in Figure 9, for example, and once the configuration is finished, the configured filters may be displayed via the money management filter region 1104.
- a trader may simply drag the boundaries of each filter region to desired locations corresponding to a predetermined profit range, as well as a maximum order quantity and a maximum net position.
- a configuration selection input may be displayed on the graphical interface 1100 that, when selected, may invoke another window via which the frader can configure a number of filters for each of the trigger levels.
- Figure 12 is a block diagram illustrating an example graphical interface 1200 via which a trader can configure a plurality of filters for each of the P/L trigger levels.
- the graphical interface 1200 may be invoked when the frader specifies P/L trigger levels via the graphical interface 1200 and then selects a configuration selection input to configure a plurality of money management filters for each of the levels, for example.
- the graphical interface 1200 displays only three P/L trigger levels; however, it should be understood that a frader could specify more or fewer trigger levels.
- Each profit level may be displayed in association with a plurality of default filter regions 1202, 1214, and 1224, and a frader may configure numerical values for each filter criteria and filter conditions by simply modifying default values being displayed in association with each filter to the desired values, or by dragging the edges of each filter to the desired profit, quantity and net position levels.
- Figure 12 illustrates three profit trigger levels including P/L trigger levels of 150, 300, and 450, respectively.
- P/L trigger levels are then associated with a plurality of filters, so that, for example, the P/L trigger 450 is associated with five filters 1204, 1206, 1208, 1210, and 1212, and the P/L triggers 300 and 150 are associated with four filters each, 1216, 1218, 1220, and 1222 for the P/L trigger 300, and filters 1226, 1228, 1230, and 1232 for the P/L trigger 150.
- filters 1216, 1218, 1220, and 1222 for the P/L trigger 300
- filters 1226, 1228, 1230, and 1232 for the P/L trigger 150.
- more or fewer filters could be configured for each P/L trigger level.
- a trader may simply select an add selection input 1234, 1240, or 1246 being displayed in one of the P/L trigger regions to add another filter to that P/L trigger level.
- a frader may delete one or more default filters by first selecting a default filter block in the P/L trigger region 450, and then selecting a delete selection input corresponding to that region, such as one of the delete selection inputs 1236, 1242, and 1248.
- the frader can then save the filters by simply selecting a corresponding save selection input such as one of the save selection inputs 1238, 1244, or 1250, respectively, depending on which P/L trigger level the filters correspond to.
- the money management filters are not limited to the filters described above, and more or fewer filters could be created for a fradeable object. Some of the additional filters may be time-based so that they are triggered at specific time periods. In addition to time being a trigger, the time-based filters may also have other triggers, such as triggers related to frader data, exchange data, or data from outside sources. For example, a set of time-based filters may be created to complement any other filter conditions when a predetermined time period is detected. In such an embodiment, when two or more filter conditions conflict, the more conservative one will confrol. For example, a time-based filter, such as a filter effective between 8 a.m. and 9 a.m., may be triggered upon receiving an employment number.
- time-based filters may be configured to completely overwrite any other filter conditions for the time period associated with the time-based filter. It should be understood that different outside triggers could also be used in addition to the employment numbers. For example, during the last twenty minutes of frading before the market closes, any filters that are applied to frader's orders may be overridden or supplement by filter conditions of another set of filters created for the market closing time period. Such filters may be designed so that the frader completely frades out of his positions.
- a graphical interface in addition to the applicable filter band and P/L indicators, could also display indicators associated with time-based filters.
- Figure 13 is a block diagram illustrating a graphical interface 1300 for displaying a money management filter band in combination with P/L indicators and time-based filter indicators.
- the graphical interface 1300 includes a time-based filter region including a plurality of time-based filter indicators 1304, 1306, and 1308.
- the first indicator 1304 may correspond to an employment number filter
- the second indicator 1306 may correspond to one or more filters that are triggered based on some news event
- the third filter 1308 may correspond to the market closing time-based filter.
- each filter may be labeled with an indicator defining the type of the filter
- the time-based filters may overlap. When the time-based filters overlap, the most conservative conditions may be confrol the order parameters.
- each filter may be assigned a predetermined priority level so that when more than one filter is applicable during a predetermined time period, only filter conditions associated with filters having the same priority levels are merged. It should be understood that different methods for determining which filter conditions should apply at any given time period could also be used, and the present embodiments are not limited to labeling each filter with a priority level.
- time-based filters may be configured using the methods described above, and each time-based filter may be associated with one or more filter bands including one or more filters. Additionally, once the time-based filter is triggered, the time-based filters may be displayed via the money management window so that the trader may quickly and easily view the applicable filters. In one embodiment, the time-based filter may be superimposed over any other filters displayed via the interface such as in the embodiment illusfrated in Figure 13, where the time-based filter 1310 is displayed in combination with other applicable filters.
- a frader may configure the interface so that only the most conservative of the applicable filters is displayed via the interface, or when the filters are superimposed, the overlay of the filters can be shaded so that the trader can easily view a maximum order quantity and a maximum net position for different profit ranges.
- FIG 14 is a graphical interface 1400 that may be used for verifying and changing filter conditions configured by a frader or a system adminisfrator using different potential profit loss conditions.
- the graphical interface 1400 includes a money management filter window that displays a plurality of money management filters 1404, 1406, 1408, and 1410 created for a trader or a group of traders trading a tradeable object XS 1402. Once the filters are displayed, a trader or a system adminisfrator may enable a display of potential profit indicators to verify if the filters have been set up according to his/her needs.
- a plurality of one-tick potential profit loss indicators 1412, 1416, 1418, and 1420 are displayed, and the slope of each indicator is determined based on a single tick loss (a number of contracts * tick loss per contract) so that, for example, referring to the first filter, a one tick profit loss for 50 contracts corresponds to 50 ticks of P/L loss, as shown on the x-axis. It should be understood that even though the slope corresponding to a one tick loss should be 1:1, the slope of the displayed potential profit loss indicators, as illustrated in Figure 14, is not a 45-degree line since the scales on the two axis corresponding to the quantity axis and the profit level axis are different.
- the indicator 1412 corresponds to a one tick profit loss and may be used by a trader or system adminisfrator to determine if the set filter configurations are what the frader really anticipated. For example, based on the indicator, the frader may quickly determine that a loss of one tick at the net position of 50 will result in the trader's dropping out of the first filter associated with the maximum net position of 50 and the maximum order quantity of 30. If this is what a frader desires, the frader may leave the filter configuration unchanged. Alternatively, the frader may increase the profit range corresponding to the filter 1404 so that a higher loss is allowed before another filter such as the filter 1406 controls the trader's frading.
- the indicator 1412 could also be used to visually and quickly determine what would happen at other net positions levels. For example, as shown in Figure 14, if the frader's Realized P/L level were at 500 and the frader then frades so that his/her net position becomes 45, the frader can easily determine that a loss of one tick ( ⁇ 1) would keep the frader in the same filter, however, a loss of two ticks ( ⁇ 2) would move the trader to the second, more restricting, filter 1406, where the frader's maximum order quantity and net position would be lowered to 20 and 40, respectively.
- ⁇ 1 a loss of one tick
- ⁇ 2 a loss of two ticks
- the indicator 1416 also corresponds to one tick loss, and as shown in Figure 14, if the trader's net position were 15, the frader would be allowed to lose about 5 ticks before his trades would be controlled by less favorable filter conditions of the filter 1408.
- the profit loss indicators are not limited to the one tick loss indicators, and the indicators could be based on any number of ticks, such as 2, 3, 4, and could be user-configurable.
- the money management application or the frading application may determine an average tick loss associated with the trader's frades, and another indicator associated with the frader's average tick loss may be displayed in addition to any other indicators. It should be understood that the indicators may be distinguished using different colors or different indicator types that could be user-configurable.
- the profit loss indicators may be used to provide a trader with a quick indication of a potential risk before a frader enters into any position.
- a potential profit loss indicator may be displayed to a trader in relation to the Realized P/L indicator. Further, the indicator may be displayed when the money management application detects that the trader's net position is equal to zero, so that before the trader decides to enter any new orders, the frader can quickly view his/her potential risk based on different potential order quantities.
- FIG. 15 is a block diagram illustrating an interface 1500 that displays potential profit loss indicators in relation to a frader's Realized P/L indicator.
- the interface 1500 displays a money management window 1504 including a plurality of money management filters 1506, 1508, 1510, and 1512. Further, the money management interface 1500 displays a profit loss indicator 1514 in relation to the Realized P/L indicator 1516.
- the indicator 1514 may be displayed to a trader when the trader's net position is flat so that before a trader enters any new orders, the trader can easily view his potential profit losses based on the order quantity that the frader is planning to trade.
- the frader may easily predict his potential filter drop, e.g., a filter that would confrol the frader's frades, if the market goes against his position.
- the graphical interface 1500 could also display indicators related to positive market movements, e.g., indicators corresponding to the potential profit gain rather than loss. In such an embodiment, for example, a one tick potential profit gain indicator could be displayed, where the indicator's slope would be negative, rather than positive as in the indicator 1514.
- the Realized P/L indicator corresponds to a current
- Realized P/L level of 460, and the profit loss indicator 1514 may be used to determine where the frader's profit would be and what filter would confrol the frader's trading if the frader were to enter into a position between 1 and 50 as defined by the first filter. For example, if a frader enters one or more orders so that a frader's net position becomes 45, a trader is risking a drop to the third filter 1510 and a loss of 90 ticks if the market were to move two ticks against the frader's position. Further, for example, the frader can easily determine that keeping the net position of 30 rather than 45 would result in a much smaller risk and much smaller profit loss.
- a trader or an adminisfrator may create a plurality of frade-out exceptions to enable a frader to exit his open positions. Such exceptions may be used when the market moves against the frader's position causing the frader's orders to be confrolled by a filter associated with a maximum net position that is significantly lower than the position being currently fraded by the frader so that the frader is forced to lower his position by selling or buying until he reaches the maximum net position, for example.
- a set of frade-out rules may be created to enable a trader to lower his position to the one specified by the controlling filter.
- Such overriding rules may be automatically enabled whenever a limit condition such as the one explained above is detected.
- a user selection input may be displayed to a trader when such a condition is detected, and the trader may enable the frade-out mechanism by selecting such a selection input.
- a trade-down quantity may be first calculated to enable a trader to frade down to the maximum net position associated with the current filter.
- the trade-down quantity may be calculated by first subtracting the current frader's position from the maximum net position associated with the filter, and then taking the absolute value of the result, which in the example presented above would be 115 - 40
- 25. Then, the frade-out quantity may be determined by talcing the maximum of the absolute value calculated above and the maximum order quantity associated with the filter, which would be 25 in the above example, i.e., max (25,7).
- the trader can submit a sell order of 25, which when filled, would cause the trader's net position to reach the maximum net position of 15.
- Another rule may be created if the frader wants to frade down to zero when the frader has the worlcing order of 25 pending on the market.
- a user selection input may be provided via the interface to enable the frader to select such an option.
- the maximum trade-down to zero quantity may be determined by taking the minimum of the worlcing quantity (25 in this example) and a difference between the frader's net position (40) and the worlcing quantity (25), thus, taking minimum (25,15) in this example, which is 15. It should be understood that different or equivalent trade-out mechanisms could also be used, and the present invention is not limited to the embodiment illustrated above.
- a set of rules may be created limiting price levels at which a frader can place the frade-out orders on the market.
- a computer readable medium can include a readable memory device, such as a hard drive device, CD-ROM, a DVD-ROM, or a computer diskette, having computer readable program code segments stored thereon.
- the computer readable medium can also include a communications or transmission medium, such as, a bus or a communication link, either optical, wired or wireless having program code segments carried thereon as digital or analog data signals.
Abstract
Description
Claims
Applications Claiming Priority (9)
Application Number | Priority Date | Filing Date | Title |
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US447703 | 1982-12-07 | ||
US447382 | 1989-12-07 | ||
US355471 | 2003-01-31 | ||
US10/355,471 US7752117B2 (en) | 2003-01-31 | 2003-01-31 | System and method for money management in electronic trading environment |
US447616 | 2003-05-29 | ||
US10/447,382 US7707098B2 (en) | 2003-01-31 | 2003-05-29 | System and method for money management using a plurality of profit levels in an electronic trading environment |
US10/447,703 US7565315B2 (en) | 2003-01-31 | 2003-05-29 | System and method for displaying money management information in an electronic trading environment |
US10/447,616 US7587356B2 (en) | 2003-01-31 | 2003-05-29 | System and method for displaying profit related information in an electronic trading environment |
PCT/US2004/002843 WO2004070565A2 (en) | 2003-01-31 | 2004-01-30 | System and method for displaying information and using a plurality of profit levels for money management in an alectronic trading environment |
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EP1588240A2 EP1588240A2 (en) | 2005-10-26 |
EP1588240A4 true EP1588240A4 (en) | 2006-10-25 |
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EP04707113A Ceased EP1588240A4 (en) | 2003-01-31 | 2004-01-30 | System and method for displaying information and using a plurality of profit levels for money management in an alectronic trading environment |
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EP (1) | EP1588240A4 (en) |
CA (1) | CA2514787C (en) |
WO (1) | WO2004070565A2 (en) |
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US20070055609A1 (en) * | 2005-09-06 | 2007-03-08 | Whitehurst Philip H | Methods and systems for commoditizing interest rate swap risk transfers |
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US4674044A (en) * | 1985-01-30 | 1987-06-16 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | Automated securities trading system |
US6421653B1 (en) * | 1997-10-14 | 2002-07-16 | Blackbird Holdings, Inc. | Systems, methods and computer program products for electronic trading of financial instruments |
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2004
- 2004-01-30 EP EP04707113A patent/EP1588240A4/en not_active Ceased
- 2004-01-30 CA CA2514787A patent/CA2514787C/en not_active Expired - Fee Related
- 2004-01-30 WO PCT/US2004/002843 patent/WO2004070565A2/en active Application Filing
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WO2004070565A3 (en) | 2006-03-09 |
WO2004070565A2 (en) | 2004-08-19 |
EP1588240A2 (en) | 2005-10-26 |
CA2514787A1 (en) | 2004-08-19 |
CA2514787C (en) | 2016-07-12 |
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