U.S. patent application number 12/832241 was filed with the patent office on 2010-10-28 for system and method for displaying order information in relation to a derivative of price.
This patent application is currently assigned to TRADING TECHNOLOGIES INTERNATIONAL, INC.. Invention is credited to Michael J. Burns, Fred Monroe, Scott F. Singer.
Application Number | 20100274706 12/832241 |
Document ID | / |
Family ID | 42583410 |
Filed Date | 2010-10-28 |
United States Patent
Application |
20100274706 |
Kind Code |
A1 |
Singer; Scott F. ; et
al. |
October 28, 2010 |
System and Method for Displaying Order Information in Relation to a
Derivative of Price
Abstract
Market data, such as order information, is displayed in relation
to a derivative of price. A derivative of price refers to anything
that bears some relationship to price, examples of which, include
net change, yield, profit and loss, volatility, momentum
indicators, and more. According to various aspects of the preferred
embodiments, market data is received from one or more electronic
exchanges and a value axis is generated based on a user's
preferences. Then, market data can be displayed in relation to the
value axis to provide a user interface that allows a trader to view
the market from a more desirable perspective.
Inventors: |
Singer; Scott F.; (Lake
Bluff, IL) ; Burns; Michael J.; (Chicago, IL)
; Monroe; Fred; (Silver Springs, MD) |
Correspondence
Address: |
MBHB/TRADING TECHNOLOGIES
300 SOUTH WACKER DRIVE, SUITE 3200
CHICAGO
IL
60606
US
|
Assignee: |
TRADING TECHNOLOGIES INTERNATIONAL,
INC.
Chicago
IL
|
Family ID: |
42583410 |
Appl. No.: |
12/832241 |
Filed: |
July 8, 2010 |
Related U.S. Patent Documents
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Application
Number |
Filing Date |
Patent Number |
|
|
10800295 |
Mar 12, 2004 |
7783556 |
|
|
12832241 |
|
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Current U.S.
Class: |
705/37 |
Current CPC
Class: |
G06Q 40/04 20130101 |
Class at
Publication: |
705/37 |
International
Class: |
G06Q 40/00 20060101
G06Q040/00 |
Claims
1. A method for displaying market information relating to a
tradeable object being traded at an electronic exchange having an
inside market with a highest bid price and a lowest offer price,
the method comprising: dynamically displaying a first indicator in
one of a plurality of locations in a bid display region, each
location in the bid display region corresponding to a derivative of
price value along a static value axis, the first indicator
representing quantity associated with at least one order to buy the
tradeable object at the highest bid price currently available in
the market; dynamically displaying a second indicator in one of a
plurality of locations in an ask display region, each location in
the ask display region corresponding to a derivative of price value
along the static value axis, the second indicator representing
quantity associated with at least one order to sell the commodity
at the lowest ask price currently available in the market;
displaying the bid and ask display regions in relation to fixed
derivative of price values positioned along the static value axis
such that when the inside market changes, the derivative of price
values along the static value axis do not move and at least one of
the first and second indicators moves in the bid or ask display
regions relative to the static value axis; displaying an order
entry region comprising a plurality of locations for receiving
commands to send trade orders, each location corresponding to a
derivative of price value along the static value axis; and in
response to a selection of a particular location of the order entry
region by a single action of a user input device, setting a
plurality of parameters for a trade order relating to the tradeable
object and sending the trade order to the electronic exchange.
2. The method of claim 1 further comprising displaying a numerical,
graphical, or numerical and graphical representation of the
derivative of price values along the common value axis.
3. The method of claim 1 wherein each of the derivative of price
values are based through a common relationship on a different
price.
4. The method of claim 3 wherein the common relationship is input
through a graphical user interface.
5. The method of claim 3 wherein the derivative of price values
comprise a net change and the common relationship comprises Net
change=(Value(s) at Current Point)-(Value(s) at Reference
Point).
6. The method of claim 1 wherein the derivative of price values
comprise yield, profit and loss, volatility, or momentum
indicators.
7. The method of claim 1 wherein the derivative of price values are
updated at predetermined intervals.
8. The method of claim 1 further comprising displaying a region for
receiving a command to update the derivative of price values,
wherein the derivative of price values are updated in response to a
selection of the region with a user input device.
9. The method of claim 1 wherein the derivative of price values are
updated in response to detecting a programmed event.
10. The method of claim 1 further comprising displaying a plurality
of bid and offer indicators in association with the derivative of
price values, wherein each of the bid indicators represents a
quantity available to buy the tradeable object and each of the
offer indicators represents a quantity available to sell the
tradeable object.
11. The method of claim 10 further comprising: consolidating the
derivative of price values on the static value axis such that
groups of two or more values are combined into consolidated value
levels; and consolidating the display of the plurality of bid and
offer indicators into a plurality of consolidated bid and offer
indicators so that each consolidated bid and offer indicator
represents quantity associated with a the two or more values within
a consolidated value level.
12. The method of claim 1 further comprising displaying a second
set of values along the static value axis, wherein each of the
second set of values corresponds to each of the derivative of price
values on the value axis.
13. The method of claim 12 wherein each of the second set of values
represents a price.
14. The method of claim 12 wherein each of the second set of values
represents a different derivative of a price.
Description
CROSS REFERENCE TO RELATED APPLICATIONS
[0001] This application is a continuation of U.S. patent
application Ser. No. 10/800,295, filed Mar. 12, 2004, entitled
"System and Method for Displaying Order Information in Relation to
a Derivative of Price", now pending, the contents of which are
fully incorporated herein by reference for all purposes.
FIELD OF INVENTION
[0002] The present invention relates to electronic trading. More
specifically, the present invention relates to displaying market
information on a screen.
BACKGROUND
[0003] An electronic exchange provides an automatic matching
process between buyers and sellers, also referred to herein as
traders. In particular, traders connect to an electronic exchange
over a communication link. If necessary, a gateway is sometimes
used to connect the trader with the electronic exchange. Once a
trader is connected, the electronic exchange can broadcast its data
feed to the traders over the communication link. Subsequently, the
traders receive the data feed, in one form or another, and their
computers process the information. Traders may respond by sending
orders to buy or sell the tradeable object. When the electronic
exchange receives an order, it may check the limits of the order,
for example price and quantity, and prioritize the order. When buy
and sell orders match, a trade occurs and information relating to
the trade is relayed back to the traders' computers.
[0004] The kinds of information that are present in an electronic
exchange's data feed are relatively dependent on the exchange
itself. However, most electronic exchanges provide the same key
pieces of information. For instance, they typically provide the
best prices. This might include the best bid price, which
represents the highest price that someone is willing to pay for the
tradeable object, and the best offer price, which represents the
lowest price that someone is willing to sell the tradeable object.
A data feed might also include one or more levels of the next best
prices such as the next highest bid price(s) or the next lowest ask
price(s). Along with price information, an electronic exchange will
likely provide the bid and offer quantities available at those
prices. More advanced electronic exchanges may even provide things
like the last traded price ("LTP"), the last traded quantity
("LTQ"), the previous day's settlement price, the open price, the
close price and other information.
[0005] The data feed's content can be displayed to a trader using a
variety of different formats, any of which would be known to one of
ordinary skill in the art. To provide the reader with a general
background, two examples are provided directly below, with the
understanding that many different formats and variations of the
example screens shown in FIG. 1 and FIG. 2 exist and could also be
used.
[0006] In one example, FIG. 1 illustrates a typical display 100
used in electronic trading. A trading screen similar to that shown
in FIG. 1 is commercially available, as the Market window in the
X_Trader.RTM. product offered by Trading Technologies
International, Inc. of Chicago, Ill. In general, display 100 has an
order entry section 102 and a market grid section 104. The order
entry section 102 may have pre-set fields, properties, and buttons
that can help someone trade quickly and efficiently. The market
grid section 104 displays tradeable object information such as the
tradeable objects name 106, number of working buy orders 108, bid
quantities 110, bid prices 112, sell prices 114, sell quantities
116 and working sell orders 110. For instance, "object 1" is a
tradeable object that has an inside market with a best bid price of
"230" and a best offer price of "232." The quantity available at
the inside market is "15" at "230" and "10" at "232." In another
instance, "object 2" is another tradeable object that has an inside
market with a best bid price of "190" and a best offer price of
"192." The quantity available at the inside market is "45" at "190"
and "90" at "192."
[0007] In another example, FIG. 2 illustrates an evolved and more
intuitive trading screen 200. A trading screen similar to that
shown in FIG. 2 is also commercially available, as MD Trader.TM.,
from Trading Technologies International, Inc. of Chicago, Ill.
Trading screen 200 displays the same type of information as trading
screen 100 in FIG. 1, except that it displays, among other things,
bids 202 and offers 204 in association with price values along axis
206. Thus, a trader may view the market as it moves relative to
price values on axis 206. Moreover, traders may enter orders
quickly through trading screen 200 by simply clicking, with a mouse
or some other input device, on specific areas on the screen
associated with the price values.
[0008] In addition to viewing traditional-style trading screens,
traders are often interested in analyzing other pieces of highly
relevant information that are not normally provided in an
electronic exchange's data feed nor displayed by a trading screen.
For instance, they might make quick mental calculations, use
charting software, or look to other sources to provide additional
insight beyond what is normally provided by an exchange or a
typical trading screen. Some even trade directly off this
information. Regardless of what source or sources a trader might
use, it may be too difficult for the trader to quickly assimilate
this highly relevant information from diverse and often unrelated
sources or even effectively process all of the information to make
informed trades. In doing so, the trader must attempt to determine
various trends in the buying or selling of the tradeable object to
favorably characterize the market.
[0009] In the following detailed description, a system and method
for displaying, on a trading screen, order information in relation
to a derivative of price, and in particular, for displaying the
derivative of price along an axis, are described. These tools
provide advantages, as described below, to a trader in an
electronic trading environment.
BRIEF DESCRIPTION OF THE DRAWINGS
[0010] Many aspects of the preferred embodiments may be better
understood with reference to the following drawings. The components
in the drawings are not necessarily to scale, emphasis instead
being placed upon illustrating example embodiments.
[0011] FIG. 1 illustrates one example format used to convey market
information received from an electronic exchange to a trader;
[0012] FIG. 2 illustrates a second example format used to convey
market information received from an electronic exchange to a trader
along an axis;
[0013] FIG. 3 illustrates an overview of an example system
configuration, in accordance with the preferred embodiments, used
to relay market information to a variety of trading terminals;
[0014] FIG. 4 illustrates a flow diagram of an example process for
generating a derivative of price axis and displaying order
information in association with derivative of price values on the
axis;
[0015] FIG. 5 illustrates an example graphical user interface that
can be used to select price derivative types for use in generating
price derivative values;
[0016] FIGS. 6-9 illustrate an example screen in accordance with an
aspect of the preferred embodiments; and
[0017] FIG. 10 illustrates an example screen in accordance with
another aspect of the preferred embodiments.
DETAILED DESCRIPTION
I. Overview
[0018] The system and method of the present invention are
appropriate for use in any electronic trading screen, and work
particularly well with a trading screen similar to that shown in
FIG. 2, which displays market data in association with a price
scale or axis. A trading screen like that shown in FIG. 2 is
described in U.S. patent application Ser. No. 09/590,692, filed on
Jun. 9, 2000, and entitled, "Click Based Trading With Intuitive
Grid Display of Market Depth," the contents of which are
incorporated herein by reference. The system and method may also
work with a trading screen like that shown in FIG. 1, which is
described in U.S. patent application Ser. No. 09/589,751, filed on
Jun. 9, 2000, and entitled, "Click Based Trading with Market Depth
Display," the contents of which are incorporated herein by
reference.
[0019] In the description that follows, in the interest of clarity,
aspects of the preferred embodiments will focus primarily on
generating values that are derivatives of price and then displaying
these values along an axis on a screen. Thereon, market information
is displayed in relation to the value axis. Though, it is
understood that the system and method of the present invention may
be applied to any trading screen and are not limited to those with
use of an axis. It is further understood that the generated values
do not actually need to be displayed to a trader so long as market
information is displayed in relation to the derivative of price
values on the value axis.
[0020] As used herein, a derivative of price is anything that has
some dependence on or relationship to price. For instance, a
derivative of price (or "price derivative") might result from a
formula or other logical relation. There are many different
possible price derivatives and they are readily apparent to one of
ordinary skill in the art. Accordingly, an example embodiment using
net change as the derivative of price is primarily described with
the understanding that there are numerous other price derivative
types. For further illustration, however, some additional examples
are also included.
[0021] Other systems, methods, features, and advantages of the
present invention will be or become apparent to one with skill in
the art upon examination of the following drawings and description.
It is intended that all such additional systems, methods, features,
and advantages be within the scope of the present invention, and be
protected by the accompanying claims.
II. Example Trading System
[0022] The system and method of the preferred embodiments are
appropriate for use in any electronic trading environment. The
example electronic trading system, comprising various elements, is
described with the understanding that there are numerous equivalent
elements and systems, all of which will be apparent to one of
ordinary skill in the art.
[0023] FIG. 3 is a block diagram that illustrates an example
electronic trading system 300. The electronic trading system 300
includes one or more electronic exchanges generally indicated as
302, 304, 306 and one or more client devices generally indicated as
308, 310, 312. Intermediate devices such as gateways 314, 316, 318,
routers (not shown), and other such types of network devices may be
used to connect network 320 to networks 322, 324, 326 so that
client devices 308, 310, 312 and exchanges 302, 304, 306 can
communicate.
[0024] As indicated above, the preferred embodiments are not
limited to any particular trading system configuration. For
instance, networks 322, 324, 326 could represent the same network,
network 320 could represent the same network as networks 322, 324,
326, or client devices 308, 310, 312 could connect directly to
gateways 314, 316, 318. In addition, it is understood that the
preferred embodiments may be implemented with systems that have
only one electronic exchange (e.g., any of electronic exchanges
302, 304, 306) that lists one or more tradeable objects.
[0025] A. Electronic Exchange
[0026] In one embodiment, electronic exchanges 302, 304, 306
represent electronic trading platforms that preferably support
electronic transactions of various kinds of tradeable objects.
Examples of more sophisticated electronic trading platforms include
the London International Financial Futures and Options Exchange
(LIFFE), the Chicago Board of Trade (CBOT), the Chicago Mercantile
Exchange (CME), the Exchange Electronic Trading ("Xetra," a German
stock exchange), and the European Exchange ("Eurex").
[0027] In another embodiment, electronic exchanges 302, 304, 306
might refer to other facilities, which include more basic systems
that automatically match incoming orders. According to this
embodiment, for instance, an electronic exchange 302, 304, 306
might simply refer to an online trading place where sports fans go
to buy or sell seats for an event.
[0028] Each of the electronic exchanges 302, 304, 306 may host one
or more computer-based electronic markets. Traders may connect to
the one or more electronic markets to trade tradeable objects. As
used herein, the term "tradeable objects," refers simply to
anything that can be traded with a quantity and/or price. It
includes, but is not limited to, all types of tradeable objects
such events, goods and financial products, which can include, for
example, stocks, options, bonds, futures, currency, and warrants,
as well as funds, derivatives and collections of the foregoing, and
all types of commodities, such as grains, energy, and metals. The
tradeable object may be "real," such as products that are listed by
an exchange for trading, or "synthetic," such as a combination of
real products that is created by the user. A tradeable object could
actually be a combination of other tradeable object, such as a
class of tradeable objects.
[0029] An electronic market can implement any of the numerous types
of order execution algorithms; sometimes the type of algorithm
depends on the tradeable object being traded. By way of
illustration only, some example order execution algorithms include
price/time priority (also referred to as first-in-first-out or
"FIFO") and pro rata-style algorithms. The FIFO algorithm, for
instance, attempts to give priority to the first person to place an
order. The pro rata algorithm, for instance, splits all (or most)
orders for the same price at a particular point in time. The system
and method of the present invention are not limited to any
particular type of order execution algorithm.
[0030] It is further understood that an electronic market might
include other software and/or hardware components to perform other
tasks beyond matching orders or part of orders. These software
and/or hardware components may be local or remote to the physical
location of an electronic exchange. In other words, the components
can be operated at the electronic exchange or at locations outside
of the electronic exchange such as points of access. Points of
access may include gateways or other fast computing devices that
are nearby the electronic exchange and have access to other points
of access near other electronic exchanges.
[0031] B. Gateway
[0032] In one embodiment, gateways 314, 316, 318 function as
portals to a particular electronic exchange. Gateways 314, 316, 318
may include any computing device such as a mainframe, super
minicomputer, minicomputer, workstation, or personal computer that
connect network 320 to networks 322, 324, 326 so that market
information may be successfully passed between client devices 308,
310, 312 and exchanges 302, 304, 306.
[0033] According to one aspect, gateways 314, 316, 318 preferably
receive market data from exchanges 302, 304, 306 and convert it to
a form compatible with the protocols used by client devices 308,
310, 312 using conversion techniques known in the art. Also, as
known by those skilled in the art, gateways 314, 316, 318 may have
one or more servers to support the data feeds, such as a price
server for processing price information, an order server for
processing order information, and a fill server for processing fill
information. A trader at one of client devices 308, 310, 312 can
preferably subscribe to price information, order information, and
fill information for a particular electronic market hosted at
exchanges 302, 304, 306. According to another aspect, gateways 314,
316, 318 preferably receive transaction information, such as
orders, order changes, queries, etc. from client devices 308, 310,
312 and forward that information to corresponding exchanges 302,
304, 306.
[0034] In another embodiment, client devices 308, 310, 312 might
connect to electronic exchanges 302, 304, 306 without the need for
protocol translation. For instance, a client device might have
computer software that recognizes a particular exchange's protocol,
and therefore, may have a direct connection to the electronic
exchange.
[0035] It is further understood that gateways or similar types of
computer-based devices may be used as points of access.
Accordingly, client devices 308, 310, 312 may access an electronic
exchange through a gateway, especially if the gateway(s) is used as
a point of access in a network and/or at an electronic
exchange.
[0036] C. Client Device
[0037] In one embodiment, client devices 308, 310, 312 function as
an interface to trade at one or more electronic exchanges 302, 304,
306. Examples of client devices include a personal computer, laptop
computer, hand-held computer, and so forth. Client devices 308,
310, 312, according to one aspect of the preferred embodiments,
include at least a display, processor and memory. The processor and
memory, which are both well-known computer components, are not
shown in the Figure for sake of clarity.
[0038] It is understood that a display includes any visual output
device of a client device. For sake of illustration to the reader
only, examples include a CRT-based display, LCD-based display, a
gas plasma-based display, or any other type of display device. For
instance, the display device might be physically set on a desk top
for a user to view, projected on a wall by a projector, or head
mounted in special goggles.
[0039] It is further understood that a processor includes any
device that, among other things, interprets and executes
instructions. In other words, the processor functions as the
"brains" of the computer device. Processor may also encompass any
components that make up the computers main console to perform the
functions described herein.
[0040] It is further understood that memory includes a device where
information can be stored (temporarily or otherwise) on any
computer readable medium and retrieved. The term computer readable
medium, as used herein, refers to any medium that participates in
providing instructions to processor for execution. Such a medium
may take many forms, including but not limited to, non-volatile
media, volatile media, and transmission media. Non-volatile media
includes, for example, optical or magnetic disks, such as storage
device. Volatile media includes dynamic memory, such as main memory
or RAM (sometimes referred to as "random access memory"). Common
forms of computer-readable media include, for example, a floppy
disk, a flexible disk, hard disk, magnetic tape, or any other
magnetic medium, a CD-ROM, any other optical medium, punch cards,
paper tape, any other physical medium with patterns of holes, a
RAM, a PROM, and EPROM, a FLASH-EPROM, and any other memory chip or
cartridge, or any other medium from which a computer can read.
[0041] In one embodiment, depending on what tradeable objects are
being traded, each of client devices 308, 310, 312 receive market
information from one or more electronic markets hosted at any of
electronic exchanges 302, 304, 306. Accordingly, market information
is displayed to the trader(s) in a trading screen, in accordance
with the preferred embodiments, on a visual output device or
display device. A trader may also receive news to aid him in
analyzing information received from the exchange.
[0042] Upon viewing the market information or a portion thereof, a
trader may wish to send orders to an exchange, cancel orders in a
market, change orders in a market, query an exchange, and so on. To
do so, the trader may input various commands or signals into the
client device 304, for example, by using one or more conventional
means for inputting information such as typing into a keyboard,
inputting commands through a mouse, or inputting commands or
signals through some other input device.
[0043] Upon receiving one or more commands or signals, client
devices 308, 310, 312 preferably generate transaction information.
In addition to or in place of manual entry, a trader might use
automated trading software that automatically or semi-automatically
generates transaction information. Of course, there are many
different types of messages and/or order types that can be
submitted to an electronic exchange, all of which may be considered
various types of transaction information. Once generated, for
instance, transaction information is sent from client device 308 to
exchange 302 over network(s) 320 and 322.
III. System Function and Operation
[0044] As will be appreciated by one of ordinary skill in the art,
various aspects of the preferred embodiments may be operated in an
entirely software embodiment, in an entirely hardware embodiment,
or in a combination thereof. In the interest of clarity, the
preferred embodiments are described in a software embodiment based
on a C or C++ language, or any other suitable programming language,
which is executed on a computer device. As such, the preferred
embodiments take the form of a computer program product that is
stored on a computer readable medium and is executed by a suitable
instruction execution system or processor in the computer device.
Examples of computer readable medium were provided above.
[0045] It is understood that the description contained herein is
considered as illustrative only of the various aspects of the
preferred embodiments. Further, since numerous modifications and
changes will readily occur to those skilled in the art, it is not
desired to limit the present invention to the construction and
operation shown and described, and accordingly, all suitable
modifications and equivalents may be resorted to.
[0046] In one embodiment, the system and method of the preferred
embodiments may be operated at a client device. For instance,
referring to FIG. 3, one of, some of, or all of client devices 308,
310, 312 may run program software to implement the various
functions described herein. As shown in FIG. 3, each client device
308, 310, 312 is electronically linked to each of electronic
exchanges 302, 304, 306 through gateways 314, 316, 318 to receive a
data feed. Preferably, each client device 308, 310, 312 may receive
data feeds from multiple electronic exchanges. A client device may
use the data feed to generate derivative of price values.
[0047] In another embodiment, the system and method of the
preferred embodiments may be operated at other computing devices
besides client devices 308, 310, 312. For instance, referring again
to FIG. 3, any of gateways 314, 316, 318 may run program software
to implement the functions described herein. Each gateway 314, 316,
318 is electronically linked to electronic exchanges 302, 304, 306
to receive one or more data feeds. A gateway may generate
derivative of price values for display and disseminate the values
across one or more networks to client devices 308, 310, 312. In
addition, gateways (not shown in FIG. 3) might be used to
electronically interconnect communication between exchanges 302,
304, 306. Other types of computer devices like gateways may be used
to run the program software to implement aspects of the preferred
embodiments.
[0048] In yet another embodiment, the system and method of the
preferred embodiments may be operated by other computing devices at
an electronic exchange. According to this embodiment, an electronic
exchange could provide one or more various data feeds that include
market information corresponding to a price derivative. For
instance, referring again to FIG. 3, any of electronic exchanges
302, 304, 306 may run program software to implement the functions
described herein. One or more data feeds with derivative of price
values may be disseminated from an electronic exchange to gateways
314, 316, 318 and/or client devices 308, 310, 312.
[0049] FIG. 4 shows a flow diagram for illustrating an example
method of operation, and more specifically shows the functionality
and operation of a possible implementation of the preferred
embodiments. In this regard, each block may represent a module,
segment, or portion of code, which includes one or more executable
instructions for implementing specific logical functions or steps
in the process. Alternate implementations are included within the
scope of the preferred embodiment of the present invention in which
functions may be executed out of order from that shown or
discussed, including substantially concurrently or in reverse
order, depending on the functionality involved, as would be
understood by those reasonable skilled in the art of the present
invention.
[0050] In the interest of clarity, net change will be used to
describe the flow diagram of
[0051] FIG. 4, with the understanding that there are numerous other
price derivatives. As used herein, net change represents a
difference in value(s) between two points in time. Examples of
other price derivatives include yield, profit/loss (P&L),
volatility and momentum, just to name a few, and are described
later in the application. It is understood that net change may also
include the net change of price, yield, P&L, volatility,
momentum, or a change in any other measurement.
[0052] Turning to FIG. 4, various signals may be input into value
axis generator 402. The various signals may depend on the actual
price derivative. With respect to net change, reference point 404
represents one or more values at an earlier point in time. Current
point 406 represents one or more values at the current time (or
some other designated time that occurs after reference point 404).
Value axis generator 402 receives the inputs at each point in time
and computes the price derivative values based on some predefined
relationship or formula, which in this instance, is the change in
values at reference point 404 and current point 406. Then, value
axis generator 402 generates an axis of values, which may be
subsequently used and updated in graphical display window 408. The
axis may also be displayed. An example relationship for net change
is provided to the reader in the examples section of this
application.
[0053] It is understood that if the price derivative is displayed,
the price derivative values may be represented in numerical form
and/or graphical form. If they are represented in graphical form,
then shapes, colors, or any other graphic may be used in addition
to the number values or in place of the number values to represent
the various price derivative values. For instance, if profit and
loss (P&L) was the price derivative, then the color green might
be used to represent a positive P&L whereas the color red might
be used to represent a negative P&L.
[0054] In one aspect, a data feed is received from an electronic
exchange as described above. Information pertaining to the value
type is parsed out of the data feed by value axis generator 402 and
held. The information might be held in buffer storage or on some
other computer readable medium. The length of time that the
information is held most likely depends on the time difference
between reference point 404 and current point 406. For instance, if
the time difference is one-hour, then the relevant information is
preferably held for approximately one-hour.
[0055] In another aspect, a data feed is received from another
software application. According to this aspect, information from
another software application such as a computer-based spreadsheet
or an automated trading tool, for instance, may generate values
based on various pieces of market information received from an
exchange and some user defined algorithm. Accordingly, the
information received from the software application pertaining to
the value type may be parsed and held, similarly to the way
information is received from an electronic exchange.
[0056] In one embodiment, the trader can set parameters that are
used in determining the price derivative through a graphical user
interface. FIG. 5 shows an example embodiment of a graphical user
interface. Graphical user interface 500 ("GUI") is a visual
environment that preferably represents options with graphical
images, such as icons, menus, and dialog boxes on a screen. The
user may select and activate these options by pointing and clicking
with a mouse, selecting them with a keyboard, or by setting them
with some other input device. It is also possible to set such
parameters through something other than a graphical user interface,
such as through command-line entry, which is not shown in FIG.
5.
[0057] As shown in FIG. 5, GUI 500 allows a user to select the
price derivative of choice. In addition to, or in place of,
displaying price, which is a more conventional display option shown
in FIGS. 1 and 2, the preferred embodiments allow the user to
select price derivatives including, but not limited to, net change,
yield, profit/loss (P/L), volatility, and momentum. Preferably, the
price derivative can be based on any user-defined formula. For
instance, GUI 500 might enable a user to define a particular
formula (e.g., shown in FIG. 5 at "Formula Entry" by providing a
user with an area for entering an equation and/or linking an
equation from a third party software program), or GUI 500 might
allow a user to search through a selection of one or more formulas
(e.g., shown in FIG. 5 at "Browse Formulas" by browsing for
predefined equations).
[0058] According to one aspect, if a user selects net change (shown
as a mark "X" in a check box next to the net change option in FIG.
5), then GUI 500 allows a user to enter more detail related to net
change. For instance, GUI 500 allows for input of a reference point
404 such as the previous settlement price, or a time differential
starting at a particular day, hour, minute, and second. For
instance, as shown in FIG. 5, "10" days was chosen as the reference
point 404, which means that the system will preferably calculate
the net change between the current time (or some other designated
time, if allowed to do so) and "10" days previous to the current
time.
[0059] According to another aspect, an option in the form of an
icon or button may be provided on the trading screen that allows a
trader to simply select it thereby setting the reference point 404
to the time of selection. In other words, a trader may preferably
set the reference point 404 right on the trading screen, and on the
fly if so desired, instead of or in addition to, setting it through
GUI 500. Then, the price derivative values may change on the fly
according to the time of selection. For instance, while a trader is
trading a particular tradeable object, he or she may select,
preferably at any time, an icon or button that causes value axis
generator 402 to immediately recalculate the net change values
starting from the time of selection to the present time. This
feature may also apply to any other price derivative. Notice that
an icon/button labeled "Update" is shown in FIGS. 6-10 to implement
this feature. In other words, the "Update" icon can be selected
through a single action of a user input device to recalculate the
price derivative values at that time. Of course, the icon or button
may be placed anywhere on the screen.
[0060] According to yet another aspect, a programmed event may
cause value axis generator 402 to recalculate the price derivative
values. For now, let us assume that net change is the price
derivative and this feature is programmed to recalculate when a
user's own order is filled. According to this example assumption,
if the trader's order fills, value axis generator 402 would
calculate net change values from the time the order filled to the
current time. Of course, any event may be preferably programmed so
that when the event occurs, value axis generator 402 responds by
generating or updating values on the value axis. This feature may
also apply to any other price derivative.
[0061] In the preferred embodiments, once a price derivative is
chosen, the price derivative value or values, which are generated
by value axis generator 402, may be used and/or displayed in any
trading screen regardless of whether the trading screen utilizes an
axis. In particular, the price derivatives may be used in place of
and/or displayed where prices have normally been used and/or
displayed in conventional systems. Thus, one of ordinary skill in
the art will recognize that the preferred embodiments may be
beneficially utilized by any particular trading screen.
IV. Net Change Examples
[0062] A. Generating and Displaying Data in Relation to a Price
Derivative
[0063] According to one example, assume that net change has been
selected as the price derivative and the reference point was
yesterday's settlement price in units of ticks at "125," where a
tick is the minimum change in a price value that is set by the
exchange for each tradeable object. The last traded price ("LTP")
is currently at a price of "230," shown in FIG. 6 by the "5" placed
in the last traded quantity indicator column 602. Using the
following relationship directly below, value axis generator 402
computes a net change of +105=230-125.
Net change=(Value(s) at Current Point)-(Value(s) at Reference
Point)
[0064] By way of illustration, FIG. 6 shows an example screen that
displays the computed net change value of "+105." Preferably, the
net change value is placed approximately in the center of the
display so that market data, such as bid and offer quantities, may
be mapped and properly viewed by the trader. It is understood that
FIGS. 6, 7, and 8 show various steps for describing one example
process of generating the value axis to the reader of this
application. As a commercially viable product, value axis generator
402 preferably generates the axis and maps the market data in a
simultaneous, or near simultaneous, manner so that the market data
can be conveyed to the trader in real-time, without disruption.
[0065] Now, value axis generator 402 can compute other net change
values that correspond to price levels above and below the current
last traded price. By doing this, the current bid and ask
quantities may be displayed approximately near the center of the
display. We end up with a value axis that includes values ranging
from "+97" to "+114," shown in FIG. 7. These values may be
generated in any particular way. One example method includes moving
up/down to various price levels in one-price tick-increments and
calculating the net change value based on that particular price
level and doing this for as many price levels as necessary. Another
example method includes determining the minimum net change, which
most likely corresponds directly to the minimum price tick size,
and adding/subtracting the minimum net change to various levels of
net change on the value axis (e.g., FIG. 7 shows a minimum net
change of "1," therefore according to this example, a value of "1"
can be added/subtracted from "+105" to calculate the net change
values one level above/below "+105," which can be repeated for as
many levels as needed).
[0066] FIG. 8 shows an example screen that displays the generated
value axis in addition to market data. As shown, market data, such
as the bid and offer quantities, are mapped to the price derivative
values. Currently, the last traded price is "+105" ticks above
yesterday's settlement price. This can now be seen by referring to
the net change box 806, which displays the current net change
value, or by viewing the last traded quantity in direct relation to
the net change at 808 along the value axis. In addition, one can
view the current best bid price is "+105" ticks above yesterday's
settlement price, the current best offer price is "+107" ticks
above yesterday's settlement price, and so on. As such, a trader
can quickly and effectively determine the net change between the
current state of the market and the state of the market as it was
yesterday at closing, or at whatever reference point chosen. As new
market data is received, value axis generator 402 preferably
updates the screen to reflect the new information.
[0067] There are alternative ways to generate the value axis. In
the above example, the current last traded price ("LTP") was used
to begin the generation process. Then, the remaining part of the
viewable axis was completed so that market data could be mapped and
easily seen by a trader on the screen. However, other items may be
used instead of LTP. As such, the value axis generator 402 could be
programmed to start at the best bid price, the best offer price, or
some other item of interest. For instance, if the best offer price
is used, then value axis generator 402 computes a net change of
+107=232-125. Then, value axis generator 402 can compute other net
change values that correspond to price levels above and below the
current best offer price.
[0068] It is understood that a trader can scroll along the value
axis (e.g., by pressing the up or down arrows 810, as shown in FIG.
8) to view other net change values and/or other pieces of market
information, such as working orders, relative to the value axis.
When this happens, value axis generator 402 preferably completes
the visible portion of the axis using the already generated values
as a starting point. For instance, referring to FIG. 8, if the
trader scrolls up and beyond the net change of "+114," then value
axis generator 402 can start at "+114" and graphically fill in the
visible locations (e.g., "+115," "+116," . . . ), which are not
shown in the figure.
[0069] It is further understood that a trader can consolidate net
change values, or any other price derivative, in a similar manner
to how price levels are consolidated. Price consolidation is
described in U.S. application Ser. No. 09/971,087, filed on Oct. 5,
2001, and entitled, "Click Based Trading with Intuitive Grid
Display of Market Depth and Price Consolidation," the contents of
which are incorporated herein by reference. When the interface is
configured to display market information in relation to a
consolidated price scale, the same interface may be configured to
display market information in relation to a consolidated price
derivative scale. As such, market information like bid and offer
quantities may be consolidated and displayed in association with a
consolidated price derivative row. Consolidation of the price
derivative axis may be activated through a graphical user
interface, such as the trading screen itself or through some menu
driven interface, for instance.
[0070] FIG. 9 shows a screen with a value axis according to another
embodiment. In this example, the net change is displayed along the
value axis without displaying prices as in FIGS. 6, 7, and 8.
Again, the net change is "+105" ticks because the last trade of "5"
occurred at "230." Accordingly, value axis generator 402 has
generated a value axis to display market information in association
with net change. As shown, the value axis shows net change values
from "+97" to "+114."
[0071] A feature of the present invention is its flexibility. For
instance, as indicated earlier, net change represents a difference
in value between two points in time. The example described with
respect to FIGS. 6, 7, 8, and 9 used the previous settlement price.
However, other changes could have been tracked just as easily by
value axis generator 402. For instance, the change in the best bid
price or the change in the best offer price over a certain time
period could have been displayed. Accordingly, any change, of any
item of interest, may be tracked and displayed on the screen.
[0072] As indicated earlier, other types of screens may benefit
from the preferred embodiments, besides the trading screens that
utilize an axis. FIG. 10 illustrates a screen without an axis.
However, as shown, it too can display price derivatives that are
generated by value axis generator 402. For ease of illustration,
some of the data shown in the screen in FIG. 10 is equivalent to
that data shown in FIGS. 8 and 9. In other words, "object 1," which
represents an example tradeable object, has a current bid quantity
of "15" available at the net change value of "+105," and has a
current offer quantity of "10" available at the net change value of
"107."
[0073] In addition, multiple scales may be used along an axis such
that each scale represents a different value type. For instance,
one scale might represent price and a second scale might represent
a derivative of price such as shown in FIGS. 6, 7, and 8. In
another instance, one scale might represent one type of derivative
of price and a second scale might represent another type of
derivative of price. Of course, one of ordinary skill in the art
will appreciate that any number of scales and/or axes may be used
in conveying information to the trader.
[0074] B. Order Entry
[0075] In one embodiment, a trading screen may be programmed to
accept signals indicating a desire to send buy or sell orders to
the exchange. For instance, a trader may be able to send orders by
simply clicking in designated regions, such as in buy and/or sell
order entry regions, of the display. Likewise, orders could be
easily cancelled with the click of a mouse. As such, the preferred
embodiments build on the order entry and order cancellation
concepts described in the incorporated U.S. patent application Ser.
No. 09/590,692, entitled, "Click Based Trading With Intuitive Grid
Display of Market Depth."
[0076] According to one aspect of the preferred embodiments, to
enable a trader to quickly send an order to electronic exchange,
one or more parameters of an order are preferably based on at least
one preset parameter and the location of a cursor on the display.
According to one preferred embodiment, an order's quantity is based
on a preset quantity while the order's price is based on the
location of the cursor on the display, regardless of whether price
is actually being displayed with the price derivative. Of course,
the preset parameter can be based on something other than quantity
such as last traded quantity ("LTQ"), a theoretical value, price,
or some other item of interest. Additionally, the preset parameter
may be linked to and/or based on a dynamic value or an
equation.
[0077] According to one aspect of the preferred embodiments, the
display has one or more regions. Then, the regions can be set up so
that one region is an order entry region for buy orders and another
region is an order entry region for sell orders. A buy order entry
region can be an area dedicated for order entry, or alternatively,
the buy order entry region can overlap other regions such as the
bid quantity display region. The same may be true for a sell order
entry region. Then, when an input device used to control the cursor
is positioned over one of the order entry regions, and a button is
"pressed" an order to buy (if the cursor is positioned over the buy
order entry region) or an order to sell (if the cursor is
positioned over the sell order entry region) would be sent to the
electronic exchange. It should also be understood that the
preferred embodiments may have multiple buy regions and/or multiple
sell regions. Then, for example, each of the multiple buy regions
and each of the multiple sell regions could represent a different
order type. Example order types known to one skilled in the art of
trading include basket, iceberg, block orders limit,
limit-on-close, limit-on-open, market, market-on-close,
market-on-open, odd lot, one-cancels-all, relative stop, stop
limit, sweep-to-fill, and volume weighted average price.
[0078] According to one aspect of the preferred embodiments, orders
can be sent to an electronic exchange by simply clicking in buy
and/or sell order entry regions of the display. In other words,
orders may be sent by a single-action of a user input device. As
used herein, a single-action preferably refers to a single click of
a mouse as a means for user input and interaction with the terminal
display. While this describes a preferred mode of interaction, the
scope of the present invention is not limited to the use of a mouse
as the input device or to the click of a mouse button as the user's
single-action. Rather, any action by a user within a short period
of time, whether comprising one or more clicks of a mouse button or
other input device, is considered a single-action of the user for
the purposes of the present invention.
[0079] For example, referring to FIG. 8, a buy order entry region
might include cells 802 on the bid side and a sell order entry
region might include cells 804 on the ask side. In particular, with
a preset quantity already set, if one clicks on a cell in the buy
order entry region, then an order would be sent to the exchange to
buy a quantity of the tradeable object equal to the preset
quantity. If one clicks on a cell in the sell order entry region,
then an order would be sent to the exchange to sell a quantity of
the tradeable object equal to the preset quantity.
[0080] In another aspect of the preferred embodiments, buttons on
an input device are programmed so that when a particular button is
pressed it sends a buy order to the matching engine and that when
another button when pressed it sends a sell order to the matching
engine. For instance, with a present quantity already set, if one
clicks on a cell associated with a price with the right mouse
button, then an order would be sent to the exchange to sell a
quantity of the tradeable object equal to the preset quantity. If
one clicks on a cell associated with a price with the left mouse
button, then an order would be sent to the exchange to buy a
quantity of the tradeable object equal to the preset quantity.
IV. Other Price Derivative Examples
[0081] As indicated previously, any price derivative can be used so
long as there is some relationship between a price and the price
derivative, such as a formula. Examples include yield, P/L,
volatility, and momentum. If the price derivative values are
actually displayed on the screen, they may be displayed to the
trader in any form including a numerical format and/or a graphical
format. It is understood that the following examples are considered
as illustrative only, and that one skilled in the art can apply the
principles described in this application to any values on an
axis.
[0082] In one embodiment, yield is a derivative of price. There are
many types of yield, though a commonly referred to yield is the
yield to maturity (YTM), which is the interest rate by which the
present values of all the future cash flows are equal to the bond's
price. The YTM for U.S. Treasury bonds and notes can be determined
by solving the following equation:
Price = C [ 1 - [ 1 ( 1 + y TM ) T ] ] y TM + P ( 1 + y TM ) T
##EQU00001##
Where:
[0083] Price=Price value
[0084] C=the rate of interest to be paid
[0085] P=Principal, which is the amount to be borrowed (e.g., face
value or par)
[0086] T=Term
[0087] Y.sub.TM=YTM
[0088] Using the yield equation, for instance, value axis generator
can generate yield values on a value axis for which market
information is appropriately mapped. To do so, various inputs into
value axis generator might include the variables (fixed variables
or non-fixed variables) shown in the equation above. Then, value
axis generator can solve or back solve for the unknown variable,
such YTM in this instance. Accordingly, the trading display having
market data mapped to yield gives traders an opportunity to trade
based on yield.
[0089] In another embodiment, profit & loss or P&L is a
derivative of price. There are many ways to measure P&L, all of
which may be mapped to an axis. For instance, the break-even point
may be used. So, if a trader has bought one lot of a particular
tradeable object at "230," then referring to FIG. 8, the value axis
might include a "0" associated the price of "230," and then "+1"
associated with "231," "+2" associated with "232," and so on, and
"-1" associated with "229," "-2" associated with "228," and so on.
In this instance, these P&L values represent the gross profit
acquired if one lot of the particular tradeable object was sold at
the associated price. Of course, there are numerous ways to
calculate P&L and one of ordinary skill in the art would
recognize the many different possibilities. In addition, it will be
appreciated by one of skill in the art that graphics may be used to
display P&L (or any other price derivative indicator, for that
matter) along the value axis instead of or in addition to using
numerical values. For instance, if the trader's P&L is
positive, a color such as green might be displayed at such positive
value locations whereas if the trader's P&L is negative, a
color such as red might be displayed at negative value
locations.
[0090] In yet another embodiment, volatility, and in particular,
implied volatility is a derivative of price. In one embodiment,
implied volatility is a theoretical value (or values) designed to
represent the volatility of the tradeable object underlying an
option as determined by the price of the option. There are many
ways to measure volatility, all of which may be mapped to an axis.
A common formula used in measuring volatility is the Black-Scholes
option pricing model, a version of which is shown below:
C=SN(d.sub.1)-Ke.sup.(-rt)N(d.sub.2)
Where:
[0091] C=Theoretical call premium
[0092] S=Current stock price
[0093] t=Time until option expiration
[0094] K=Option striking price
[0095] r=risk free interest rate
[0096] N=Cumulative standard normal distribution
[0097] e=exponential term (2.7183)
d 1 = ln ( S / K ) + ( r + s 2 / 2 ) t s t ##EQU00002##
[0098] d.sub.2=d.sub.1-s {square root over (t)}
[0099] s=standard deviation of stock returns
[0100] ln=natural logarithm
[0101] Using the Black-Scholes equation, for instance, value axis
generator can generate volatility values on a value axis for which
market information is appropriately mapped. Then, the trading
display gives traders an opportunity to trade based on volatility.
Of course, many different equations can used to generate volatility
values.
[0102] Momentum is a type of trading strategy used by some traders.
In momentum trading, traders may focus on a tradeable objects
movement over the course of a defined time period. In other words,
momentum is the perceived strength behind a price movement. As
such, momentum indicators may be displayed along an axis. Such
indicators attempt to predict future market trends based on recent
price and volume data. For instance, an indicator might compare the
current price of a tradeable object to the price a selected number
of periods ago. The resulting number represents the rate of change
of the security's price over that given time period. According to
this embodiment, values on the axis might change in magnitude to
correspond to changes in momentum at a particular price level.
V. Conclusion
[0103] The foregoing is considered as illustrative only of the
principles of the invention. Further, since numerous modifications
and changes will readily occur to those skilled in the art, it is
not desired to limit the invention to the exact construction and
operation shown and described, and accordingly, all suitable
modifications and equivalents may be resorted to, falling within
the scope of the invention.
[0104] It is further understood that the programs, processes,
methods and apparatus described herein are not related or limited
to any particular type of computer or network apparatus (hardware
or software), unless indicated otherwise. Various types of general
purpose or specialized computer apparatus or computing device may
be used with or perform operations in accordance with the teachings
described herein.
[0105] It is further understood that a hardware embodiment might
take a variety of different forms. A hardware embodiment may be
implemented as an integrated circuit with custom gate arrays or an
application specific integrated circuit ("ASIC"). A hardware
embodiment may also be implemented with discrete hardware
components and circuitry. In particular, it is understood that the
logic structures and method steps described in the flow diagrams
may be implemented in dedicated hardware such as an ASIC, or as
program instructions carried out by a microprocessor or other
computing device.
[0106] The claims should not be read as limited to the described
order of elements unless stated to that effect. In addition, use of
the term "means" in any claim is intended to invoke 35 U.S.C.
.sctn.112, paragraph 6, and any claim without the word "means" is
not so intended. Therefore, all embodiments that come within the
scope and spirit of the following claims and equivalents thereto
are claimed as the invention.
* * * * *