AUTOMATED SPREAD TRADING SYSTEM
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United States of America Patent
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Issued Date -
Feb 17, 2011
app pub date -
Aug 17, 2010
filing date -
Aug 17, 2009
priority date (Note) -
Abandoned
status (Latency Note)
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Abstract
An automated spread trading terminal receives from a user a selection of a spread trade indicative of a set of trading contracts defined in relation to the spread trade, and transmits to an electronic trading exchange a first set of messages including an order message such that an initial set of working orders corresponding to one of the trading contracts are rendered operative in the electronic trading exchange. The terminal receives from the electronic trading exchange a first fill confirmation message confirming the partial completion of a first working order in the initial set of working orders, and current market data indicating quantities of current bids and/or offers in relation to the trading contracts. in response to the first fill confirmation message, the terminal transmits to the electronic trading exchange a second set of messages such that a completing set of working orders are rendered operative in the electronic trading exchange. A quantity is reduced on order at a given price level from a first non-zero quantity to a second non-zero quantity for a trading contract on the basis of a bid or offer quantity in the current market data.
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