U.S. patent application number 16/415323 was filed with the patent office on 2019-09-26 for click based trading with market depth display.
The applicant listed for this patent is Trading Technologies International, Inc.. Invention is credited to Gary Allan Kemp, II, Jens-Uwe Schluetter.
Application Number | 20190295170 16/415323 |
Document ID | / |
Family ID | 34713347 |
Filed Date | 2019-09-26 |
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United States Patent
Application |
20190295170 |
Kind Code |
A1 |
Kemp, II; Gary Allan ; et
al. |
September 26, 2019 |
Click Based Trading with Market Depth Display
Abstract
A method and system for reducing the time it takes for a trader
to place a trade when electronically trading commodities on an
exchange, thus increasing the likelihood that the trader will have
orders filled at desirable prices and quantities. Click based
trading, as described herein and specifically the "Click" and
"Dime" methods of the present invention, enables a trader to
execute single mouse click trades for large volumes of commodities
at a price within a pre-specified range.
Inventors: |
Kemp, II; Gary Allan;
(Fairfax, CA) ; Schluetter; Jens-Uwe; (Ridgefield,
CT) |
|
Applicant: |
Name |
City |
State |
Country |
Type |
Trading Technologies International, Inc. |
Chicago |
IL |
US |
|
|
Family ID: |
34713347 |
Appl. No.: |
16/415323 |
Filed: |
May 17, 2019 |
Related U.S. Patent Documents
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Application
Number |
Filing Date |
Patent Number |
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14190319 |
Feb 26, 2014 |
10354324 |
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16415323 |
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11415189 |
May 2, 2006 |
8694398 |
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14190319 |
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11061554 |
Feb 18, 2005 |
7505932 |
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11415189 |
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09589751 |
Jun 9, 2000 |
6938011 |
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11061554 |
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60186322 |
Mar 2, 2000 |
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Current U.S.
Class: |
1/1 |
Current CPC
Class: |
G06Q 40/00 20130101;
G06Q 40/06 20130101; G06Q 40/04 20130101 |
International
Class: |
G06Q 40/04 20060101
G06Q040/04; G06Q 40/00 20060101 G06Q040/00; G06Q 40/06 20060101
G06Q040/06 |
Claims
1. (canceled)
2. A system including: a computer device, wherein the computer
device is configured to display a graphical user interface
comprising an order entry region, the order entry region comprising
a plurality of locations for receiving commands to send a trade
order to buy or sell a tradable object at an electronic exchange,
each location corresponding to a price level of a plurality of
price levels, wherein the price level associated with each location
dynamically changes based on market data being received from the
electronic exchange, wherein the computer device is configured to
define a reference price level for order placement of trade orders
to buy or sell the tradable object, wherein the computer device is
configured to detect an initiation of placement of a trade order
relating to the tradable object at a price through a selection by a
user input device of a location corresponding to the price level in
the order entry region, wherein the computer device is configured
to determine a selected price corresponding to the selected
location when the selection is received, wherein the computer
device is configured to compare the selected price of the trade
order to buy or sell the tradable object to an acceptable price
range, wherein the acceptable price range is based on the reference
price level and an offset parameter, wherein the computer device is
configured to initiate submission of the trade order to the
electronic exchange when the price of the order is within the
acceptable price range, and wherein the computer device is
configured to prevent initiation of submission of the trade order
to the electronic exchange when the price of the trade order is
outside the acceptable price range.
3. The system of claim 2, wherein the reference price level is
based on the last traded price.
4. The system of claim 2, wherein the reference price level is
based on a theoretical price.
5. The system of claim 2, wherein the computer device is further
configured to define the offset parameter.
6. The system of claim 2, wherein the offset parameter comprises a
number of ticks away from the reference price level.
7. The system of claim 2, wherein a boundary of the acceptable
price range is defined by adding the offset parameter to the
reference price level.
8. The system of claim 2, wherein a boundary of the acceptable
price range is defined by subtracting the offset parameter from the
reference price level.
9. The system of claim 2, wherein the acceptable price range
comprises price levels between a boundary price level and the
reference price level, wherein the boundary price level is based on
the offset parameter and the reference price level.
10. The system of claim 2, wherein the acceptable price range
comprises price levels between a first boundary price level and a
second boundary price level, wherein the first boundary price level
is computed by adding the offset parameter to the reference price
level, and wherein the second boundary price level is computed by
subtracting the offset parameter from the reference price
level.
11. The system of claim 2, wherein to initiate submission of the
trade order the computer device is configured to transmit the trade
order to the electronic exchange.
12. The system of claim 2, wherein the computer device is
configured to prevent the trade order from being sent to the
electronic exchange when the price of the trade order is outside
the acceptable price range.
Description
CROSS REFERENCE TO RELATED APPLICATIONS
[0001] The present application is a continuation of U.S. patent
application Ser. No. 14/190,319, filed Feb. 26, 2014, which is a
continuation of U.S. patent application Ser. No. 11/415,189, filed
May 2, 2006, now U.S. Pat. No. 8,694,398, which is a continuation
of U.S. patent application Ser. No. 11/061,554, filed Feb. 18,
2005, now U.S. Pat. No. 7,505,932, which is a continuation of U.S.
patent application Ser. No. 09/589,751, filed Jun. 9, 2000, now
U.S. Pat. No. 6,938,011, which claims priority from U.S.
Provisional Patent Application 60/186,322, entitled "Market Depth
Display Click Based Trading and Mercury Display," filed Mar. 2,
2000, the contents of each of which are incorporated herein by
reference for all purposes.
FIELD OF INVENTION
[0002] The present invention is directed to the electronic trading
of commodities. Specifically, the invention provides a trader with
a versatile and efficient tool for executing trades. It facilitates
the display of and the rapid placement of trade orders within the
market trading depth of a commodity, where a commodity includes
anything that can be traded with quantities and/or prices.
BACKGROUND
[0003] At least 60 exchanges throughout the world utilize
electronic trading in varying degrees to trade stocks, bonds,
futures, options and other products. These electronic exchanges are
based on three components: mainframe computers (host),
communications servers, and the exchange participants' computers
(client). The host forms the electronic heart of the fully
computerized electronic trading system. The system's operations
cover order-matching, maintaining order books and positions, price
information, and managing and updating the database for the online
trading day as well as nightly batch runs. The host is also
equipped with external interfaces that maintain uninterrupted
online contact to quote vendors and other price information
systems.
[0004] Traders can link to the host through three types of
structures: high speed data lines, high speed communications
servers and the Internet. High speed data lines establish direct
connections between the client and the host. Another connection can
be established by configuring high speed networks or communications
servers at strategic access points worldwide in locations where
traders physically are located. Data is transmitted in both
directions between traders and exchanges via dedicated high speed
communication lines. Most exchange participants install two lines
between the exchange and the client site or between the
communication server and the client site as a safety measure
against potential failures. An exchange's internal computer system
is also often installed with backups as a redundant measure to
secure system availability. The third connection utilizes the
Internet. Here, the exchange and the traders communicate back and
forth through high speed data lines, which are connected to the
Internet. This allows traders to be located anywhere they can
establish a connection to the Internet.
[0005] Irrespective of the way in which a connection is
established, the exchange participants' computers allow traders to
participate in the market. They use software that creates
specialized interactive trading screens on the traders' desktops.
The trading screens enable traders to enter and execute orders,
obtain market quotes, and monitor positions. The range and quality
of features available to traders on their screens varies according
to the specific software application being run. The installation of
open interfaces in the development of an exchange's electronic
strategy means users can choose, depending on their trading style
and internal requirements, the means by which they will access the
exchange.
[0006] The world's stock, bond, futures and options exchanges have
volatile products with prices that move rapidly. To profit in these
markets, traders must be able to react quickly. A skilled trader
with the quickest software, the fastest communications, and the
most sophisticated analytics can significantly improve his own or
his firm's bottom line. The slightest speed advantage can generate
significant returns in a fast moving market. In today's securities
markets, a trader lacking a technologically advanced interface is
at a severe competitive disadvantage.
[0007] Irrespective of what interface a trader uses to enter orders
in the market, each market supplies and requires the same
information to and from every trader. The bids and asks in the
market make up the market data and everyone logged on to trade can
receive this information if the exchange provides it. Similarly,
every exchange requires that certain information be included in
each order. For example, traders must supply information like the
name of the commodity, quantity, restrictions, price and multiple
other variables. Without all of this information, the market will
not accept the order. This input and output of information is the
same for every trader.
[0008] With these variables being constant, a competitive speed
advantage must come from other aspects of the trading cycle. When
analyzing the time it takes to place a trade order for a given
commodity, various steps contribute in different amounts to the
total time required. Approximately 8% of the total time it takes to
enter an order elapses between the moment the host generates the
price for the commodity and the moment the client receives the
price. The time it takes for the client application to display the
price to the trader amounts to approximately 4%. The time it takes
for a trade order to be transmitted to the host amounts to
approximately 8%. The remainder of the total time it takes to place
an order, approximately 80% is attributable to the time required
for the trader to read the prices displayed and to enter a trade
order. The present invention provides a significant advantage
during the slowest portion of the trading cycle--while the trader
manually enters his order. Traders recognize that the value of time
savings in this portion may amount to millions of dollars
annually.
[0009] In existing systems, multiple elements of an order must be
entered prior to an order being sent to market, which is time
consuming for the trader. Such elements include the commodity
symbol, the desired price, the quantity and whether a buy or a sell
order is desired. The more time a trader takes entering an order,
the more likely the price on which he wanted to bid or offer will
change or not be available in the market. The market is fluid as
many traders are sending orders to the market simultaneously. It
fact, successful markets strive to have such a high volume of
trading that any trader who wishes to enter an order will find a
match and have the order filled quickly, if not immediately. In
such liquid markets, the prices of the commodities fluctuate
rapidly. On a trading screen, this results in rapid changes in the
price and quantity fields within the market grid. If a trader
intends to enter an order at a particular price, but misses the
price because the market prices moved before he could enter the
order, he may lose hundreds, thousands, even millions of dollars.
The faster a trader can trade, the less likely it will be that he
will miss his price and the more likely he will make money.
SUMMARY
[0010] The inventors have developed the present invention which
overcomes the drawbacks of the existing trading systems and
dramatically reduces the time it takes for a trader to place a
trade when electronically trading on an exchange. This, in turn,
increases the likelihood that the trader will have orders filled at
desirable prices and quantities.
[0011] Click based trading, as described herein and specifically
the "Click" and "Dime" methods of the present invention, enables a
trader to execute single mouse click trades for large volumes of
commodities at a price within a pre-specified range.
[0012] Specifically, the present invention is directed to a method
and system for placing a trade order for a commodity on an
electronic exchange using a client system with a user input device
and with preset parameters for trade orders. The invention includes
displaying a market depth of the commodity through a dynamic
display of prices and quantities of a plurality of bids and asks in
the market for the commodity. The invention also includes
initiating placement of a trade order of the commodity in response
to a single action of the user input device with a pointer of the
user input device positioned over an area in the dynamic display.
The contents of the trade order are based in part upon the preset
parameters and the position of the pointer at the time of the
single action by the user.
[0013] These embodiments, and others described in greater detail
herein, provide the trader with improved efficiency and versatility
in placing, and thus executing, trade orders for commodities in an
electronic exchange. Other features and advantages of the present
invention will become apparent to those skilled in the art from the
following detailed description. It should be understood, however,
that the detailed description and specific examples, while
indicating preferred embodiments of the present invention, are
given by way of illustration and not limitation. Many changes and
modifications within the scope of the present invention may be made
without departing from the spirit thereof, and the invention
includes all such modifications.
BRIEF DESCRIPTION OF THE FIGURES
[0014] FIG. 1 illustrates the network connections between multiple
exchanges and client sites;
[0015] FIG. 2 illustrates screen display showing the inside market
and the market depth of a given commodity being traded;
[0016] FIG. 3 illustrates an entire trading window screen display
including the display of market depth;
[0017] FIG. 4 is a flowchart illustrating the process of Click and
Dime trading;
[0018] FIG. 5 illustrates an entire trading window screen display
including the display of market depth in which the Click +/-
feature is enabled;
[0019] FIG. 6 is a flowchart illustrating the process of Click
trading;
[0020] FIG. 7 illustrates an entire trading window screen display
including the display of market depth in which the Dime trading
feature is enabled;
[0021] FIG. 8 is a flowchart illustrating the process of Dime
trading; and
[0022] FIG. 9 is a screen display illustrating the incorporation of
theoretical values into the system of the present invention.
DETAILED DESCRIPTION
[0023] As described with reference to the accompanying figures, the
present invention provides a method and system for display of a
traded commodity's market depth and for facilitating rapid
placement of trade orders within the market depth. A commodity's
market depth is the current bid and ask prices and quantities in
the market. The invention increases the likelihood that the trader
will be able to execute orders at desirable prices and
quantities.
[0024] In the preferred embodiment, the present invention is
implemented on a computer or electronic terminal. The computer is
able to communicate either directly or indirectly (using
intermediate devices) with the exchange to receive and transmit
market, commodity, and trading order information. It is able to
interact with the trader and to generate contents and
characteristics of a trade order to be sent to the exchange. It is
envisioned that the system of the present invention can be
implemented on any existing or future terminal or device with the
processing capability to perform the functions described herein.
The scope of the present invention is not limited by the type of
terminal or device used. Further, the specification refers to a
single click of a mouse as a means for user input and interaction
with the terminal display as an example of a single action of the
user. 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.
[0025] The system can be configured to allow for trading in a
single or in multiple exchanges simultaneously. Connection of the
system of the present invention with multiple exchanges is
illustrated in FIG. 1. This figure shows multiple host exchanges
101-103 connected through routers 104-106 to gateways 107-109.
Multiple client terminals 110-116 for use as trading stations can
then trade in the multiple exchanges through their connection to
the gateways 107-109. When the system is configured to receive data
from multiple exchanges, then the preferred implementation is to
translate the data from various exchanges into a simple format.
This "translation" function is described below with reference to
FIG. 1. An applications program interface ("TT API" as depicted in
the figure) translates the incoming data formats from the different
exchanges to a simple preferred data format. This translation
function may be disposed anywhere in the network, for example, at
the gateway server, at the individual workstations or at both. In
addition, the storage at gateway servers and at the client
workstations, and/or other external storage cache historical data
such as order books which list the client's active orders in the
market; that is, those orders that have neither been filled nor
cancelled. Information from different exchanges can be displayed at
one or in multiple windows at the client workstation. Accordingly,
while reference is made through the remainder of the specification
to a single exchange to which a trading terminal is connected, the
scope of the invention includes the ability to trade, in accordance
with the trading methods described herein, in multiple exchanges
using a single trading terminal.
[0026] The preferred embodiments of the present invention include
the display of "Market Depth" and allow traders to view the market
depth of a commodity and to execute trades within the market depth
with a single click of a computer mouse button. Market Depth
represents the order book with the current bid and ask prices and
quantities in the market. In other words, Market Depth is each bid
and ask that was entered into the market, subject to the limits
noted below, in addition to the inside market. For a commodity
being traded, the "inside market" is the highest bid price and the
lowest ask price.
[0027] The exchange sends the price, order and fill information to
each trader on the exchange. The present invention processes this
information and maps it through simple algorithms and mapping
tables to positions in a theoretical grid program or any other
comparable mapping technique for mapping data to a screen. The
physical mapping of such information to a screen grid can be done
by any technique known to those skilled in the art. The present
invention is not limited by the method used to map the data to the
screen display.
[0028] How far into the market depth the present invention can
display depends on how much of the market depth the exchange
provides. Some exchanges supply an infinite market depth, while
others provide no market depth or only a few orders away from the
inside market. The user of the present invention can also chose how
far into the market depth to display on his screen.
[0029] FIG. 2 illustrates a screen display of the present invention
showing the inside market and the market depth of a given commodity
being traded. Row 1 represents the "inside market" for the
commodity being traded which is the best (highest) bid price and
quantity and the best (lowest) ask price and quantity. Rows 2-5
represent the "market depth" for the commodity being traded. In the
preferred embodiment of the present invention, the display of
market depth (rows 2-5) lists the available next-best bids, in
column 203, and asks, in column 204. The working bid and ask
quantity for each price level is also displayed in columns 202 and
205 respectively (inside market--row 1). Prices and quantities for
the inside market and market depth update dynamically on a real
time basis as such information is relayed from the market.
[0030] In the screen display shown in FIG. 2, the commodity
(contract) being traded is represented in row 1 by the character
string "CDHO". The Depth column 208 will inform the trader of a
status by displaying different colors. Yellow indicates that the
program application is waiting for data. Red indicates that the
Market Depth has failed to receive the data from the server and has
"timed out." Green indicates that the data has just been updated.
The other column headings in this and all of the other figures, are
defined as follows. BidQty (Bid Quantity): the quantity for each
working bid, BidPrc (Bid Price): the price for each working bid,
AskPrc (Ask Price): the price for each working ask, AskQty (Ask
Quantity): the quantity for each working ask, LastPrc (Last Price):
the price for the last bid and ask that were matched in the market
and LastQty (Last Quantity): the quantity traded at the last price.
Total represents the total quantity traded of the given
commodity.
[0031] The configuration of the screen display itself informs the
user in a more convenient and efficient manner than existing
systems. Traders gain a significant advantage by seeing the market
depth because they can see trends in the orders in the market. The
market depth display shows the trader the interest the market has
in a given commodity at different price levels. If a large amount
of bids or asks are in the market near the trader's position, he
may feel he should sell or buy before the inside market reaches the
morass of orders. A lack of orders above or below the inside market
might prompt a trader to enter orders near the inside market.
Without seeing the market depth, no such strategies could be
utilized. Having the dynamic market depth, including the bid and
ask quantities and prices of a traded commodity aligned with and
displayed below the current inside market of the commodity conveys
the information to the user in a more intuitive and easily
understandable manner. Trends in the trading of the commodity and
other relevant characteristics are more easily identifiable by the
user through the use of the present invention.
[0032] Various abbreviations are used in the screen displays, and
specifically, in the column headings of the screen displays
reproduced herein. Some abbreviations have been discussed above. A
list of common abbreviations and their meanings is provided in
Table 1.
TABLE-US-00001 TABLE I Abbreviations COLUMN DESCRIPTION COLUMN
DESCRIPTION Month Expiration Month/Year TheoBid Theoretical Bid
Price Bid Mbr.sub.(1) Bid Member ID TheoAsk Theoretical Ask Price
WrkBuys.sub.(2) Working Buys for entire QAct Quote Action (Sends
Group ID individual quotes) BidQty Bid Quantity BQQ Test Bid Quote
Quantity ThrshBid.sub.(6) Threshold Bid Price BQP Test Bid Quote
Price BidPrc Bid Price Mkt BQQ Market Bid Quote Quantity Bid Qty
Accum Accumulated Bid Mkt BQP Market Bid Quote Price Quantity
BidPrc Avg Bid Price Average Quote Checkbox activates/deactivates
contract for quoting AskPrc Avg Ask Price Average Mkt AQQ Market
Ask Quote Quantity AskQty Accum Accumulated Ask Mkt AQP Market Ask
Quote Price Quantity AskPrc Ask Price AQP Ask Quote Price
ThrshAsk.sub.(6) Threshold Ask Price AQQ Ask Quote Quantity AskQty
Ask Quantity Imp BidQty.sub.(5) Implied Bid Quantity
WrkSells.sub.(2) Working Sells for entire Imp BidPrc.sub.(5)
Implied Bid Price Group ID Ask Mbr.sub.(1) Ask Member ID Imp
AskQty.sub.(5) Implied Ask Quantity NetPos Net Position Imp
AskPrc.sub.(5) Implied Ask Price FFNetPos Fast Fill Net Position
Gamma.sub.(3) Change in Delta given 1 pt change in underlying
LastPrc Last Price Delta.sub.(3) Change in price given 1 pt change
in underlying LastQty Last Quantity Vola.sub.(3) Percent volatility
Total Total Traded Quantity Vega.sub.(3) Price change given 1%
change in Vola High High Price Rho.sub.(3) Price change given 1%
change in interest rate Low Low Price Theta.sub.(3) Price change
for every day that elapses Open Opening Price Click Trd
Activate/deactivate click trading by contract Close Closing Price S
(Status) Auction, Closed, FastMkt, Not Tradable, Pre-trading,
Tradable, S = post-trading Chng Last Price - Last Close Expiry
Expiration Month/Year TheoPrc Theoretical Price
[0033] Click based trading enables a trader to execute trades with
a single mouse click within the market depth. The trader inputs a
quantity and price range once and then sends orders to market with
one click on a price field in the Market Depth grid. In the
preferred embodiment of the present invention, a trader using click
based trading would be presented with a screen display similar that
that shown in FIG. 3. This figure shows an entire trading window
screen display, including the display of market depth as described
with respect to FIG. 2. The portion of the display shown in FIG. 3
identified as area 301 shows various trading information and
options which are not pertinent in the description of the present
invention. Area 303 is the display of the inside market and the
market depth as described above. Area 302 provides the trader with
the necessary options to perform click based trading under the
present invention.
[0034] Under the present invention, there are at least two modes of
click based trading; that is, there are at least two types of trade
orders that can be placed using click based trading. These are
"Click" trades and "Dime" trades. Both allow the trader to trade
large quantities of a commodity within the market depth or the
inside market with a single mouse click. Generally, "Click" trades
are used to quickly execute trade orders within a preset range with
respect to the last traded price or within a preset range from the
actual bid or ask price clicked by the user. "Dime" trades are used
to quickly join the existing market at a chosen level. Each of
these types of trades is discussed in detail herein along with
corresponding examples.
[0035] Area 302 in FIG. 3 shows the various parameters that can be
adjusted by the user when performing click based trading under the
present invention. The amount shown in the "QTY" 304 box represents
the amount of the commodity to be traded. The "Click Offset" amount
305 and the "Click +/-" amount 306 are used in performing click
trades. The "Dime +/-" 307 amount is used in performing dime
trades. The round buttons 308 next to the words "Click" and "Dime"
are used to enable either click or dime trading. By setting these
parameters, the user is enabled to place trades based on multiple
variables with just a single click in the market depth of the
commodity. Note that the elements in area 302 have been arranged in
a preferred configuration. However, the invention encompasses
moving the area 302 to a different location, or displaying the
elements in area 302 vertically or at an angle, or separating the
different elements to create a plurality of different areas
302.
[0036] The basic operation of the system in performing click based
trading and reacting to user inputs on a screen such as that shown
in FIG. 3 is shown via the flowchart of FIG. 4. In step 401 of the
process, the preliminary settings are input as discussed above with
respect to the screen display in FIG. 3 and area 302. In step 402,
the system determines whether a pertinent button has been clicked
on a mouse or some other form of input device indicating that the
user is initiating the placement of a trade order. If the system
determines that a pertinent button was clicked, the system then
determines, in step 404, whether the mouse pointer was positioned
over a tradable cell on the screen display when the button was
clicked. Tradeable cells include those in area 303 under the four
bid and ask columns 202-205. If a pertinent button was not clicked
or if the mouse pointer was not positioned over a tradable cell,
the system does not attempt to place a click based trade order and,
in step 403 returns to a default condition, such as displaying
market information and awaiting initiation of a trade order. If,
however, a pertinent button was clicked over a tradable cell, in
step 405 the system checks to determine whether a click trade is
requested or a dime trade is requested. In the preferred embodiment
of the present invention, this determination is made based on which
button ("Click" or "Dime") has been selected on the screen display
in area 302. As will be seen in the description of other
embodiments of the invention, this determination can also be made
based upon which mouse button has been depressed. If it is
determined that a click trade is requested, the system, in step
406, creates and sends a limit order to the exchange with the
quantity and price set in accordance with an algorithm (discussed
herein) based on the preliminary settings and the market prices.
Similarly, if it is determined that a dime trade is requested, the
system, in step 407, creates and sends a limit order to the
exchange with the quantity and price set in accordance with a
separate algorithm.
[0037] Next, placement of click trades under the present invention,
as opposed to dime trades, is described with reference to the
screen displays of FIGS. 3 and 5. Using the various parameters,
traders can use the present invention to implement various trading
strategies. Described herein are two such strategies based on two
embodiments of the present invention and its provisions for placing
click trades. The first involves the use of the "Click +/-" feature
of the invention. Trading with Click +/- allows a trader to chase a
fast moving market up to a certain amount of ticks. A trader would
set the number of ticks in the Click +/- field once. He would then
be able to send orders to market with a single click in the market
depth for a price up to (or down to if selling) the price clicked
plus (or minus if selling) the number of ticks in the Click +/-
field. A "tick" is the minimum change in a price value that is set
by the exchange for each commodity (for example, $0.01, $0.05,
$0.10 or any other value). The best available order in the market
within the preset parameters would be filled.
[0038] If the market was moving quickly and the inside market was
rapidly increasing or decreasing (or both alternatively), use of
Click +/- will insure that the trader can keep up with the changes.
Using the traditional electronic trading method, he might not be
able to sell or buy large quantities at or near the price he needs
because the price moved before he could enter all of the required
data. Using Click +/-, he can trade pre-specified quantities at any
chosen price plus or minus the number of ticks chosen. This makes
it more likely that his trades will get filled in a rapidly
changing market before the market moves away.
[0039] The following equations are used to exemplify how the system
would determine at what price an order should be placed. The
following abbreviations are used in the formulas: Ask Price clicked
with Click trading button=A, Bid Price clicked with Click trading
button=B, Click +/- value=C, Quantity=Q, Buy limit order sent to
the market=Bo and Sell limit order sent to the market=So.
If C>0 then Bo=(A+C)Q (Eq. 1)
If C>0 then So=(B-C)Q (Eq. 2)
[0040] If the user has set the Click +/- value to 0, the Click +/-
feature is essentially disabled and the Click Offset feature is
enabled (discussed herein).
[0041] Referring now to the screen display shown in FIG. 5, the
"Click Offset" 502 feature is disabled since a "Click +/-" 504
amount greater than 0 is entered. In the case shown, the Click +/-
amount is set to "5". This entry will enable the trader to trade at
any price he clicks in the market grid area 501 and enter an order
for up to (or down to if selling) 5 ticks above (or below) the
clicked price. Using the values shown in the screen display of FIG.
5, the placement of click trades using the Click +/- feature is now
described using examples. In these examples, and as shown in FIG.
5, the QTY 505 is 10 and the Click +/- 504 value is 5.
[0042] Suppose the trader seeks to sell 10 lots of the commodity.
He clicks on the 7623 Bid Price, which is three rows above the
inside market. This will send a limit order to the exchange to sell
10 lots for as low as 7618 (7623 minus 5 ticks). The best available
price will be filled first. Thus, in this scenario, all 10 lots
will be filled because bids exist in the marketplace in this price
range and the quantities amount to many more than 10 lots. Because
the best BidPrc will be used, the 10 lots will be sold at 7626, if
it is still available when the order is made.
[0043] Suppose the trader seeks to buy 10 lots of the commodity. He
clicks on the 7630 Ask Price, which is two rows below the inside
market. This will send a limit order to the exchange to buy 10 lots
at the best prices available for as much as 7635 (7630 plus 5
ticks). This order will also be filled because offers exist in the
marketplace in this price range and the quantities amount to many
more than 10 lots.
[0044] There is also a safety mechanism in the present invention
that can be used when placing click trades. This feature is known
as "Click Offset" and it prevents an order from being placed at a
price that is too far from the last traded price of the commodity.
Effectively, the trader establishes a floor or ceiling above or
below the last traded price by enabling Click Offset. To use the
Offset feature, a trader would set the Click +/- value to zero. He
would then set a figure in the Click Offset field. This will halt
any orders that are above or below the last traded price by at
least the number of ticks in the Click Offset field. As mentioned
above, a "tick" is the minimum change in a price value that is set
by the exchange for each commodity (for example, $0.01, $0.05,
$0.10 or any other value). Using Click Offset a trader could trade
in the market depth, but no order would be sent to market that is
entered by the trader for a price further from the last price than
the figure displayed in the Click Offset field.
[0045] Without the Click Offset feature, a trader might intend to
click on a particular price but, between the time he decides to do
so and the time he actually clicks (which may be only hundredths of
a second), the price may change. He may not be able to stop the
downward motion of his finger and the order would be sent to market
at an incorrect or undesired price. Sometimes the change in price
is significant and could cost the trader a lot of money.
Alternatively, the mouse pointer may inadvertently be improperly
positioned when the trader clicks which, without the Click Offset
feature, would also send an order at an incorrect or undesirable
price.
[0046] The following equations are used to exemplify how the system
would determine whether an order should be placed when the Click
Offset feature is used. The following abbreviations are used in
these formulas: Ask Price clicked with Click trading button=A, Bid
Price clicked with Click trading button=B, Last Traded Price=L,
Click Offset value=CO, Click +/- value=C, Quantity=Q, Buy limit
order sent to the market=Bo and Sell limit order sent to the
market=So.
If C=0 and if absolute value of (L-A)>CO then NO ORDER SENT (Eq.
3)
If C=0 and if absolute value of (L-B)>CO then NO ORDER SENT (Eq.
4)
If C=0 and if absolute value of (L-A)<Off then Bo=(A)Q (Eq.
5)
If C=0 and if absolute value of (L-B)<Off then So=(B)Q (Eq.
6)
[0047] Referring now to the screen display shown in FIG. 3, the
"Click Offset" feature is enabled since the "Click +/-" amount is
set to 0 (blank). In the case shown, the Click Offset amount is set
to "2". This entry will enable the trader to trade at any price he
clicks in the market grid area 301 so long as it is within two
ticks from the last price (LastPrc) 7627. Using the values shown in
the screen display of FIG. 3, the placement of click trades using
the Click Offset feature is now described using examples. In these
examples, and as shown in FIG. 3, the QTY is 10, the Click Offset
value is 2 and the last price at which the commodity was traded is
7627.
[0048] Suppose the trader wishes to buy 10 lots. The last traded
price is 7627 so the trader might right click on 7629, which is one
row below the inside market ask price. This would send a buy limit
order to the market for his previously entered quantity (10 in the
screen display of FIG. 3) for a price of 7629. Because this is
within two ticks of the last traded ask price, the order would go
to the market. All 10 lots would be filled because there are 836
(815 plus 21) lots in the market at least at this price. If,
however, the trader clicked on 7630 or higher, the system would not
allow a trade order to be generated because the price is greater
than two ticks above the last traded price.
[0049] Both of the Click +/- and the Click Offset features of
placing click trades in the present invention as described above
are shown in the flowchart of FIG. 6. First, in step 601, the
system determines whether a click trade has been requested. This
step connects with step 406 of FIG. 4. In one embodiment, as
discussed above and as shown in box 601, determination that a click
trade is requested can be based, in part, on which mouse button was
depressed. In step 602, the system determines whether a buy or a
sell order is requested based upon whether a price has been clicked
in the Ask column or in the Bid column. A click in the Bid column
indicates that the trader is initiating a sell order wherein the
system then moves to step 603. A click in the Ask column indicates
that the trader is initiating a buy order wherein the system then
moves to step 604.
[0050] The system, in each of steps 603 and 604 determines whether
the Click +/- feature is being used by checking whether the Click
+/- value is set to 0 or whether it is set to a number greater than
0. If, in 603 it is determined that the Click +/- value is set to
greater than 0, the system then creates, in step 605, a sell limit
order for the preset quantity and a price equal to the Bid price
clicked minus the Click +/- value (see Eq. 2). The sell limit order
is sent to the market. Similarly, if in step 604 it is determined
that the Click +/- value is set to greater than 0, the system then
creates, in step 606, a buy limit order for the preset quantity and
for a price equal to the Ask price clicked plus the Click +/-
setting (see Eq. 1). The buy limit order is sent to the market.
[0051] The following describes the use of the Click Offset feature
of the present invention with reference to the flowchart of FIG. 6.
If in step 603 it is determined that the Click +/- value is 0, the
system moves to step 607. Similarly, if in step 604 it is
determined that the Click +/- value is 0, the system moves to step
608. In each of steps 607 and 608, the system determines whether to
allow the buy or sell trade order to be sent to the market. In
these steps, the system determines whether the price clicked is
within the Click Offset value away from the last trade price of the
commodity. If, in step 607, the system determines that the price
clicked is within the Click Offset value away from the last trade
price of the commodity, then, in step 609 (see Eq. 6), it creates a
sell limit order for the preset quantity at the Bid price clicked.
If not, then, in step 611 (see Eq. 4), no trade order is sent to
the market and the trader's attempt to place a trade is prevented.
Similarly, if in step 608, the system determines that the price
clicked is within the Click Offset value away from the last trade
price of the commodity, then, in step 610 (see Eq. 5), it creates a
buy limit order for the preset quantity at the Ask price clicked.
If not, then, in step 612 (see Eq. 3), no trade order is sent to
the market and the trader's attempt to place a trade is
prevented.
[0052] Next, placement of dime trades under the present invention,
as opposed to click trades, is described with reference to the
screen display of FIG. 7 and the flowchart of FIG. 8. Dime trading
allows traders to join the market at a value above or below the
best bid or ask by a specified number. Using Dime +/-, a trader can
enter orders into the market that will not be filled until an equal
match met the order in the market. The trader selects the quantity
as he did when click trading, and enters the tick amount in the
"Dime +/-" field. A setting of zero ("0") ticks will enter an order
for the price clicked. A tick setting of any amount greater than or
less than zero ("0") sends an order to the market for the price
clicked plus (minus if selling) the Dime +/- setting. If the trader
clicked on the Bid order column, a bid would be sent, while a click
on the Ask column would send an ask order. This type of trading may
be utilized to join the market or even to move the prevailing
market prices up or down.
[0053] The following equations are used to exemplify how the system
would determine at what price an order should be placed when using
Dime trading. The following abbreviations are used in these
formulas: Ask Price clicked with Dime trading button=A, Bid Price
clicked with Dime trading button=B, Dime +/- value=D, Quantity=Q,
Buy limit order sent to the market=Bo and Sell limit order sent to
the market=So.
Bo=(B+D)Q (Eq. 7)
So=(A-D)Q (Eq. 8)
[0054] Using the values shown in the screen display of FIG. 7, the
placement of dime trades is now described using examples. In these
examples, and as shown in area 702 of FIG. 7, the QTY is 10, the
Dime +/- value and the Dime button has been selected. Suppose the
trader wishes to join in the market with those wishing to buy a
commodity at a certain price. In this screen, the trader might
click in area 701 on 7622, which is four rows below the inside
market bid price. This would send a buy order to the market for his
previously entered quantity (10 in the screen display of FIG. 7)
for a price of 7624 or better (up to two ticks above the clicked
price). Nothing would be filled at this point. Rather, the orders
would be placed in the market as a Bid limit order at a price of
7624 and would only be filled if an Ask order entered the market
for a price of 7624 or better (lower).
[0055] Suppose that the Dime +/- was set to a negative number, for
example -3. In this case, a click on 7622 in the BidPrc column
would enter a Bid limit order for a price of 7619. None of these
would be filled in the market until and unless the Ask orders enter
the market for a price of 7619 or better (lower).
[0056] The process for placing dime trades in the present invention
as described above are shown in the flowchart of FIG. 8. First, in
step 801, the system determines whether a dime trade has been
requested. This step connects with step 407 of FIG. 4. In one
embodiment, as discussed above and as shown in box 801,
determination that a dime trade is requested can be based, in part,
on which mouse button was depressed. In step 802, the system
determines whether the trader wants to join the market of buy
orders or of sell orders for the commodity based upon whether a
price has been clicked in the Bid column or in the Ask column. A
click in the Bid column indicates that the trader is initiating a
buy order and the system then moves to step 803. A click in the Ask
column indicates that the trader is initiating a sell order and the
system then moves to step 804. In step 803, the system creates a
buy limit order at a price equal to the Bid price clicked plus the
Dime +/- amount (see Eq. 7). The order is sent to the exchange. In
step 804, the system creates a sell limit order at price equal to
the Ask price clicked minus the Dime +/- amount (see Eq. 8). The
order is sent to the exchange. In this way, the trader can easily
join the market for a given commodity by entering orders into the
market that will not be filled until an equal match met the order
in the market.
[0057] Other features of the present invention, applicable to both
click and to dime trading are now described. Reference is made to
FIG. 3, and specifically in area 302, to the fields containing
values, including the QTY 304, the Click Offset 305, the Click +/-
306 and the Dime +/- 307 fields. The values in these fields can be
set by typing in the numbers through a keyboard or by clicking on
the up and down arrows to increment or decrement the value within
the corresponding field. In the present invention, however, there
is a third way to adjust the values in these fields which furthers
the goal of reducing the amount of time required to place trade
orders. The values in these fields can be adjusted by simply
positioning the mouse pointer in the desired field and clicking a
button. In the preferred embodiment of the invention, a click of
the left mouse button causes the value in the field the increment
by 1 and a click of the right mouse button causes the value to
decrement by 1. This functionality is accomplished by including
programming to cause clicks of certain of the mouse buttons to
provide the above-described incrementing only when the mouse is
detected above these fields.
[0058] In one embodiment of the present invention, a two-button
mouse is used by the trader to make selections on the screen and
initiate trade orders. In this case, as discussed above, the user
selects whether he wishes to be initiating click trades or dime
trades by selecting the appropriate button in area 302. Once
selected, the right button of the mouse is used to initiate as many
click or dime trades as the trader desires, depending on which mode
is selected, by clicking on an Ask or Bid price in area 303. In
another embodiment of the invention, a three-button mouse is used
by the trader. This eliminates the need to select either the click
button or the dime button since both types of trades can be
executed from the mouse at any given time. Using a three-button
mouse, and with the mouse pointer positioned over a tradable cell
as described above, a trader could place a dime trade with a single
click of the middle mouse button and place a click trade with a
single click of the right mouse button. This embodiment of the
present invention also furthers the goal of reducing the amount of
time required to place trade orders since it eliminates the time
necessary to switch between click and dime modes of trading.
[0059] Another feature of the present invention involves the use of
theoretical trading prices as well as theoretical ask and bid
prices. Such theoretical values can assist the trader in deciding
whether to place trades and, in the present invention, can be used
to prevent the trader from placing trades that are outside of the
parameters defined by the theoretical values. These theoretical
values are pre-determined and may be calculated by an external
program or algorithm. The values are imported into the present
system automatically or can be entered by the trader. FIG. 9 shows
a screen display where, in area 902, values generated from a
spreadsheet 902 are imported into the present system and shown in
area 901. A screen button "Theo" (not shown) can be clicked to
enable the use of the Theoretical Value in click trading. Thus, the
trader's click trades would then be restricted by this value and no
order would be sent that was not as good or better than the
theoretical value. This value would be applied irrespective of
whether the trader attempted to buy or sell. Thus, if the
theoretical value was 102 and the trader attempted to click trade
in the BidPrc column at 101, no order would be sent because the
clicked value was worse than the theoretical value. Clicks on 102,
103, 104 or higher in the BidPrc column would be allowed because
these would send sell orders as good as or better than the
theoretical value.
[0060] Separate Theoretical Bid and Ask prices can also be used.
This feature can be enabled by clicking on a screen button "B/A"
(Bid/Ask--not shown). A separate theoretical value could be
established for each bid and ask in accordance with predetermined
algorithms based on various parameters. This is shown in FIG. 9 as
TheoBid and TheoAsk. Separate bid and ask theoretical values can
also be established for each row in the market depth. Each
attempted bid or ask order would be checked against each
corresponding theoretical bid or ask value. If the clicked price is
as good or better than the corresponding Bid or Ask theoretical
value, only then will the order be sent.
[0061] An additional feature of the present invention relating to
the use of theoretical values is the ability to modify "edge".
Traders may edge their trades away from the theoretical values
described above. When either the Theo or B/A screen buttons are
clicked enabled, a white field (not shown) appears in a box
adjacent to "Theo" and "B/A." Traders can input a number of ticks
here which allows them to prevent orders from being placed that are
not better than the corresponding theoretical value by the amount
of ticks entered. For example, with a 12.2 theoretical value, a
12.6 market bid, and an edge value of 4 ticks, a trader's order to
sell at the market bid price will pass the edge test and the trade
order will be sent. But, if the bid moved one tick lower to 12.5,
an attempt to sell would fail the edge test, because only 3 ticks
of edge would be made on the trade and, thus, no trade order would
be sent. Edge trading can also be used with the Click +/- setting.
A trader who sets the Click +/- value to 4 ticks will construct a
bid 4 ticks higher than the offer or an offer 4 ticks lower than
the bid. If this constructed price fails the edge test, the order
will not be sent.
[0062] It should be understood that the above description of the
invention and specific examples, while indicating preferred
embodiments of the present invention, are given by way of
illustration and not limitation. Many changes and modifications
within the scope of the present invention may be made without
departing from the spirit thereof, and the present invention
includes all such changes and modifications.
* * * * *