Managing Hedge Orders for Synthetic Spread Trading

Abstract

Hedge legs for synthetic spread trading strategies are managed as attached or detached from a synthetic spread order. A legged hedge order may be changed, adjusted, deleted, cancelled or otherwise managed according to changes, adjustments, deletions ad/or cancellations of the synthetic spread order upon which the legged spread order was submitted.

1 . A method for synthetic spread trading, comprising:
 receiving, via an input device associated with a client device, a user command to change a target price for a synthetic spread to a new target price for the synthetic spread, where the synthetic spread includes an unfilled hedge order with an unfilled quantity pending execution at an electronic exchange at a hedge price; and   in response to receiving the user command, submitting, via the client device, an update message to the electronic exchange to change the hedge price to a new hedge price determined based on the new target price.   
     
     
         2 . The method of  claim 1  where the unfilled hedge order is derived from a target price for the synthetic spread and a working order of the synthetic spread. 
     
     
         3 . The method of  claim 1  where the update message comprises a cancel/replace order. 
     
     
         4 . The method of  claim 1  where submitting the message comprises cancelling the unfilled hedge order and submitting a new hedge order for the unfilled quantity at the new hedge price. 
     
     
         5 . The method of  claim 1  where an inside market for a hedge leg of the synthetic spread is between the hedge price and the new hedge price. 
     
     
         6 . The method of  claim 1  where the new hedge price is further based on user parameters for the synthetic spread. 
     
     
         7 . The method of  claim 1  where the unfilled hedge order is associated with the synthetic spread according to user preferences. 
     
     
         8 . The method of  claim 1  where the unfilled hedge order is for a hedge leg of the synthetic spread. 
     
     
         9 . The method of  claim 8  further comprising displaying, via the client device, an indicator representing the unfilled hedge order at price level of a plurality of axially aligned price levels for the hedge leg. 
     
     
         10 . A non-transitory computer readable medium having instructions stored thereon which when executed by a processor cause the processor to carry out acts comprising:
 receiving a user command to change a target price for a synthetic spread to a new target price for the synthetic spread, where the synthetic spread includes an unfilled hedge order with an unfilled quantity pending execution at an electronic exchange at a hedge price; and   in response to receiving the user command, submitting an update message to the electronic exchange to change the hedge price to a new hedge price determined based on the new target price.   
     
     
         11 . The non-transitory computer readable medium of  claim 10  where the unfilled hedge order is derived from a target price for the synthetic spread and a working order of the synthetic spread. 
     
     
         12 . The non-transitory computer readable medium of  claim 10  where the update message comprises a cancel/replace order. 
     
     
         13 . The non-transitory computer readable medium of  claim 10  where submitting the message comprises cancelling the unfilled hedge order and submitting a new hedge order for the unfilled quantity at the new hedge price. 
     
     
         14 . The non-transitory computer readable medium of  claim 10  where an inside market for a hedge leg of the synthetic spread is between the hedge price and the new hedge price. 
     
     
         15 . The non-transitory computer readable medium of  claim 10  where the new hedge price is further based on user parameters for the synthetic spread. 
     
     
         16 . The non-transitory computer readable medium of  claim 10  where the unfilled hedge is associated with the synthetic spread according to user preferences. 
     
     
         17 . The non-transitory computer readable medium of  claim 10  where the unfilled hedge is for a hedge leg of the synthetic spread. 
     
     
         18 . The non-transitory computer readable medium of  claim 17  further comprising displaying an indicator representing the unfilled hedge order at price level of a plurality of axially aligned price levels for the hedge leg. 
     
     
         19 . A spread order management apparatus, comprising:
 an order manager configured to submit an update message to an electronic exchange in response to receiving a user command to change a target price for a synthetic spread to a new target price, where the synthetic spread includes an unfilled hedge order and where the update message includes instructions to change a hedge price for an unfilled quantity of the hedge order pending execution at the electronic exchange to a new hedge price determined based on the new target price.   
     
     
         20 . The spread order management apparatus of  claim 19  where the update message comprises a cancel/replace order.