JP5639187B2 - Synthetic spread trading - Google Patents

Synthetic spread trading Download PDF

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JP5639187B2
JP5639187B2 JP2012544512A JP2012544512A JP5639187B2 JP 5639187 B2 JP5639187 B2 JP 5639187B2 JP 2012544512 A JP2012544512 A JP 2012544512A JP 2012544512 A JP2012544512 A JP 2012544512A JP 5639187 B2 JP5639187 B2 JP 5639187B2
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order
spread
orders
parent
child
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JP2013513886A (en
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トム・ジェイムズ・ハルデス
サジー・ピー・ミンツ
パトリシア・エイ・メッシーナ
アレクサンダー・ディ・デイツ
パトリック・ジェイ・ルーニー
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トレーディング テクノロジーズ インターナショナル インコーポレイテッド
トレーディング テクノロジーズ インターナショナル インコーポレイテッド
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Priority to US12/637,517 priority Critical patent/US20110145165A1/en
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Priority to US12/637,536 priority
Priority to US12/637,536 priority patent/US8386368B2/en
Application filed by トレーディング テクノロジーズ インターナショナル インコーポレイテッド, トレーディング テクノロジーズ インターナショナル インコーポレイテッド filed Critical トレーディング テクノロジーズ インターナショナル インコーポレイテッド
Priority to PCT/US2010/055336 priority patent/WO2011081711A2/en
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    • GPHYSICS
    • G06COMPUTING; CALCULATING; COUNTING
    • G06QDATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00Finance; Insurance; Tax strategies; Processing of corporate or income taxes

Description

  This application claims priority to US patent application Ser. No. 12 / 636,517 and US patent application Ser. No. 12 / 633,536, both filed on Dec. 14, 2009. The contents of both applications are hereby incorporated by reference in their entirety.

  The present invention relates generally to electronic trading and, in particular, to tracking and managing synthetic spread trading orders.

  Electronic transactions generally occur over a network of computers, servers, gateways, processors and other related devices. In general, a host exchange (also referred to as an electronic exchange, or simply an exchange), typically having one or more centralized computers, forms the electronic heart of an electronic trading system. A centralized computer generally receives and processes orders for one or more tradeable objects received from a trader and / or user via an electronic trading system, other electronic trading systems and / or other host exchanges. Configured to do.

  To process an order, the host exchange maintains a list of orders for tradeable objects and matches opposite orders for the tradeable objects according to a matching algorithm. The order list records pending orders that have not been executed for tradeable objects. The orders in the order list are collectively referred to as the tradeable object's inside market (inside market) and market depth.

  A host exchange may manage and update a database of data regarding tradeable objects traded, listed and / or exchanged on the host exchange itself and / or other host exchanges, and a data feed Data about tradeable objects may be supplied or broadcast via. Data is generally supplied or broadcast in real time or near real time from a host exchange. Information may be provided in the form of data streaming or in any other suitable form that provides data via a data feed. Information generally identifies order lists for tradeable objects and information that identifies order pricing and orders that are already filled (otherwise known as matched or executed) Information.

  A user of an electronic trading system (also referred to as a trader) connects to a host exchange via a client device to receive information from the host exchange via a data feed. A client device may also receive data from one or more host exchanges via one or more data feeds.

  With the client device, the trader may visualize the information and send the order to the host exchange. Similarly, client devices may automatically send orders to one or more host exchanges without human intervention. Orders are identified to the host exchange based on data received from the host exchange, based on data received from another host exchange, and / or from data or information received from other sources May be sent on an event and / or state basis.

  The host exchange receives the order and records it in a database with similar orders. For example, all orders for a tradeable object are stored in a database of orders for that tradeable object. The orders for that tradeable object at the host exchange form an order list. Orders are generally arranged according to price and the order in which the orders were received, and orders of the same price that have not yet been executed and are pending matching from the opposite order are organized together in the order received at the host exchange. The

  Orders that are pending matching at the host exchange are generally matched according to the matching algorithm of the exchange. Common matching algorithms include first-in-first-out (FIFO), pro-later and FIFO and pro-rata mixed matching algorithms. In a FIFO matching algorithm, orders at a price level are matched based on the time or order in which the order was received at the host exchange, and the order is generally the first order entered at that price, then the second order entered. The order is given in order of 2 (next) orders, etc. In a prolater algorithm at a price level, orders at a price level are matched based on the size of the order relative to other orders at the same price. A mixed system combines FIFO and pro-later matching to match orders. Other modifications may be used for the matching algorithm.

  Trading strategies can be as simple as trading individual tradeable objects or as complex as spread trading, such as trading multiple tradeable objects. In general, spread trading involves the simultaneous or near-simultaneous selling and / or buying of one, two, or more tradeable objects. Spread tradeable objects are commonly known as spread outright markets or legs.

  The purpose of spread trading is to provide market movement trading of tradeable objects. Spreads often provide another measure for hedging risk. Spreads allow traders to profit from changes or movements in relationships between tradeable objects in the spread.

  The spread may be defined by the host exchange (also referred to as an exchange-defined spread) or may be a composite or user-defined spread. An exchange-defined spread is a spread that is listed and priced by a host exchange, where the host exchange matches the order for the spread with the opposite order of the spread in the order list for that spread. A composite spread refers to a spread defined by a trader. In a composite spread, the trader identifies each leg of the spread and manages the order of each leg to execute the trading strategy for that spread.

  The spread may be between products or within a product. Spread types include butterfly spread, bear spread, bull spread, calendar spread, crack spread, horizontal spread, vertical spread, basis, bundle, pack, strip, straddle, strangle, ratio spread and combinations thereof . For example, a vertical spread may be a bear spread that has a sellable object sale such as a strike call and a buyable object object. A spread may include multiple types of tradeable objects including stocks, bonds, equity, commodities, futures products, options, currencies, indexes, warrants, funds, repos, and the like. For example, a butterfly spread may include a futures commodity with three basic tradeable objects. A calendar spread is a simultaneous purchase of a futures commodity of a tradeable object and a sale of futures goods of that tradeable object in different contract months.

  A tradeable object contains an amount of items that can be traded at a price, swapped, or otherwise exchanged. Tradeable objects include all types of traded events, goods, instruments and / or stocks, bonds, options, futures, commodities, currencies, repos, indexes, warrants, funds, their derivatives, their collections and these However, this is not the case. A tradeable object may be a “real thing” such as a product listed by an exchange. A tradeable object may be a “synthesized” such as a combination of actual products produced by a trader.

  The client device may have a trading tool that is configured to automatically facilitate fast and accurate order entry and execute trader trading strategies. The trading tool compiles information from the host exchange and facilitates sending orders to one or more host exchanges. For example, using data from one exchange or some other baseline condition, the trading tool calculates one or more order parameters, such as order price and order quantity, and hosts orders with these parameters Automatically send to a place. Trading tools also intuitively compile information from one or more host exchanges so that traders can visualize the market and make fast and accurate decisions to send orders to the host exchange. May be arranged.

  An example of a trading tool is Autospreader® from Trading Technologies International, Chicago, Illinois. Autospreader helps traders execute a spread trading strategy. Spread legs or outrights may be selected, relationships between legs may be defined, and target spread prices and quantities may be identified. The Autospreader may place an order for one of the legs based on the in-place market of another leg of the spread to achieve (or attempt to achieve) the desired spread price. Autospreader is also available as an add-on tool that can be obtained by X_TRADER (registered trademark) Pro (trademark), which is also a trading application available from Trading Technologies International. An example of an automatic spread trading tool is described in US Pat. No. 7,437,325 entitled “System and Method for Performing Automatic Spread Trading”, the entire contents of which are incorporated herein by reference.

  The spread trading tool may manage one or more orders for each leg of the spread to assist the trader in obtaining the desired target of the spread. In one example, a trader may enter spread parameters and select a target price for the spread. An order in one of the legs is entered in one leg of the spread (eg, an order being received) based at least on the in-place market of another leg (eg, a hedge or offset order) of that spread. As the hedge in-place market changes, orders that are being received may be re-priced to achieve the target price of the composite spread. An order that is being accepted may be revalued by submitting a change request for a tradeable object to the host exchange, the change request defining a new price for the order that is being accepted. Alternatively or additionally, a cancellation / replacement request for an order being accepted may be submitted to the host exchange.

  The order being accepted may be partially or fully filled according to the amount of counterorders that are matched to the order being accepted. If the order being accepted is completely filled, the order may be sent in the hedge in-place market. If the order being accepted is partially filled, the order may be sent in the hedge in-place market according to the parameters set by the trader and / or the trader's trading strategy. Further, all or a portion of the hedge order may be transmitted outside the in-place market of the hedge, according to parameters set by the trader and / or the trader's trading strategy.

  The hedge order may be at least partially executed immediately because it is an in-place market. That is, if the price level of the in-place market for the hedge order has not changed from the time the order received is received, the hedge order will be filled with the quantity available in the in-place market at the time it is received There is. The portion of the hedge order that exceeds the quantity available in the in-place market may not be filled. In addition, if the in-place market is moving, hedge orders may not be filled at least immediately. A trader may be considered legged if at least a portion of the hedge order has not been filled.

  Accepted orders may be placed on one or more legs of the spread. For example, a spread trading tool may place a pending order on each leg of a composite spread. Because each traded order is filled and the corresponding hedge order for each traded order filled is submitted, the trader does not double fill, so the spread trading tool May cancel all or some of the pending commitments upon detecting that one of them is at least partially filled. Thus, only the corresponding hedge order may be sent.

  Accepted orders are often reported, tracked and otherwise recorded according to the outright order itself and not as part of the spread trading strategy. In addition, pending orders and hedge order commitments are often tracked and recorded elsewhere as outright transactions rather than as transactions that are part of a spread trading strategy. Orders and composite spreads often exist in a state that has nothing similar to the state used for ordering and closing outright tradeable objects. For example, a composite spread may have pending orders that are not fully filled, such as when a hedge order has not been submitted. In addition, the composite spread may be legged if a hedge order has been submitted but has not been filled at all or in part. Because the composite spread is composed of components (ie, orders accepted and hedge orders), other trading tools may be used to manipulate the components. Furthermore, since the composite spread is not managed as one overall order, other tools may not be useful for the trader managing the spread trading strategy.

  Therefore, tools are desired that improve support for traders in adopting synthetic spread trading strategies.

  A spread trading strategy represents, manages, reports, records, operates, submits, and tracks composite spreads, including composite spread orders, composite spread component orders, and execution of the component and the spread itself. And may include methods, systems and devices for trading separately.

    In one embodiment for managing composite spread instructions, a composite spread order for a quantity of multi-leg composite spread is received via a trading device. Several parent orders of the composite spread order are determined so that each lot of that quantity of spread orders represents a parent order, and a quote order and a hedge order are submitted to be executed. The bid order is submitted to the first electronic exchange to execute the first leg's bid order quantity in a composite spread order where each lot represents one bid child order, and the hedge order is Submitted to the second electronic exchange to execute the hedged quantity of the second leg of the composite spread order according to the match with the quoted order quantity at the exchange. Each lot in the hedge quantity also represents a hedge child order. The bid child order and the hedge child order are associated with one of several parent orders according to the multi-leg composite spread and the bid order quantity matching at the first exchange. For each parent order, the status of the parent order is determined according to the status of each quote child order and each hedge child order associated with that parent order.

  In an additional and alternative embodiment, a composite spread order of a quantity of multi-leg composite spread at a spread price may be received via a trading device. A quantity of parent orders each representing one lot of a composite spread is determined according to the composite spread of that quantity via the trading device. A bid child order for the first leg of the multi-leg composite spread and at least one hedge child order for the second leg of the multi-leg composite spread are associated with each parent order via the trading device. The bid child order is submitted to the electronic exchange for execution, and the status of the composite spread order is determined according to the status of each of the parent orders of the quantity. An order descriptor representing the status of the composite spread order is displayed along the price axis according to the price of the composite spread.

  An exemplary embodiment describes and illustrates synthetic spread trading. However, these embodiments are not limited to the attached drawings. Figures having similar reference numerals indicate similar elements.

FIG. 6 is a block diagram illustrating an example electronic trading environment in which aspects of spread trading may be used.

FIG. 6 is a block diagram illustrating another example spread trading strategy at multiple electronic exchanges.

FIG. 4 is a block diagram illustrating an example spread trading strategy.

4 is a flowchart 400 illustrating an exemplary method for facilitating a composite spread transaction.

6 is a flowchart illustrating an exemplary method for executing and executing a transaction for a composite spread transaction.

It is a block diagram which shows a synthetic spread transaction.

Fig. 5 shows a spread window display of a composite spread and the legs that are components of this composite spread.

FIG. 9 shows a spread window display of a composite spread window after a closing child order and a hedge child order are filled.

Fig. 6 shows an example of a spread window after additional child orders have been filled.

An example of the composite spread order list tool 1000 is shown.

An example of the composite spread order list tool 1100 is shown.

An example of a composite spread market grid or market window tool 1200 is shown.

An example of a spread configuration window is shown.

I. Electronic Trading Environment FIG. 1 illustrates an exemplary electronic trading environment in which embodiments of a spread trading strategy may be used. The electronic trading environment includes a client device 102, a gateway 106, an electronic exchange 105, and a router 108. Client devices are coupled to electronic exchange 104 via one or more devices, such as gateway 106, for communicating information. The router 108 is configured to route messages between the gateway 106 and the electronic exchange 104.

  The electronic exchange 104 may list one or more tradeable objects for trading. The electronic exchange 104 includes at least one processor or central computer. The electronic exchange is configured to receive orders from the client device 102 and match these orders with counter-orders. Orders received from the client device 102 that are not immediately matched may be accumulated and arranged in a tradeable object order list. Orders are matched according to the order's tradeable object matching algorithm. Although not shown in FIG. 1, the trading system may include other devices for client sites such as middleware and security measures, including firewalls, hubs, security managers and the like.

  The electronic exchange 104 may also distribute information related to orders received at the electronic exchange 104 as well as orders matched at the electronic exchange 104. Information may be distributed or broadcast to one or more subscribed client devices 102. The information may include data representing the in-place market, including the cheapest selling price (lowest limit price) and the highest buying price (highest limit price) at a particular point in time. The information also includes the quantity of tradeable objects that are available in the in-situ market, as well as the quantity of tradeable objects that are away from the in-situ market or available outside the in-situ market, to the extent that such quantities are available. It may also include the depth of the market that can be included.

  The quantities available at a certain price level may be provided in summation. The electronic exchange 104 may provide the total buy quantity and total sell quantity available at a price level on the market in its data feed. The degree of market depth available to traders is usually dependent on the exchange. The amount of market depth provided may also be limited and may not include the total amount of tradeable objects available. For example, some electronic exchanges 104 provide market depth for all (or most) price levels, while only for quantities associated in or close to the in-place market. Some provide depth, others do not provide market depth. The electronic exchange 104 may provide other types of information such as final transaction price (LTP), final transaction quantity (LTQ) and order execution information. Information related to order execution and execution may be referred to as market data.

  The client device 102 may be one or more mainframes, desktops, notebooks, tablet PCs, handhelds, personal digital assistants, smartphones, servers, gateways, combinations thereof or one or more processors or central processing units. Other computing devices having The client device 102 also includes one or more memory or data storage devices, an input interface for receiving data from a communications network, a keyboard, trackball, pen device, microphone, gaze detection device, 2 for click-based transactions. Input interface and at least one output device for receiving input signals from one or more input devices such as a three or three button mouse and / or other devices configured to receive input from a user An output interface for communicating with (eg, a monitor) may also be included. A system bus or the like may provide communication. Client device 102 may be one or more devices, such as a plurality of workstations, or a network of devices.

  The memory may include computer readable media including any media that participates in providing instructions to the processor. Computer readable media may take the form of non-volatile media, volatile media and transmission media. Non-volatile media may include optical or magnetic disks such as storage devices. Volatile media may include dynamic memory, such as main memory, random access memory (“RAM”), dynamic random access memory (“DRAM”), and the like. Also, the general forms of computer readable media include floppy disk, flexible disk, hard disk, magnetic tape, punch card, CD-ROM, RAM, PROM, EPROM, FLASH-EPROM and any other computer readable medium Also included are memory chips or cartridges or media. The processor may have sufficient capability to process available market information. In an exemplary embodiment, the client device includes at least one Pentium class processor and may operate using one or more of the Windows or MAC OS operating systems.

  The gateway 106 can be any type of computing device, such as a personal computer or a faster computing device. The gateway 106 is one or more central processing units, memory or data storage devices, input interfaces for receiving data from communication networks, keyboards, trackballs, pen devices, microphones, gaze detection devices, for click-based transactions An input interface for receiving input signals from one or more input devices such as a two or three button mouse and / or other devices configured to receive input from a user and / or at least one An output interface for communicating with an output device (eg, a monitor) may be included. The gateway 106 includes a Pentium class processor and may operate under one or more Windows (server or workstation), MAC OS operating system or other operating system. The gateway 106 may also have access to internal or external databases.

  In this specification, a device may be a hardware object, software, or a combination of hardware and software. The device may use integrated circuit development techniques to implement the functions and features described herein and may communicate using electrical, optical, high frequency or other suitable signals. Good.

  Client device 102 may execute one or more applications. The application may be executed using the operating system of the client device 102. The gateway 106 may also execute one or more gateway applications. The gateway application may be executed under the control of the operating system of the gateway 106. Alternatively or additionally, one or more application programs on client device 102 may be executed at or by gateway 106 and one or more gateway applications may be executed by client device 102. Good.

  Those skilled in the art will appreciate that various electronic trading environments have the same features, additional features, or alternative features as described in connection with FIG. Accordingly, the exemplary embodiment of FIG. 1 represents an electronic trading environment having features such as computer programs and / or systems (eg, operating systems, gaming systems and / or other software applications) that are not necessarily related to electronic trading. ing. A person skilled in the field of electronic trading systems will be able to implement an appropriate electronic trading environment. For purposes of illustration, some example configurations are presented to illustrate where these features can be physically located and how they can be combined to implement an electronic trading system. However, these illustrations are not limiting.

  According to the illustrated example, the gateway device may be located at the client site, may be integral with the client device 102, and may be remote from the electronic exchange 104. According to this example, client device 102, gateway 106 and router 108 may communicate over a local area network, and router 108 may be on electronic exchange 104 and T1, T3, ISDN or some other high speed connection. You may communicate with.

  In another illustrated example, the client device or a portion thereof may be positioned in proximity to the electronic exchange 104 processor. For example, a server that implements or implements one or more features of the present invention may be located at the same location as the processor of electronic exchange 104 (eg, within an exchange building or associated with an exchange). Good. Thus, client device 102, gateway 106 and router 108 may also communicate over a local area network, and the router communicates with electronic exchange 104 via another connection means other than T1, T3 or ISDN. May be.

  In another illustrated example, the gateway may be stored at or near the corresponding electronic exchange 104. According to this example, the client device may communicate with the gateway over a wide area network or using T1, T3, ISDN, or via some other high speed connection.

  In another example, gateway 106 may be located remotely from client device 102 and remotely from electronic exchange 104. Such an embodiment may be beneficial in systems that include multiple trading network interconnections. Thus, in an electronic trading network where the gateway may have access to the electronic exchange 104, other electronic trading networks may communicate with the trading network via T1, T3, ISDN or some other high speed connection. .

  FIG. 2 illustrates an exemplary electronic trading environment in which an embodiment of a spread trading strategy may be used. The electronic trading environment includes a client device 202 that is coupled with electronic exchanges 204 and 208. Electronic exchange 204 may be accessed through gateway 206 and electronic exchange 208 may be accessed through gateway 210. Additionally or alternatively, electronic exchanges 204 and 208 may be accessed through a combined gateway that provides access to multiple electronic exchanges.

  Router 212 routes data between gateways 206 and 210 and electronic exchanges 204 and 208. The electronic trading environment may also include middleware such as firewalls, hubs, security managers, etc. and other devices such as security measures. In addition, more electronic exchanges may be included.

  A trader may trade tradeable objects that are listed, matched and / or cleared at single and / or multiple electronic exchanges 204 and 208. The order may be sent to one or both of electronic exchanges 204 and 208, and market information may be received from one or both of electronic exchanges 204 and 208. For example, market information may be received at the client device 202 from both electronic exchanges 204 and 208 and may be viewed via the common visual display of the client device 202. Accordingly, the price and quantity information of tradeable objects on the electronic exchanges 204 and 208 may be viewed simultaneously and in close proximity.

  In another example, a trader can make spread and / or scab trades on tradeable objects listed on multiple electronic exchanges 204 and 208. That is, a trader may trade one tradeable object on the electronic exchange 204 and another tradeable object on the electronic exchange 208.

  Synthetic spread trading embodiments may include additional exchanges, gateways, client devices, routers or other computers that provide various functions such as message processing and security. In addition, several or multiple networks, such as the networks shown in FIG. 1 or FIG. 2, may be linked together to communicatively access one or more electronic exchanges.

  Similar to the client device 102 of FIG. 1, the client device 202 can be a personal computer, workstation, desktop, laptop, handheld device, smartphone, personal digital assistant, tablet PC, server, gateway, combinations thereof, and the like. It may be any computing device and other computing devices having one or more processors or central processing units. Client device 202 may be one or more devices, such as a plurality of workstations, or a network of devices. The client device 202 also includes one or more memory or data storage devices, an input interface for receiving data from a communication network, a keyboard, trackball, pen device, microphone, gaze detection device, 2 for click-based transactions. Input interface and at least one output device for receiving input signals from one or more input devices such as a three or three button mouse and / or other devices configured to receive input from a user An output interface for communicating with (eg, a monitor) may also be included. A system bus or the like may provide communication. The memory may include any computer readable medium, and the processor has sufficient processing power to handle and process various types of market information. In an exemplary embodiment, the client device includes at least one Pentium® microprocessor and operates under the Windows operating system.

  Other data such as market information or news, chart data and / or order related information from certain exchanges or other data sources may be displayed on the output device of the client device 202, such as a visual display device. Additionally or alternatively, the information may be provided via the client device, at least partially via other means such as sound. The output device can be any display device, audio device, or combination thereof suitable for providing information. For example, the display device may be a CRT-based video display, an LCD-based or gas plasma-based flat panel display, a 3D image display or some other type of display. The display device may also have an audio device and / or a braille output device. The display device may allow user interaction with information. Thus, the display device may also include a data input device.

  A user of a client device (eg, a trader) may send an order for one or more tradeable objects to the exchange via the client device. An order is a connection to an exchange or exchange that places a new order, cancels an existing order, modifies an existing order, queries the exchange for an order or order list for one or more tradeable objects, and May include instructions or messages intended to test these communications, combinations thereof, and the like. The trader may look at the information provided by the exchange and send an appropriate order in response.

  A trader may provide various commands or signals to the client device 202 via one or more input devices of the client device 202. For example, a trader types a keyboard, manipulates a mouse or pointing device, looks at a portion of a display device, touches a portion of a display device or a portion controlled by a display device, or some other input device The command may be input to the client device 202 by inputting a command or signal through the client device 202. A trader may use a mouse device to identify a portion of an output device, click a mouse button to initiate an order for a certain amount of tradeable objects, and have the order sent to one of the electronic exchanges 204 and 208. Good. That is, client device 202 preferably generates transaction information in response to user input or some other trigger that is affected by user input. There are many different types of messages and / or orders that can be submitted, all of which may be considered various types of transaction information. Transaction information may be sent from the client device 202 to one or more host exchanges 204 and 208 over one or more communication channels and / or networks.

  In an exemplary embodiment, software on client device 202 generates an interactive transaction screen on an associated display device. The display device may enable the trader to, among other things, enter and execute orders, obtain market quotes and monitor positions. The range and quality of features available on the display device may vary according to the client device and / or client device software. In addition to or instead of being interactive, the client device may automate the trading application.

  Although the exemplary embodiments may be implemented in connection with various environments and applications, the following description of the exemplary embodiments is in the context of transaction applications and transaction screens. Those skilled in the art will understand that details of the output device are not necessary to understand the present invention. One type of trading tool that can be executed by client devices and output devices is provided by a commercial trading application called X_TRADER®, obtained from Trading Technologies International, Inc. of Chicago, Illinois. X_TRADER also provides an electronic trading interface, referred to as MD Trader (R), in which an indicator of pending or pending orders is displayed in association with a fixed price axis or scale.

The indicator may identify the buy and / or sell quantity of the order at the corresponding or associated price. The indicator may be any one that indicates an order, such as one or more numbers, icons, letters, emblems, logos, symbols, boxes, charts, photos, pointers or other graphical displays showing the order. Some of the X_TRADER and MD Trader type displays are described in US Pat. No. 6,772,132 entitled “Click-Based Trading Using an Intuitive Grid Display of Market Depth”, “Click-based Trading Using Market Depth Display”. US Pat. No. 6,980,011, entitled “Click-Based Trading with an Intuitive Grid Display of Market Depth and Price Integration”, US Pat. No. 7,127,424 entitled “Electronic Trading Trading Tool” No. 7,389,268 and US Pat. No. 7,228,289, entitled “Systems and Methods for Trading and Displaying Market Information in an Electronic Trading Environment”. Each of these contents is included in the disclosure by this reference. Additionally or alternatively, other trading tools may be used to view market data and / or place orders. Further, these preferred embodiments are not limited to any particular product that performs conversion, storage and display functions.
II. Spread trading strategy

  In general, a trading strategy involving a plurality of tradeable objects involves a relationship between the plurality of tradeable objects. Each tradeable object in a trading strategy may be referred to as a leg or outright. One type of trading strategy involving multiple tradeable objects is called a spread.

  A spread may be considered to be bought or gained. The spread spread defines which legs of the spread are bought and / or sold. Similarly, spreads that are sold define which legs are sold and / or bought. The spread may be bought when the first tradeable object of leg A is bought and the second tradeable object of leg B is sold. Selling a spread may include performing the opposite action for each leg.

  The spread may also identify or be based on the spread ratio between the legs of the spread, also referred to as the leg order size. The spread ratio indicates the amount of each leg relative to the other leg of the spread. For example, a spread with leg A and leg B may define buying 2 units of leg A and selling 3 units of leg B.

  The spread may have a name of a code of the spread. The sign may indicate whether, when buying a trading strategy, the leg should be bought (eg, the spread ratio is positive) or sold (eg, the spread ratio is negative). Thus, for a spread with legs A and B where 2 units of leg A are bought and 3 units of leg B are sold, the ratio of leg A is “2” and the ratio of leg B is “−3”. Become.

  Alternatively or additionally, the spread ratio may be implied or implied. That is, the spread ratio of a leg of a trading strategy may not be explicitly specified, but rather may be implied or defaulted to “1” or “−1”.

  The spread may also include a multiplier for each leg. The multiplier defines the price relationship. That is, the multiplier may adjust the price of the legs to determine the price of the spread. The multiplier may be the same as the spread ratio. In the above example, the multiplier associated with leg A may be “2” and the multiplier associated with leg B may be “−3”, both of which match the corresponding spread ratio of these legs. The multiplier associated with one or more legs may be different from the corresponding spread ratio of these legs. For example, the multiplier value may be selected to convert the price of the leg to a common currency.

  For simplicity, the exemplary embodiments described herein include the same spread ratio and multiplier for each leg unless otherwise noted. In addition, the description of the exemplary embodiment shows that the spread ratio and multiplier sign of a particular leg are the same, and if not, which side of the spread the leg is on using the multiplier sign Is assumed to be determined.

  FIG. 3 is a diagram illustrating a trading strategy 310 such as a synthetic spread. Trading strategy 310 includes “N” legs 320, and the relationship between tradeable objects 322 in each leg 320 is defined according to the spread ratio 324 and multiplier 326 associated with each leg 320.

  The tradeable object 322 may be traded according to the relationships defined by the trading strategy 310 or may be attempted to be traded. Trading strategy 310 in one example is a spread with two legs 320, leg 1 for tradeable object A and leg 2 for tradeable object B. Further, the spread ratio 324 and multiplier 326 for Leg 1 and Leg 2 are “1” and “−1”, respectively. Spread 310, if spread 310 is bought, 1 unit of tradeable object A is bought (positive spread ratio, same direction as spread) and 1 unit of tradeable object B is sold (negative spread ratio, (Opposite direction of spread). The definition of spread 310 is that when spread 310 is sold, one unit of tradeable object A is sold (positive spread ratio, same direction as spread) and one unit of tradeable object B is bought (negative spread) Ratio, the opposite direction of spread).

The price of the trading strategy 310, or the target price, may be determined according to this definition of trading strategy. The price is assumed to be the sum of the price of the tradeable object 322 multiplied by the multiplier 326 for each leg 320 of the trading strategy 310 as described below.
Strategic price = Σ N i = 1 Multi (i) * Price (i) Equation 1

  Mult (i) is a multiplier associated with leg i, and Price (i) is the price of a tradeable object for leg i. Those skilled in the art will also understand that the price of a trading strategy can be affected by rounding of price ticks and / or pay-up ticks.

  The spread may be bought and sold according to the relative price of the legs of the spread. If tradeable object A typically has a price 10 higher than tradeable object B, the trader may buy that spread whenever the price difference between tradeable objects A and B is less than 10. Similarly, a trader may sell the spread whenever the difference exceeds 10.

  As an example, the market for tradeable object A has one unit at price 45, and the market for tradeable object B has one unit at price 40. Then, using Equation 1, the current spread price is (1) (45) + (− 1) (40) = 5, which is less than a typical spread of 10. Thus, the trader may buy a unit of spread, so that one unit of tradeable object A is bought at a price of 45 and one unit of tradeable object B is sold at a price of 40. If this typical price difference is recovered such that the price of tradeable object A is 42 and the price of tradeable object B is 32, the price of the spread becomes 10. If the trader sells one unit of spread and closes its position (ie sells one unit of tradeable object A and buys one unit of tradeable object B), the trader gains profits on the total trade It will be. The trader buys tradeable object A at price 45 and sells it at 42 for a loss of 3, while selling tradeable object B at price 40 and buys it at 32 for profit 8. Therefore, the trader made a profit of 5 by buying and selling spreads.

  The above example is based on sufficient liquidity and stability, and on the basis that tradeable objects can be bought and sold at a market price that achieves the desired price of spread 310. More generally, however, the trader seeks to determine the desired price to buy and sell a particular trading strategy and to achieve this desired price by buying and selling the leg at the appropriate price.

  The trader may use an automated spread trading tool to manage appropriate trades according to strategy 310. For example, a trader may enter an order to buy or sell a trading strategy 310 at a desired price, and an automated trading tool may select a desired price for that trading strategy (desired strategy price, desired spread). Automatically achieve at least one order (also referred to as a bid order or a pending order) of the tradeable objects 322 of the trading strategy 310 to achieve a price and / or target price) May be issued. The leg for which an order is placed is referred to as the bid leg. Other legs relative to the asking leg are referred to as lean legs and / or hedge legs.

  The price at which the quote leg is quoted or accepted is based on the best price at which an order can be executed in the hedge leg, which is typically in the in-market of the hedge leg. That is, the best price is typically the best bid price of the hedge leg when selling and the best bid price of the hedge leg when buying. The best price on a hedge leg is also known as the lean on price, lean price or lean level.

  As the lean-on price changes, the price of the order in the quote leg may also change to maintain the desired strategic price. Further, the price leg may not change if the change in the hedge leg is within limits, or if the change applied to the price leg results in limits. Once the quote leg is filled, the automated trading tool may submit an order on the hedge leg, also referred to as a counter order or hedge order, to complete the strategy.

  Alternatively or additionally, the price of the leg to be priced may not be based on all of the other legs of the spread. The order parameters of the order in the leg to be priced are in the other leg such as the last trading price (LTP), the last trading quantity (LTQ), the theoretical value, multiple quantities such as quantities closer to the in-place market or some other reference point You may lean on other types of market conditions.

  In addition to having a single quote leg, trading strategies may be priced in multiple legs (or even all legs) of the spread. In such a situation, each leg that is priced still depends on at least one of the other legs of the spread. When one of the priced legs is filled, the orders in the other priced legs are typically canceled and an appropriate hedging order is placed.

  Trading strategies with more than two legs are known as multi-leg strategies, multi-leg spreads or multi-leg composite spreads. In a multi-leg strategy, multiple hedge price sets can be chosen to hold a trading strategy for a particular priced leg. Once a leg has been filled, the price of that leg that has been traded, the desired price and multiplier of that trading strategy are known, and thus N-- corresponding to the remaining N-1 legs that have not been filled. There is one unknown thing. Therefore, in the multi-leg strategy, there are two or more unknowns, but there is only one formula (Formula 1). The current system uses different techniques to determine the hedge price of the remaining legs of the strategy once one leg is executed.

If a quoted leg is executed, but at least one of the hedging legs cannot be executed (or cannot be executed enough to achieve the desired price of the trading strategy), the spread is It may be determined that it is legged. A hedge leg may not be filled because the hedge's in-place market moves before the hedge order is entered and / or there may not be enough to fill the order in the in-place market.
III. Spread trading tools

  A spread trading tool such as Autospreader may be used to view market information about multiple tradeable objects and / or manage trading strategies for multiple objects. The spread trading tool may also be used to send composite spread orders (outright orders or orders accepted) in one or more legs of the composite spread.

  Composite spread orders and order commitments may be managed, compiled, recorded, viewed, etc. via a spread trading tool. However, since each outright order is for a particular tradeable object, other trading tools may be used to manage the outright order. Trading tools outside the spread trading tool may not know or be able to determine if the outright order being accepted was a component of, or started as part of, a synthetic spread trading strategy. is there. The lack of relationship between the outright order being accepted and the composite spread may cause the trader to track information outside the scope or area of the spread trading tool. In addition, other trading tools may not provide accurate results to the trader. Thus, inaccuracies and / or inefficiencies may have been inevitable in obtaining the desired data.

  The exemplary methods, processes and apparatus herein identify and maintain the relationship between a composite spread and its constituent orders. In addition, the state of the composite spread is defined. Pending orders and hedge orders that are being accepted for spread are identified, tracked and managed as part of the composite spread. As a result, the composite spread may be represented and managed as one overall order or one homogeneous order. The spread trading tool may be used to manage, represent and view the composite spread and its components.

  In addition, other tools and / or applications typically configured to manage orders and / or executions of other trading strategies are used to manage composite spread component orders and executions. May be. For example, orders may be tracked and managed using order descriptor identifiers, such as for order management and post-trade analysis. One example of order tracking and management is US patent application Ser. No. 11 / 687,178, entitled “System and Management Analysis of Electronic Trading Orders” filed 21 March 2007, which is hereby incorporated by reference in its entirety. Presented in the description.

  The spread trading tool generates spread data on the basis of leg information and spread parameters which are constituent parts thereof. Spread data is communicated or presented to the trader in a visual format such as a graphical user interface manager (“GUI manager”). Spread data may be displayed in a spread window. In addition, information or data regarding one or more legs of the spread may also be displayed using the GUI. Spread data and information or data for each leg may be displayed in the same window of the GUI or in different windows. The user can enter orders into the spread window and the spread trading tool can place orders according to the spread to achieve the desired or target price of the spread.

  An example of a spread trading tool is US Pat. No. 7,437,325 entitled “System and Method for Performing Automatic Spread Trading”, filed March 19, 2004, “System for Estimating Spread Values and US patent application Ser. No. 10/8044631, entitled “Method”, US Pat. No. 7,389,264, entitled “System and Method for Performing Automatic Spread Transactions”, “System and Method for Performing Automatic Spread Transactions” In US patent application Ser. No. 7424450, entitled “System and Method for Multiplier-Lean Levels of Trading Strategies” filed Mar. 25, 2009. Presented. All of which are fully included in the disclosure by this reference. In addition or alternatively, other spread trading tools may be used. Further, these preferred embodiments are not limited to any particular product that performs conversion, storage and display functions for composite spread trading.

  FIG. 4 is a flowchart 400 illustrating an exemplary method for facilitating spread trading. Those skilled in the art will appreciate that flowchart 400 provides an exemplary description of spread trading. Further, certain embodiments may include more or fewer actions and / or these actions may occur in one or more orders different from the order shown in FIG. For example, the act 404 of “setting up a spread data feed” may occur before or substantially simultaneously with the act 402 of “receiving one or more market data feeds”. May be.

  In act 402, market data feeds are received from one or more exchanges. Market data feeds generally include price, order and execution information for one or more tradeable objects. Market data feeds also include the highest buy price (HBP) and lowest sell price (LAP) in addition to the current buy and sell bid prices and quantities at other prices referred to as “market depth”. ) May be included and / or otherwise identified. Some exchanges offer infinite market depth, while others do not provide market depth, or offer only a few prices outside the in-place market.

  The number of market data feeds received at step 402 is the number of tradeable objects selected by the user for spread trading, or the number of data feeds provided by the exchange, or of the exchange from which the data feed is sent. It may depend on the number. Data feeds from an exchange may be received some or all of them, and only tradeable objects that are part of the spread are traded.

  In act 404, the spread data may be uniquely set or customized. That is, the user may, among other things, customize spread price and spread market depth calculations. The calculation of spread price and spread market depth may be based on the number of buys and sells from the explicit market and spread setting parameters for the legible object. The user may also re-set an existing spread or generate a new spread to be set by first selecting a basic tradeable object (leg) of the spread. The tradeable object may be selected in the configuration window and the spread may be set according to spread setting parameters.

  At act 406, the spread trading tool may generate spread data based on the selected market data feed and spread setting parameters. The spread data may include spread price and spread depth. Spread data also includes final transaction price (LTP) and / or final transaction volume (LTQ), opening price, closing price, settlement, daily high / low price, period high, market depth, market snapshot and similar It may be included in addition to other items such as Spread data may include more or fewer items. The data may be included according to parameters set, identified or otherwise selected by the user, limits of the exchange from which the market data feed originates, and the like.

  The trader may also customize the information contained in the spread data feed. The spread data feed may be updated and stored at the client device according to the received market data feed. The spread data feed may be updated continuously, periodically, or continuously and periodically. The generation of spread data may occur on a real time basis or on a substantially real time basis when information relayed from the market is presented to the user as quickly as possible. For example, the information is presented in a time sufficient or reasonable to process and display the received information.

  Alternatively or additionally, the generation of spread data may continue on a periodic time or semi-periodic time basis. For example, spread data may be generated every half second or every fraction of a second according to package communication protocols, traffic conditions, combinations thereof, and the like. In one example, only the time-varying values displayed in the spread window are updated on the display.

In act 408, a spread window is generated and displayed. Each leg window corresponding to the spread is also generated and displayed. The spread window may display spread price and total quantity indicators. Furthermore, more or less items such as LTP / LTQ may be displayed.
In act 410, one or more orders for the spread may be entered. The order may be entered in the amount desired at the target price of the spread. The order may be entered into a spread window. In one example, the order is entered according to operation of one or more input devices such as a mouse device, keyboard, light pen, combinations thereof, and the like. By manipulation of the input device, an input indicator, such as one or more cursors, may be traversed across the output display. Through the use of an input device, the cursor may be aligned in relation to the desired amount of spread and the target price. In certain examples, the desired amount may be preset or preselected such that the target price of the spread can be determined using an input device.

  FIG. 5 is a flowchart illustrating an exemplary method for executing and executing a transaction for a composite spread transaction. Other embodiments may be performed in the order shown in FIG. 5 or in other orders than those shown or discussed, including substantially simultaneous or reverse order. Moreover, some steps may not be implemented to achieve the desired result.

  In this example, an order for at least one leg of the spread trading strategy is being accepted or held at the exchange and is also referred to as a bid order. The bid order corresponds to the first tradeable object on an electronic exchange. The quote order may be matched with the opposite order and is referred to as executed or executed otherwise. In act 502, a bid order commitment is detected. That is, the quote order is matched with the opposite order at the exchange. In act 504, a hedge order is determined. The hedging order will be sent in response to detecting a closing order execution in the first leg of the spread trading strategy. A hedge order is generated at 506 and transmitted at act 508. The hedge order may be sent to an electronic exchange, where the hedge order is listed and / or traded here. The electronic exchange for the hedge order may or may not be the same as the electronic exchange on which the first tradeable object is listed. For hedge orders, order parameters such as hedge order prices may be determined. The order parameters may be determined such that the spread price of the spread trading strategy is achieved when the hedge order is filled.

  FIG. 6 is a block diagram illustrating an exemplary system 600 for synthetic spread trading. System 600 includes application program interface (“API”) 606, exchange 604, client device, communication 602 between API 606 and client device, and communication 608 between API 606 and exchange 604. including. Communication 608 between API 606 and exchange 604 may include information such as market data.

  Market data may include information about one or more tradeable objects. API 606 may convert market data. Market data is generally provided in a data format, such as one or more data feeds. The market data feed may be communicated between the exchange 604 and the trading application of the client device. The client device may be configured and arranged as described above. System 600 includes “T” exchanges and “M” client devices. The system generally has no limit on the number of exchanges and client devices.

  Client device 612 shows a more detailed block diagram. Client device 612 may include a number of components including a trading application 610, an automatic spreader 614, and a GUI manager 616. It should be understood that fewer or more components may be included. It will be appreciated that the client device 612 includes some of the components not shown.

  Trading application 610 and automatic spreader 614 may be software applications. Trading application 610 and automatic spreader 614 may be hosted on client device 612 or on other devices associated with client device 612. Although the automatic spreader 614 is shown with a trading application 610, the automatic spreader 614 and the trading application 610 may be the same software application on different client devices 612 or separate software applications. Automatic spreader 614 and / or trading application 610 may be hosted on a server and accessed over the network by client device 612.

  The GUI manager 616 may be embedded with a software application, hardware or a combination of hardware and software. The GUI manager may be used by input devices such as a mouse, keyboard, touch screen and output devices such as a monitor. Trading application 610 may be X_TRADER® from Trading Technologies, Inc., located in Chicago, Illinois. The X_TRADER application may incorporate a display screen, sometimes referred to as an MD_TRADER type display, that shows information such as market depth or orders being received in relation to price or value axes or scales. However, the present invention is not limited to any particular type of display.

  Information or market data may be accumulated and / or updated. The automatic spreader 614 generates spread data using some and all of the market data feed and spread setting parameters. A market data feed or commitment of multiple tradeable objects may be used to determine composite spread data. Spread data may include spread prices and spread market depth. The spread data may also include other items such as last transaction price (LTP) and last transaction quantity (LTQ), highs, lows, and the like for a certain time or period.

Spread data may be displayed in a spread window. The spread data may be displayed during spread generation and / or after spread generation. As described in US Pat. No. 7,437,325 entitled “Systems and Methods for Performing Automatic Spread Transactions,” which is hereby incorporated by reference in its entirety, a composite spread is established and spread data is Tools for presenting and trading composite spreads may be provided.
IV. Spread display

  FIG. 7 shows an example of a spread window 700 for a spread strategy having two legs. The first leg is displayed in window 702 and the second leg is displayed in window 704. The first leg window 702 corresponds to a tradeable object for FJUN10 commitment, and the second leg window 704 corresponds to an FDEC10 commitment. FIG. 7 shows a spread window 700 and two leg windows 702 and 704 for simplicity and clarity (two leg spread). The number of windows displayed may depend on the number of legs in the spread and / or user preferences. The number of legs of the spread can be arbitrary.

  The spread window 700 shows the in-place market and the depth of the generated spread data feed. The in-place market (inside market) includes the highest bid price or the highest buy price and the lowest bid price or the lowest sell price of the tradeable object. Leg windows 702 and 704 also show the in-place market for individual tradeable objects. Windows 700, 702, and 704 each include a buy order column and a sell order column in the market. Columns 706, 708 and 710 contain buy orders, and columns 712, 714 and 716 contain sell orders.

  In each column 706, 708, 710, 712, 714, 716, an indicator may be displayed to indicate an order for the tradeable object. For example, column 706 may be provided with an indicator to indicate a buy order in the market for the tradeable object of the first leg. Similarly, column 714 may be provided with an indicator to indicate a buy order for a second tradeable object in the market for second legible tradeable objects. The indicator may be a graphic, an icon, a number, or any other that represents an order.

  Windows 700, 702, and 704 each have individual columns 718, 720, and 722 that are filled with price levels. Price levels may be aligned along the axis. Each axis may be linear or curved, and may be fixed, substantially fixed, or dynamic. That is, the price level may not change, may change in response to automatically generated instructions, may change in response to user instructions and / or settings, or may change in response to market data or changes. May change in response to a combination of automatic commands, user commands and / or settings, market data and the like.

  Indicators may be positioned along price columns 718, 720 and 722 along the price level. The position of the indicator relative to the price columns 718, 720 and 722 may represent the price of the order corresponding to the indicator. In one example, the indicator “2” displayed at 0.97 in column 708 represents an order quantity 2 at a price of 0.97 in the market for tradeable objects in the second leg of the spread trading strategy.

  Columns 724, 726 and 728 provide the user with an indicator of the orders that are being accepted. In one example, an indicator is displayed in the price level of the corresponding price column 718, 720 and 722 in one of the columns 724, 726 and 728, and the order quantity of the tradeable object at the price corresponding to that price level is displayed. Is displayed.

  Columns 730, 732 and 734 display indicators representing other items or data. For example, the indicator may represent a final transaction quantity and / or a final transaction price of a tradeable object. For example, “17” displayed in price level 0.97 in column 732 represents the final trading order quantity 17 at the price 0.97 of the tradeable object in the first leg of the spread trading strategy.

  Windows 700, 702, and 704 may display one or more icons or fields of interest to the user to suit personal preferences and / or interests. Some icons or items displayed or hidden by the user include a system clock that indicates the current time.

Furthermore, icons or buttons for representing functions may be displayed. The icon or button may be selected to perform one or more corresponding functions. For example, a stop market (SM) button and / or a stop limit (SL) button may be displayed. The buttons may be selected to activate a stop limit order and a stop market order, respectively. There may also be a “Del All” button for deleting a buy / sell from the market. The “Delete Buy” and / or “Delete Sell” button may be selected to delete all buys / sells from the market. Instead of displaying “Buy” or “Sell”, each button may include an additional indicator that represents the total number of buy / sells to be deleted in the market. More or less buttons may be included.
V. Order relationships and identification

  A composite spread trading strategy may have a parent-child relationship defined. In one example, a composite spread order may be represented by one or more parent orders or may be associated with a parent order. The outright order in each leg of the composite spread order may be represented by a child order or may be associated with a child order. That is, the bid outright orders may each be represented by one or more bid child orders, and the resulting hedge order may be represented by one or more hedge child orders. Both the quote child order and the hedge child order are associated with one of the parent orders. A parent order may have multiple child orders. The number of parent orders may depend on the number of legs of the composite spread, the number of legs of the composite spread bid, user preferences, combinations thereof and the like.

  The parent order represents a synthetic order of one lot. The corresponding child order of the parent order represents a native order that includes this one lot of parent order. In one example, the parent order defines a composite spread that has two legs in a 1: 1 ratio. The user enters a one lot order of spreads and bids only on the first leg. Thus, there is one parent order, one child order is priced with respect to the first leg, and the other child order is for hedging the second leg.

In another example shown in Table 1 below, the composite spread has two legs with a ratio of 3: 2. The user enters a two lot order of spreads and bids on one leg.
Table I

  Thus, since each parent order represents a single lot composite spread order, there are two parent orders, one for each lot of a two lot composite spread order. Each parent order may be identified by a parent order ID (“POID”), and each child order may be identified by a child order ID (“COID”).

  Table I shows that each parent order may be associated with five corresponding child orders, each of the child orders being for one lot order. The parent order POID 100 is a child order 2000-2004 that includes three bid child orders COID 2000-2002 in the first leg of the composite spread and two hedge child orders COID 2003 and 2004 in the second leg or hedge leg of the composite spread. Have Similarly, parent order POID 101 has a child order COID 2005-2009, COID 2005-2007 is a quote child order in the first leg, and hedge child orders COID 2008 and 2009 are hedge orders in the second leg or hedge leg. It is.

  One or more orders representing the bid child order COID 2000-2002 may be sent to the exchange for tradeable objects in the first leg of the composite spread. Table I shows multiple child orders, but if the bid order represents all or some of the bid child orders COID 2000-2002 and 2005-2007, a single is associated with the tradeable object in the first leg. A bid order may be sent for multiple lots. That is, if the outright order represents more than one child order, the outright order submitted to the exchange to execute the leg of the spread may be for an amount greater than one lot order. In the above example, parent order POID 100 has child orders 2000-2004 and parent order 101 has child orders 2005-2009. All or part of the bid child orders may be combined into a single bid order. Further, all or some of the hedge child orders may be combined into a single hedge order, or more than one according to the quantity matching of the bid order associated with or represented by the bid child order. It may be combined with a hedge order.

  In the above example, the three bid orders COID 2000-2002 may be combined into a single bid child order having a quantity of 3 and the two potential hedge orders COID 2003 and 2004 are singles having a quantity of 2. May be combined into a single hedge order. Further, if the bid order represents each of the bid child orders of both parent orders, a single bid order of quantity 6 may be submitted for the first leg.

  After some or some of the bid orders representing one or more of the bid child orders have been executed / executed, one for the hedge child orders COID 2003 and 2004 with respect to the second leg tradeable object. One or more hedge orders may be submitted. That is, the hedge order may be submitted for execution based on execution of the quote order. Further, when a hedge order is submitted for execution, a hedge child order of the hedge order may be associated with a parent order and / or a quote child order. For example, if a single bid order with quantity 3 is partially filled (eg, filled with quantity 2), a single hedge with a quantity (eg, 1 lot) less than the total quantity of the hedge Orders may be submitted to the hedge in-place market. In another example, when a bid order representing the bid child order is submitted and a portion of the bid child order representing the bid child order 2000-2002 is filled, the quantity 2 representing the hedged child orders 2003 and 2004 A hedge order is submitted. In addition, hedge child orders 2003 and 2004 are associated with parent order POID100.

  The parent order ID and child order ID (POID and COID, respectively) indicate the desired behavior for tracking, recording and reporting the composite spread order. The COID may identify or associate (or be used to identify or associate) the COID parent and child orders. Similarly, a POID may identify or associate (or be used to identify or associate) a POID child order and a parent order. Further, the COID may identify or associate (or be used to identify or associate) a child order of the parent order.

  Table I shows how synthetic spread orders and their constituent orders can be identified and related. Other representations of the composite spread may be possible. Further, although Table I shows multiple child orders for each parent, each child order may be a separate and distinct order, may be a combined order, and some are combined Other child orders may be separate and distinguishable.

  The order identifiers (POID and COID) may take any format. The order identifier may provide a defined descriptor for the marking order. The order identifier may have a format that identifies each parent order and each child order of the parent order. The format may distinguish parent and child orders of one composite order from parent and child orders of other composite spread orders. An order may have a format that identifies each parent of a multi-lot composite order and distinguishes each parent order from other parent orders. The identifier may have a format that is automatically determined, manually determined according to user settings and / or preferences, etc., or determined by a combination of automatic and manual. The order identifier may be generated when or before the order is entered for execution and / or submitted to an exchange or the like.

  The order identifier may define the purpose of the order. Alternatively or additionally, the order identifier may identify the application / strategy that originated from or related to the order. For example, the order identifier may define an order as a hedge order initiated by an automatic spreader or similar tool. The order identifier may also represent the status of the order or corresponding transaction. For example, the order identifier may represent an order that has been filled and initiated, along with the hedge order and the corresponding tradeable object and the price of the order.

The order identifier may include a fill key that associates the hedge order with the fill of the corresponding order that triggered the hedge order. In addition, additional spread data may be identified that includes the desired price of the composite spread, identification of other legs, the time the order was placed, and the time the order was filled. These parameters are presented as examples, and additional or fewer identifiers and formats may be used. The order identifier is a US patent application Ser. No. 11 / 687,178, entitled “System and Method for Electronic Trading Order Management and Analysis,” filed on March 21, 2007, which is hereby incorporated by reference in its entirety. What is described in the specification may be provided.
VI. Order status

  Different states of the parent order may be defined. The status of the parent order includes open, pending, leg or execution. The state may be determined according to the status of the child order associated with the parent order. The state may also be determined according to other factors such as user preferences and / or settings. The state of the parent order may be numerically identified.

  For spread orders with multiple quantities and multiple parent orders, the number representing each state may identify the quantity of that order in the corresponding state. For example, in the case of a 3 lot or 3 quantity spread order, initially the quantity 3 of the composite spread order may all be accepted. Therefore, the state of the composite spread may be three orders that are being received.

  Thereafter, the spread order may have one lot that is being accepted, one pending lot, and one lot that has been executed. Thus, the status of the composite spread order will be 3 open orders, 1 pending order and 1 filled order.

  The parent order is 1) If the child order of the parent order's bid is being sent to an exchange or the like to be executed, and if none of these is being executed, it will be accepted Good. A parent order may remain open if one or more of the bid child orders may have been deleted, but the parent order may be fully or virtually filled as defined in the composite spread. For example, there is no order that has been canceled and prevents the parent order from being filled according to the composite spread ratio.

  A parent order may remain open if the parent order can still be completed or filled even if some of the constituent child orders have been deleted. For example, a parent order may be filled if at least two legs of the composite spread are priced. In general, a parent order can be open if at least one bid child order of the parent order is open.

  In one example, a parent order POID 100 with five child orders including three bid child orders and two hedge orders as shown in Table I will be accepted if three bid child orders are being accepted. It is in. If the composite order is for multiple lots (ie, two lots of composite orders), the composite order has two parent orders, one for each lot of the composite order. Both of these parent orders are being accepted if both parent orders are being quoted and the parent order cannot be filled and no parent orders have been filled or deleted. It becomes. Thus, a composite order for n lot spreads may generate n parent orders. In an embodiment, if a bid order of quantity 6 (each bid child order 2000-2002 and 2005-2007) has been submitted and not partially or fully filled, all bid child orders are It may be considered as being accepted.

  In another example, a parent order may have two child orders including a quantity 3 bid child order in the first leg and a quantity 2 potential hedge order for the second leg. The parent order may be accepted when child orders of these bids are being accepted. If the composite order is for multiple lots (ie, a two-lot composite order), this composite order may be represented by a single parent order with a quantity of 1, and the parent order is the order price of the parent order. If it is being accepted, it is being accepted.

  A parent order may be filled if all child orders of the parent order are filled. More specifically, a parent order is filled if the parent order's bid child order and hedge child order are both filled / executed according to the quantity specified for the spread.

  A parent order is legged if at least one of the bid order's child orders is filled, if at least one of the bid's child orders is being accepted as a managed order in the market, and legged, Or, if there is no deleted hedge child order, it may be determined as pending. In one example where one or more child orders have been deleted, such as through an outright deletion of a child order, the parent order may be pending if the parent order can be executed according to a spread ratio, etc. Good. If the parent order cannot be filled, the parent order may be canceled or otherwise not considered as part of the composite spread.

  If at least one order of the parent order is not filled or cannot be filled, the parent order may be considered legged. For example, the spread hedge leg market may be moved before an order is placed and entered, or before the order can be otherwise filled according to the spread. A hedge child order that has not yet been filled may be in a leg state. The parent order may be legged if one of the hedged child orders is deleted, such as through an outright deletion. A bid child order may be legged if the bid child order has changed from a managed order to an unmanaged order. For example, the user preference may be selected to change the bid child order from managed to unmanaged due to the rounding function of the hedge.

In the example shown in Table II below, a composite spread order is placed for two lots of a two-leg spread having a ratio of 3: 2. In addition, the composite spread order in Table II is set to be priced in both legs of the spread. A composite spread order may first be represented by two parent orders, each of which has three bid child orders in the first leg and two corresponding potentials in the second leg for each parent. It has 10 child orders, including a hedge child order, two bid orders in the second leg, and three corresponding hedge orders in the first leg for each parent. This composite spread order may be represented by multiple spread orders, each for a single lot, but a composite spread order is represented by fewer parent orders where each order is for multiple lots or for two or more quantities. There is also a case.
Table II

In the initial state, if a composite spread order is placed and no orders are executed / executed, SO W = 2, SO P = 0, SO L = 0 and SO F = 0. However,
SO W = number of parent orders being accepted,
SO P = number of pending parent order,
SO L = number of parent orders legged, and
SO F = number of parent orders fulfilled.

  Referring to FIG. 7, when a composite spread order is entered or otherwise submitted to be traded, a status indicator 736 is aligned and / or displayed in column 724 to indicate the status of the composite order. Also good. Price selection and order entry may be the result of responding to many inputs. The order may be entered according to the selection of price along the quantity and price column 718. Also, if the quantity is pre-selected or predetermined, the order may be entered according to the price selection along the price column. The selection of the price may occur in response to one or more clicks or other operations or activation of the input device to send a send command at a price.

  Status indicator 736 may be aligned to a price level corresponding to the price of the order along price column 718 of spread window 700. The status indicator 736 may be any indicator such as a number, icon, graphic, color code or combination thereof for identifying the status of the order. For example, a status indicator for a legged composite spread order or a legged portion of a composite spread order may be displayed in red font numbers to indicate the quantity of legged composite spread orders.

  The status indicator 736 may represent one or more of the trader's orders. The status indicator 736 also shows how many orders are being placed, how many orders are being received, how many orders are being executed, how many are being placed, regardless of whether they are sell orders or buy orders. It may also represent the status of the trader's order, including the order pending, how many orders are legged, and / or combinations thereof. In the example shown in FIG. 7, status indicator 736 indicates two orders that are being accepted by a notation “2” adjacent to notation “W”. Further, status indicator 736 indicates that the composite spread order has not been filled or bought by a notation of “0” adjacent to notation “B”. Thus, two orders in the composite spread are being accepted, no orders are being filled or bought, and there are no legged or pending orders.

  FIG. 7 further shows a status indicator 738 in the legs of the spread. Status indicator 738 may be similar to status indicator 736 and may represent one or more orders of the corresponding tradeable object for that leg. The status indicator 738 may be any indicator, including an icon indicator, a graphic indicator, a numeric indicator, or the like, for representing an order in the legs of the spread. Status indicator 738 may also represent an outright order in each leg, or an order associated with the spread. The status indicator 738 may represent one or more of the trader's orders. The status indicator 738 also shows how many orders have been placed, how many orders are being accepted, how many orders are being executed, It may also represent the status of the order, including pending orders, how many orders are legged, and / or combinations thereof.

  In FIG. 7, the status indicator 738 is positioned at 1.06, 1.02, and 0.97 in the price column 720 in the first leg window 702 and 1.05 in the price column 722 in the second leg window 704. And 1.02. The leg window is represented by the status indicator 738, how much the order is filled (eg, bought = “B”, obtained “S”), is being received (“W”), and pending (“P”) and / or an order status notation such as being legged (“L”) may be displayed.

  FIG. 7 further shows a leg status indicator 740. The status indicator for each leg identifies a tradeable object order associated with that leg of the composite spread. In the example shown in FIG. 7, the leg status indicators are positioned at 0.97 of the first leg 702 of the composite spread and 1.05 of the second leg 704 of the composite spread. The leg status indicator identifies that one or more orders represented by status indicator 738 are associated with the composite spread.

  As discussed with respect to the example presented in Table II, FIG. 7 shows that two composite spread orders were placed at -0.030. Since the composite spread ratio is defined as 3: 2, the order of quantity 6 in the first leg representing the child order of the 6 prices in the first leg is traded in the first leg 702. Submitted at a price of 0.97 for possible objects. Further, a quantity 4 bid order in the second leg representing an order of 4 bids in the second leg has been submitted with a price of 1.05 for the tradeable object in the second leg.

FIG. 8 illustrates an example after a portion of a quote order has been filled and at least one corresponding hedge order has been filled. More specifically, a portion of the bid order in the first leg A representing the three bid child orders COID 2000-2002 in the first leg A is filled and the hedge child order COID 2003 in the second leg B A hedging order representing is also submitted and executed. Further, since the bid child orders COID 2000-2002 are filled, the bid child orders COID 2008 and 2009 have been deleted or canceled, and the corresponding hedge orders of the hedge child orders COID 2005-2007 are sent or submitted for execution. It has not been. Second order POID 101 bid child orders COID 2010-2012, 2018 and 2019 bid orders are being accepted and not yet executed / executed. The parent order POID 100 is assumed to be in a leg state, and the parent order POID 101 is being received. Therefore, SO W = 1, SO P = 0, SO L = 1, and SO F = 0.

  Accordingly, status indicators 736 and 738 in FIG. 8 have been modified from the status indicators of FIG. 7 to reflect the changes. More specifically, status indicator 736 at -0.030 of the composite spread order indicates that one of the initial orders is being accepted ("W1") and the other order is legged ("L1"). In addition, no order has been executed / executed (“B0”), and the order has been corrected to reflect that there is no pending order. In addition, the status indicator 738 associated with the composite spread at each leg 702 and 704 also reflects the change. Status indicator 738 at 0.97 in first leg 702 reflects that three orders are being accepted (“W3”) and three orders are being bought (“B3”). . The status indicator 738 at 1.05 in the second leg 704 represents the bid child orders COID 2018 and 2019, there are no orders sold (“S0”), and two orders are being accepted (“W2”). It reflects that. In addition, status indicator 738 is aligned to 1.00, one of the hedge orders is sold (“S1”), and one of the hedge orders remains open (“W1”) Is represented.

FIG. 9 shows an example of a spread window display after further child orders have been filled. More specifically, quote child orders COID 2010 and 2011 have been executed, and an order for hedge child order COID 2013 has been submitted to the tradeable object for leg B in the composite spread. The order identifier of the hedge child order COID 2013 allows the hedge child order COID 2013 to remain associated with the parent order POID 101. The parent order POID 101 has bid child orders COID 2010, 2011 and 2013 that are being executed / executed. Further, the quote child order COID 2018 has been deleted and the hedge child orders COID 2015 and 2016 are not transmitted. Thus, as before, parent order POID 100 is legged and parent order POID 101 is now pending, SO W = 0, SO P = 1, SO L = 1 and SO F = 0.

  Accordingly, indicator 738 in FIG. 9 represents the current status of the composite spread. The status indicator 736 at -0.030 of the composite spread order indicates that one of the initial orders is pending ("P1"), the other order in the spread remains legged ("L1") and filled. / Modified to reflect that no order has been executed ("B0"). The status indicator 738 at 0.97 in the first leg 702 reflects that one order is being accepted (“W1”) and five orders are being bought (“B5”). . The status indicator 738 at 1.05 in the second leg 704 represents the remaining bid child order COID 2019 and now there are no orders sold (“S0”), and one order is being accepted (“ W1 "). Further, status indicator 738 at 1.00 indicates that another hedge order has been sold (“S2”) and one of the hedge orders remains open (“W1”).

  Indicators 736 and 738 may be removed if the composite spread parent order is not pending, not in a leg state, and the composite spread order is filled. Accordingly, indicators 736 and 738 may not be displayed in windows 700, 702, and 704 when a composite spread order is filled.

  A composite spread order may have a defined lifetime or various stages of status during that lifetime. Composite spread orders may be secured, managed, reported and otherwise managed as a single integrated tradeable object. In general, the life of a composite spread order ends when all orders in the spread are filled, when child orders are deleted, or when composite spread orders are deleted.

Parent-child relationships and parent and child order status track, represent, manage, and report trades in composite spreads, including spread orders, spread component orders and spreads and contract executions And may be used for recording and operating separately. For example, composite spreads with traded bid orders from multiple legs are identified, tracked and managed. Tools such as the Autospreader tool may be used to maintain and update the state of the parent order and, as noted above, maintain the SO W , SO P , SO L 1 and SO F counts. It may also be used for updating. The tool may maintain and update the count while the composite order exists. For example, an outright execution that completes a composite spread order may be counted and reported as an execution of that composite spread order. Once the composite spread order has been filled, the transaction may be secured, reported, processed and otherwise managed using additional or alternative tools. In addition, the tool may be used before a composite spread order is placed or submitted to be executed.

  Once entered, the composite spread may be reported as a single and / or integrated tradeable object. Furthermore, the composite spread of submitted orders (ie, pending or pending) may be managed by tools other than the spread tool that launched the composite spread.

  FIG. 10 shows an example of the composite spread order list tool 1000. The order list tool 1000 shows a composite spread entry 1002 corresponding to a composite spread order that has already been submitted and is currently accepted or pending, as in the case of an order list at an exchange. The order list tool 1000 may be used to present information regarding pending or open orders. The order may be a specific trader order and / or multiple trader orders. The order list tool 1000 may display one or more parameters for one or more orders. The number and type of parameters displayed in the order listing tool may be selectable by the user and may be configured according to user preferences. The order list tool 1000 displays the status of the order, whether the order is buy or sell, quantity, tradeable object name, trade name or product type, tradeable object or deal type, order price, and corresponding reverse The limit price, order type, TIF, regulation, order execution and acceptance quantities, associated account numbers and order numbers may be displayed.

  The order listing tool 1000 may include one or more composite spread entries 1002 and outright order entries 1004. The composite spread order entry 1002 may be reported or presented as one integrated order in the order listing tool. That is, even though multiple orders may be presented or submitted for execution, the composite spread order may be reported as a single order of the composite spread or as a collection of constituent orders. Accordingly, the order list 1000 may present an order entry 1002 for a composite spread order as one integrated tradeable object, as well as an entry 1004 for an outright order. The composite spread order entry 1004 indicates that the entry is for spread by specifying “Autospread” under the product column while the outright order specifies the product as “ES”. Of course, those skilled in the art will recognize that other notations may be possible to distinguish the composite spread order for tradeable objects from the outright order.

  Since the composite spread order entry 1002 can report tradeable objects, such as in an order listing tool or the like, this tool is used to manage the composite spread order and its constituent parent and child orders. May be used. A composite spread order entry 1002 may be selected and a function may be performed on the corresponding composite spread order. For example, a synthetic spread order may be deleted or canceled, a certain amount of the synthetic spread order may be changed to be reduced or increased, the price of the synthetic spread order is reduced or increased, etc. Also good. When a function is selected to be performed on a composite spread order, as detailed, the corresponding order or component order of the composite spread order is subject to the function performed on the composite spread order. Managed. For example, in response to deleting a composite spread in the absence of a fulfilled or executed child order, a child order that is a component of the deleted composite spread order may be deleted.

Other parameters of the composite spread order may also be changed. Orders such as composite spread order entry 1002 may be changed by selecting entry 1002 and changing the order parameters that are selected or specified. The parameters may be changed by selecting the corresponding tool or toolbar 1006 function. For example, to delete all orders in the order list, the user may select a “Delete All” button on the toolbar 1006. The toolbar may have buttons for explicit functions.
Alternatively or additionally, a drop down menu may be provided that allows one or more functions to be selected.

  The contracted composite spread order may be reported and managed in the contract window tool 1100. FIG. 11 shows an example of the composite spread order list tool 1100. The trade window tool 1100 may be used to present information about traded orders and to manage traded orders. The executed order may be a specific trader order and / or a plurality of trader orders. The fill window tool 1100 may display one or more parameters related to one or more filled orders. The number and type of parameters displayed in the deal window tool may be user selectable and may be configured according to user preferences. The Contract Window Tool 1100 displays the status of execution, the exchange on which the order was executed, the quantity that was executed, the price of the executed order, the products and contracts of the executed order, the account number, the execution time on the exchange, the order The number, order execution date and time when the order was placed or received by the exchange may be displayed.

  The filled composite spread order 1102 may be reported or included as a single order integrated into the fill window tool 1100. Multiple filled parent orders of a filled composite spread order may be reported combined into a single filled deal or may be displayed independently as filled orders. Further, multiple filled child orders of the filled composite spread may also be reported or included in the filling window tool 1100. Multiple orders may have been executed to complete a composite spread order, but a composite spread order is reported as a single order execution, a single execution or a collection of orders that are components of a composite spread. May be. Accordingly, the trade window tool 1100 may include a composite spread order entry 1102 as one integrated tradeable object, as well as an outright order entry 1104. The composite spread order entry 1102 indicates that the entry is for a spread by specifying “Autospread” under the product column while the outright order specifies the product as “ES”. Of course, those skilled in the art will recognize that other notations may be possible to distinguish the composite spread order for tradeable objects from the outright order.

  FIG. 12 shows an example of a composite spread market grid or market window tool 1200. The market grid window 1200 may include a composite spread entry 1202 for launching an order to report information about the composite spread and execute the composite spread order. Although multiple orders may be submitted as a result of submitting one composite spread order, in the market window 1200, the composite spread order may be reported as a single order. A composite spread order may be launched from the market window 1200 as a single tradeable object. An example of a market lattice is presented in US Pat. No. 7,437,325 entitled “Systems and Methods for Performing Automatic Spread Trading”, which is hereby incorporated by reference in its entirety.

  Composite spread orders may or may not be managed. Quote orders and hedge child orders are managed by one or more tools, such as spread tools (ie, Autospreader), such as when and how a managed order is submitted, modified and / or deleted. It may be assumed that it is managed from controlling the behavior of an order. Once the composite spread is generated and submitted, one or more bid child orders are generated and submitted to be executed. Further, one or more hedge child orders may be generated and held such that submission of a hedge child order is triggered by execution of one or more of the quote child orders of the composite spread; Or it may be targeted to be executed separately. Managed child orders may be synthetic spread quote orders and hedge child orders. Legged hedge orders, or hedge orders that have been submitted otherwise to be executed but not filled, may be considered unmanaged orders in the composite spread. Spread trading tools or other tools for tracking and reporting composite spread orders may track unmanaged components of the composite spread, but no longer manage order behavior. Thus, the spread trading tool no longer has to manage the legged hedge child orders.

  A composite spread order may be generated as a single entity or tradeable object. As described, the composite spread order may be generated according to the identified quantity and price of the composite spread order. For example, using spread window 700, a trader may enter a composite spread order by selecting a range associated with a price level in price column 718. As a result, a parent order for each lot of the composite spread order is generated. Further, in the legs of the composite spread, each parent's child order is generated and submitted according to at least user preferences and settings of the composite spread. Hedge child orders may be generated and held until sent in response to the execution or execution of other child orders.

  A composite spread may be deleted and / or canceled as a single entity or tradeable object. After a composite order is entered, if the child order associated with the composite order has not been executed or executed, the composite order can be deleted, canceled or put on hold, otherwise prevented from executing. Also good. Deletion may be performed using a spread trading tool such as Autospreader that launched the composite spread or submitted its child orders separately. Deletion of the composite spread order may delete all managed components of the composite spread. Furthermore, deleting a composite spread order may delete all unmanaged components of the composite spread. Thus, when a composite spread order is deleted, the trader may decide whether to delete the unmanaged order of the composite spread order. For example, the delete button on the window display 700 may be selected to delete all, some, or specified composite orders. When deleted, the child order of the open bid is deleted and no hedge order is sent.

  The composite spread order may also be adjusted after the composite order and its constituent child orders are filled. That is, the price of pending, pending and / or legged parent orders may be changed. The price change of the composite spread may be performed using a spread trading tool such as Autospreader that launched the composite spread or submitted its child orders separately. If the composite order is adjusted after submission, such as when the price of the composite order is changed, the price of one or more of the constituent child orders should reflect the price of the adjusted composite spread order May be adjusted according to the relationship between the parent order and the child order of the spread, the definition of the spread and / or the user preferences / settings. The price of the parent order being accepted may be adjusted to reflect the price change of the composite spread. A bid order that is associated with one or more pending or legged parent orders may be submitted to be executed at the price level of the bid child bid of the reordered spread order being accepted. Good.

  In addition, the quantity of parent orders being received may be affected. The quantity may be changed according to the change quantity selection using a spread trading tool such as Autospreader that launched the composite spread or submitted its child orders separately. The quantity may be changed within a certain value range, including changing the order quantity to zero. Quantity limits may be determined according to one or more factors including user preferences / settings, limits set by exchanges, bill exchanges or other third parties and / or limits set by regulatory authorities Good. If a fixed amount of composite spread order is adjusted after it is entered, the quantity for one or more of the constituent child orders is also related to the relationship between the parent and child orders of the spread, the definition of the spread And / or may be adjusted according to settings. In response to adjusting the quantity of the composite spread order, the quantity of the order being accepted may be adjusted, while the quantity of the legged or pending order may not be adjusted. If the quantity is adjusted, a risk analysis performed on the adjusted order may be performed to determine a new risk position. For example, if a certain amount is reduced, the risk reserve for a reserved hedge child order may be reduced as appropriate.

  Child orders may be changed or updated using tools other than the spread trading tool that launched the composite spread. For example, when a composite spread is launched, a bid child order is submitted in one or more legs of the spread. Managed bid child orders may be changed in a window display, such as the MD_Trader window display or other application, for the corresponding leg of the spread while the bid child order is being managed. The child price order may be changed using other tools for managing orders, such as an order listing tool. Further, the bid child orders may be deleted or adjusted using other tools.

  A change or deletion of the hedge child order may result in the deletion of all managed and unmanaged components of the composite spread order. Additionally or alternatively, the composite spread associated with the modified or deleted hedge child order may remain legged. With respect to a bid child order, when a price change to a new price level occurs, such as through a window display of tradeable objects or an order list, the bid child order may be set to this new price level. The tool that launched the composite spread order may adjust the target price of the associated hedge order to achieve the spread, or the associated hedge order at or near the original target price You may submit it at a price. In addition, other managed orders may not be affected.

  When a quantity change occurs through the window display or order list of a tradeable object for a managed bid child order, the bid child order may be removed as a managed order or otherwise removed. . All other bid orders may also be removed depending on user preferences / settings. Legged parent orders may also be removed according to preferences selected by the user. If the bid child order is deleted, the composite spread may remain if the composite spread can still be executed. Otherwise, the composite spread order may also be removed.

  Unmanaged child orders may also be changed or modified using tools other than the spread trading tool that launched the composite spread. For example, the price of an unmanaged child order may be changed using a window display of tradeable objects corresponding to the leg of the spread where the unmanaged child order exists, or other tools such as an order listing tool. When an unmanaged child order price change occurs, the composite spread that is the origin of the unmanaged child order may remain active and may be completed. However, the original price of this composite spread may be affected by unmanaged child order price changes at the time of execution.

  In an exemplary embodiment, the quantity of unmanaged child orders is varied by selecting a modified quantity using a window display such as an X_TRADER window. The quantity of unmanaged child orders may be changed within a range of values, including changing the order quantity to zero. The limits may be determined according to one or more factors including user preferences / settings, limits set by exchanges, bill exchanges or other third parties and / or limits set by regulatory authorities. If an unmanaged child order, such as a legged hedge order, is modified, the composite spread that is the origin of the unmanaged child order may remain.

If the quantity of unmanaged child orders is increased, the original quantity may be used to determine the status and count of the composite spread order. For example, if a synthetic order of one lot at a ratio of 3: 2 is placed, three orders in the first leg are filled, and two orders in the second leg (hedge orders) are legged, The count of the parent order that is legged is 1 (SO L = 1). Even if the number of legged child orders is increased from 2 to 3 and one of the three is filled, the count of the legged parent orders may remain 1 (SO L = 1). The parent order is executed when one of the remaining two orders is executed. At this point, the remaining one order may continue to function or be removed.

  The quantity of unmanaged child orders may be reduced. In this case, the parent order may be permanently legged. For example, if unmanaged orders are reduced and the remaining hedge orders are filled, the composite spread order cannot be filled because there is no quantity left to fill the composite spread. Similarly, if an unmanaged child order is deleted, the composite spread may be deleted and the composite order may be permanently deleted because the child order cannot be filled. If a composite spread order is considered permanently legged, the composite spread may be removed or deleted manually or automatically.

  A trader or trader group position or risk may be determined according to a composite spread position including a composite child bid child order and a hedge child order position. That is, by managing a composite spread order with its constituent child orders as a single integrated order, the exact position of the trader is determined before the composite spread order is submitted to be executed. Also good.

  For example, when a synthetic spread order is generated, a quote order may be submitted to be executed, and a hedge order is generated and held until one or more of the price child orders are executed May be. Before the quote child order is submitted for execution, a risk check may be performed taking into account the quote child order and the hedge child order. Orders may be submitted if within acceptable or acceptable limits. Position or risk analysis may be performed again to reflect any changes after the order is submitted and one or more child orders are filled. Further, the position or risk analysis may be performed in view of changes in orders that are managed and / or not managed. A description of the spread configuration window is provided in US patent application Ser. No. 12 / 410,210, entitled “System and Method for Risk Checking” filed Mar. 24, 2009, which is hereby incorporated by reference in its entirety. In the specification of the issue.

  The target price of the composite spread may be achieved through management of the child orders of the composite spread. For example, the composite spread may be launched at the target price of the composite spread. As a result, at least one bid child order is submitted to be executed and at least one hedge child order is associated and / or generated with the at least one bid child order and the at least one bid's order The child order execution is held in an undecided state.

  In an example where a bid child order is submitted in multiple legs of a composite spread parent-child order, price distortion may occur due to execution of the bid child order in multiple legs. That is, the composite spread target price is not achieved because multiple quote child orders were executed even though the composite spread was defined as only one quote child order executed in a single leg. Sometimes. Price distortion may be minimized or eliminated by managing multiple quote child orders as a component of a composite spread order and / or parent order. In the parent-child relationship, the child order and the parent order are associated, and the quote child order may be canceled in response to execution of the quote child order in another leg of the composite spread order. In an example where the composite spread has three legs A, B, and C and multiple bid child orders are submitted to run three legs simultaneously, the price of the bid child order in one leg (leg B) Execution may trigger cancellation of the bid child orders on the other legs (legs A and C). Thus, the true price of the composite spread order can be obtained or attempted to be achieved.

  In addition, bid child orders and hedge child orders are targeted spread prices by managing other bid child orders and their associated hedge child orders if the quote child order can be deleted prior to its execution. And may be related so that quantities can be achieved. If multiple bid child orders are executed before at least one bid child order is deleted, the composite spread may be overfilled. Overfilled composite spread orders may be double-filled, triple-filled, or similar. That is, the quantity of the composite spread order may be greater than the target quantity of the composite spread order because at least one of the bid child orders was not deleted prior to its execution. However, if one or more of the traded bid orders are only partially filled, the composite spread order may not be overfilled.

  In the case of multiple fills, a new parent order may be generated for each additional fill in order to track and manage the additional filled orders. As a result, some pending orders, filled orders and pending orders can be increased. However, in order to match the original quantity of the composite spread order, the number of orders being received may be reduced by managing the quote child order and the hedge child order within the original quantity of the composite spread order. .

  Orders may also be managed to automatically unwind the composite spread. In an exemplary embodiment of a composite spread that is pending or has at least one pending parent order, the filled child orders of the composite spread may be unwinded or discarded, and the composite spread order May be canceled. That is, the user may select an unwind function, such as by selecting a button on the spread tool window, an order listing tool, or the like, to unwind the composite spread order.

  The user may also establish a setting or preference to unwind the position in response to the trigger. The trigger may be the amount of time of the order, the price of the order, the quantity of the order, or the like. When triggered, the composite spread order and its constituent child orders may be managed to unwind the composite spread order. Alternatively or additionally, when triggered, the user may be provided with multiple options for unwinding the composite spread. In one example, the amount of time that there are pending composite spread orders is recorded. If the amount of time exceeds a threshold set by the user, the composite spread order may be automatically unwinded by generating and submitting a modifier order to discard the pending composite spread order. Good. Additionally or alternatively, when the amount of time exceeds a threshold, an option may be presented with an estimated associated cost for each option. The user may select from options to unwind the composite spread.

  The pending composite spread may be unwinded by deleting the pending child order of the pending composite spread and submitting a component corrector order to discard the open position of the composite spread, so Once the corrector order is filled, the position generated by the pending spread is canceled. That is, the trade-out of the position where the pending spread is generated up to the point where the pending spread is unwinded occurs. Unwinded orders and component modifier orders may be managed as composite spread orders, as discussed above. Unwinded orders and modifier orders may have prices and quantities that flatten or cancel open positions in the composite spread. Further, the composite spread order may have several types of unwind orders and / or modifier orders such as unwinding the composite spread order.

  For example, a pending composite spread order may be unwinded by submitting a modifier order to join the market and / or preventing the spread market. That is, the composite spread may be unwinded by sending a corrector order that is executed in each leg of the composite spread to flatten or cancel the position in that leg of the executed order. Corrector orders may be submitted in the on-site market to be executed. Both the composite spread quote order and the hedge order are canceled, and after execution of the corrector order, the composite spread may be considered discarded due to the corrector order.

  Pending composite spreads may also be unwinded by submitting unwind orders to hinder the spread market. An unwind order may include a child order with at least one executed child order for each leg of the composite spread. Each child order of the unwind order has a quantity that cancels or flattens the child order in the corresponding leg. In addition, the child order of the unwind order has a price in the in-place market for that leg so that the child order of the unwind order is executed at the time of submission or when it is generally submitted to be executed. When a child order of an unwind order is submitted, the remaining child orders of the composite spread to be unwinded may be canceled, so execution of the unwind order results in the composite spread order being discarded .

  Multiple options for unwinding the composite spread may be presented. The option may be presented automatically, presented in response to a user selection, and / or automatically presented in response to a trigger as discussed above. Options may include information regarding the cost of each option presented. The cost may be, for example, profit or loss associated with the option. Options may also be selectable. By selecting an option, one or more related functions for performing that option may be performed. Options may include joining the market, obstructing the spread market and / or unwinding the spread by trading out each leg. The options may further include continuing to operate the composite spread. Further, the option to unwind by participating in the market may have a sub-option for participating in the market to unwind the composite spread in each appropriate leg. By providing options and associated costs, the user may identify desired options. Thus, the user may select an option and thus the composite spread is unwinded.

  Pending orders that may have been deleted may also be reinstated automatically, manually, or a combination of automatic and manual. Deletion of pending orders may be deliberate or accidental. For example, pending orders may be deleted as a result of thin markets, systems, gateways, server or PC outages or obstructions, incorrect inputs, other error conditions, and the like. In order to revive pending orders, deleted pending orders that may be revived may be presented and selected. In addition, deleted pending orders may be selected to be unwinded as described above or replayed as originally established. The user may be presented with a resurrection function and / or a button, drop down menu, or other similar function for selecting deleted pending orders that may be reinstated.

  The composite spread may be managed to bracket a legged composite spread order. Composite spread order brackets may be established to manage legged composite spread orders to reduce losses associated with spread orders and / or cover gains associated with legged orders. The bracketing of the legged composite spread order may be identified or established according to user preferences. FIG. 13 shows an example of a spread configuration window 1300. The spread configuration window 1300 may be used to establish or set parameters for the composite spread and / or manage the parent and child orders that are the composite spread and its components. The spread window 1300 may be selected to set parameters. Parameters include internal and external slop settings, spread pricing choices, customer accounts, which legs should be priced, adjustments and offsets, payup ticks, composite spread ratios, whether order changes should be canceled / replaced Whether to check the price, leg order cover or upper bracket, leg spread order bottom or order-cancel-order bracket, parameters for unwinding composite spread orders and the like included. The type and number of parameters to be established can vary. The parameter is selected by entering the desired setting in the corresponding data entry area of the spread and / or the leg of the spread, selecting one or more choices from a drop down menu, selecting from a selection or radio button Or similar to these may be set. A description of the spread configuration window is presented in US Pat. No. 7,437,325 entitled “System and Method for Performing Automatic Spread Transactions,” which is hereby incorporated by reference in its entirety.

  The spread configuration window 1300 includes a cover bracket setting 1302 and an OCO setting 1304 for setting the upper bracket of the legged order. Cover brackets and OCO brackets may be set for one leg, multiple legs, or all legs of a composite spread order. The cover bracket and the OCO bracket may be set by inputting a target bracket. The target bracket may be based on some ticks away from the entered order, the ratio of the entered order, price, desired profit, worst case loss, price limit or the like . The target bracket may be the same or different on both legs. Further, the target bracket may be the same or different between the cover bracket 1302 and the OCO bracket 1304. In one example, a number representing several ticks is entered into both the cover bracket and the OCO bracket for each leg of the composite spread. The spread configuration window 1300 shows that the cover bracket 1302 is 1 tick for leg A and 3 ticks for leg B. The OCO bracket 1304 is 2 ticks at leg A and 4 ticks at leg B.

  Once the bracket is established, the leg of execution of the legged spread order may be bracketed. For example, when a legged parent order is detected, to reduce the loss and cancel the legged parent order and the corresponding hedge order and / or gain the legged parent order and the corresponding hedge order To cancel the bracket order, a bracket order may be entered into the promised leg. In one example, a legged parent order may include a promised child order in leg A and a pending hedge order in leg B. In response to identification of the legged parent order, the bracket parameter for the quantity to flatten, cancel, or close the filled order may cause a corresponding cover order and a corresponding OCO order will be generated May be. Since the order for leg A is filled, a cover order at a price determined according to bracket parameters is entered or submitted to be executed. In addition, an OCO order at a price determined according to bracket parameters is submitted for execution. In one example, the bracket order is 1 tick for a cover order and 2 ticks for an OCO order. Thus, the price of the cover order is one tick higher than the price of the filled order, and the price of the OCO order is two ticks lower than the price of the filled order. Legged synthetic spread cover orders, OCO orders and hedge orders may be associated.

  At the time a cover order or OCO order is executed, other related bracket orders may be canceled. Accordingly, the legged composite spread is not legged and may be excluded from management. For example, if a cover order is filled, any corresponding OCO orders and hedge orders are canceled. Cover discards pending orders. Since the hedge order is cancelled, there is no longer a composite spread as discussed above. Similarly, when an OCO order is executed, the corresponding cover and hedge orders are canceled, so there is no longer a composite spread as discussed above.

  In some embodiments, the bracket order may be entered after a predetermined time from the time the legged order is detected. For example, one or more bracket orders may be entered after a first amount of time when a legged order is detected. Further, the second bracket order may be entered after the second amount of time. The amount of time may be any increment set by the user.

  In certain embodiments, bracket orders may be entered based on the amount of movement after a legged order is detected. For example, one or more bracket orders may be entered after the leg market has moved a predetermined number of ticks. The predetermined number of ticks can be set or adjusted by the user. Further, the second bracket order may be entered after the same number of ticks or added ticks have moved.

  In some embodiments, bracket orders may be entered based on a predetermined amount of time and on the basis of market movements or tick counts. Those skilled in the art will recognize that other bracket orders or order types are possible and within the scope of the invention.

  It will be apparent to those skilled in the art that the methods included in the systems and methods described above may be implemented in a computer program product that includes one or more computer-readable media. For example, a computer readable medium may include a readable memory device, such as a hard drive device, CD-ROM, DVD-ROM or computer diskette, on which a segment of computer readable program code is stored. Computer-readable media can also include communication or transmission media such as an optical, wired or wireless bus or communication link through which program code segments are transmitted as digital or analog data signals. .

  The claims should not be read as limited to the described order or element unless stated to that effect. Accordingly, all embodiments that fall within the scope and spirit of the appended claims and their equivalents are claimed as inventions.

Claims (18)

  1. Receiving a market information for trading a certain amount of composite spread by a trading device , wherein the composite spread is a first leg for trading the first trading product and a second for trading the second trading product; Including legs ,
    Determining the number of lots, which is the amount of the composite spread, by the transaction device
    Determining the number of parent orders by the trading device based on the determined number of lots , wherein one parent order corresponds to one of the determined number of lots;
    Assigning , for each parent order of a plurality of parent orders determined by the trading device based on the amount of the composite spread, at least one bid child order for the parent order , wherein the at least one bid child order is: Corresponding to the bid child order quantity of at least one lot, the bid child order quantity of the one lot is sent to the first electronic exchange for performing trading in the first leg of the composite spread;
    Assigning , for each parent order of the plurality of parent orders determined by the trading device based on the amount of the composite spread, at least one hedge child order for the parent order , wherein at least one hedge child order is at least one Corresponding to a lot's hedge child order quantity, the one lot's hedge child order quantity being executed in the second leg of the composite spread in response to the trade of at least one quote child order being executed , Sent to the second electronic exchange,
    The transaction apparatus, for each of the parent order of the plurality of parent order which is determined based on the status beauty order state the hedge over the children order of each call value that corresponds to the parent order, the status of the parent order Steps to determine,
    Displaying the status of the determined parent order on the display of the transaction device;
    Including methods.
  2.   The method of claim 1, wherein the status of the parent order includes any of receiving, filled, pending and leg.
  3. Said step of displaying further display the orders descriptor before representing the kissing status, where orders descriptor orders descriptor, a color code displayed along the price axis based on the price of the synthetic Spread The method of claim 2 , wherein the method is a digitized order descriptor or a digitized order descriptor .
  4. Moreover, the parent order, to child orders and the hedge element order of the bid, including the step of assigning an order identification method of claim 1.
  5. Furthermore, the position risk analysis of the order of the synthetic spread viewed including the steps of determining according to the number of the parent order, where the child order of the bid, in response to determining that the position risk analysis is less than a predetermined limit The method of claim 1, wherein the method is submitted .
  6. Furthermore,
    Steps that via said user input device provided to the transaction system receives a user command to unwind the outstanding synthesis order,
    At least one parent order the steps for particular that corresponds to the synthesis order of the pending,
    Synthesis spread order of the pending, comprising the step of unwinding according to the outstanding synthetic spread orders the corresponding said at least one status of the child order and hedge element orders quote that corresponds to parent order, to claim 1 The method described.
  7. It said first electronic exchanges and the second electronic exchanges are different exchanges, the first trading product, wherein the second transaction each product, futures, currency, product, interest rate, index, equity, The method according to claim 1, which is a commodity including any of stocks, bonds, options, warrants, funds, and repos .
  8. The method of claim 1, wherein the hedge child order is held pending until a quote child order is filled.
  9. The program for making a computer perform the step in any one of Claims 1-8.
  10. A computer-readable recording medium recording a program for causing a computer to execute the steps according to claim 1.
  11. A receiver that receives market information to trade an amount of a composite spread, where the composite spread includes a first leg for trading a first trading product and a second leg for trading a second trading product;
    First determining means for determining the number of lots, which is the amount of the composite spread;
    Second determining means for determining the number of parent orders based on the determined number of lots, wherein one parent order corresponds to one lot of the determined number of lots;
    For each parent order of the plurality of parent orders determined based on the amount of the composite spread, first assigning means for assigning at least one bid child order for the parent order, wherein at least one bid child order is at least Corresponding to a one-lot bid child order quantity, the one-lot bid child order quantity is sent to the first electronic exchange to execute a trade in the first leg of the composite spread;
    A second assigning means for assigning at least one hedge child order for each parent order of the plurality of parent orders determined based on the amount of the composite spread, wherein at least one hedge child order is at least one lot; The hedge child order quantity of one lot is executed in the second leg of the composite spread in response to the trade of at least one quote child order being executed, Sent to the second electronic exchange,
    Third determination means for determining the status of the parent order of each of the determined plurality of parent orders based on the status of each quote child order corresponding to the parent order and the status of each hedge child order ,
    A display showing the status of the determined parent order,
    Transaction equipment including
  12. The transaction apparatus according to claim 11, wherein the third determination unit determines whether the status of the parent order is being received, executed, pending, or leg.
  13. The display further displays an order descriptor representing the status, wherein the order descriptor is an order descriptor displayed along a price axis based on the price of the composite spread, a color coded order description. The transaction apparatus according to claim 12, wherein the transaction apparatus is one of a child and a digitized order descriptor.
  14. The transaction apparatus according to claim 11, further comprising third assigning means for assigning an order identifier to the parent order, the bid child order, and the hedge child order.
  15. And a fourth determining means for determining a position risk analysis of the composite spread order according to the number of parent orders, wherein the bid child order is responsive to a determination that the position risk analysis is less than a predetermined limit. The transaction apparatus according to claim 11, submitted.
  16. Furthermore,
    A user command receiver for receiving a user command for unwinding a pending synthetic order via a user input device provided in the transaction apparatus;
    Identifying means for identifying at least one parent order corresponding to the pending composite order;
    12. The unwinding means for unwinding the pending composite spread order according to a status of a quote child order and a hedge child order corresponding to the at least one parent order corresponding to the pending composite spread order. The transaction device described.
  17. The first electronic exchange and the second electronic exchange are different exchanges, and each of the first trading product and the second trading product is a futures product, a currency, a product, an interest rate, an index, an equity, a stock, The transaction apparatus according to claim 11, which is a commodity including any one of a bond, an option, a warrant, a fund, and a repo.
  18. The trading device of claim 11, wherein the hedge child order is held pending until the quote child order is closed.
JP2012544512A 2009-12-14 2010-11-03 Synthetic spread trading Expired - Fee Related JP5639187B2 (en)

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US12/637,517 2009-12-14
US12/637,536 2009-12-14
US12/637,536 US8386368B2 (en) 2009-12-14 2009-12-14 Cover-OCO for legged order
PCT/US2010/055336 WO2011081711A2 (en) 2009-12-14 2010-11-03 Synthetic spread trading

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US7228289B2 (en) 2000-03-02 2007-06-05 Trading Technologies International, Inc. System and method for trading and displaying market information in an electronic trading environment
US6772132B1 (en) 2000-03-02 2004-08-03 Trading Technologies International, Inc. Click based trading with intuitive grid display of market depth
US7389268B1 (en) 2000-03-02 2008-06-17 Trading Technologies International, Inc. Trading tools for electronic trading
US6938011B1 (en) 2000-03-02 2005-08-30 Trading Technologies International, Inc. Click based trading with market depth display
US7127424B2 (en) 2000-03-02 2006-10-24 Trading Technologies International, Inc. Click based trading with intuitive grid display of market depth and price consolidation
US7243083B2 (en) * 2001-06-14 2007-07-10 Trading Technologies International, Inc. Electronic spread trading tool
US7418416B2 (en) * 2001-06-20 2008-08-26 Morgan Stanley Gamma trading tool
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US20070156567A1 (en) * 2006-01-03 2007-07-05 Peter James Sbst, Inc. (A California Corporation) Automated method and system for market making, centralized margin facility and clearing of synthetic orders
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