System and Method for Reducing the Risks Involved in Trading Multiple Spread Trading Strategies

Abstract

System and methods for reducing the risks involved in trading multiple spread trading strategies in an electronic trading environment are provided. Specifically, reducing the risks involved in trading multiple spreads that share a leg by, among other things, quoting a single order in the shared leg instead of quoting orders for each of the corresponding spread legs. Based on the computed quote price for the single order, associating the single order with the leaned on price that results in the price closest to the inside market in the shared leg. The single quote order is based on the market conditions in the spread legs and the desired spread price. Once the single order fills, a hedge order is sent to the leg that obtains the most advantageous price for the spread based on the other spread options.

1 . (canceled) 
     
     
         2 . A method for executing trading strategies, comprising:
 defining by a computing device a plurality of spread trading strategies, each of the plurality of spread trading strategies comprising at least a request to trade a first tradeable object and a request to trade a second tradeable object, wherein the first tradeable object of each of the plurality of spread trading strategies is a common tradeable object to the plurality of spread trading strategies, and the second tradeable object of each of the plurality of spread trading strategies is different from the common tradeable object, and the second tradeable object is different in each of the plurality of spread trading strategies,   receiving by the computing device market data from one or more electronic exchanges, the market data relating to the first tradeable object and the second tradeable object, wherein each of the first tradeable object and the second tradeable object is available to trade at one of the one or more electronic exchanges;   calculating by the computing device a quote price for the common tradeable object for each of the plurality of spread trading strategies based on a desired price to buy or sell each of the plurality of spread trading strategies and further based on the market data received from the one or more electronic exchanges for the second tradeable object of each of the plurality spread trading strategies,   from the calculated quote prices for the common tradeable object of the plurality of spread trading strategies, selecting by the computing device a first quote price closest to a price level based on either an inside market price or a last traded price of the common tradeable object at a first electronic exchange of the one or more electronic exchanges, wherein the first tradeable object is available to trade at the first electronic exchange, wherein the first quote price is for a first spread trading strategy of the plurality of spread trading strategies; and   sending by the computing device a first quote order for the common tradeable object at the selected first quote price to the first electronic exchange where the common tradeable object is available to trade, wherein at least one second quote order at a second quote price of the calculated quote prices is not sent to the first electronic exchange, wherein the second quote price is not closest to the price level based on either the inside market price or the last traded price of the common tradeable object when the first quote price is selected.   
     
     
         3 . The method of  claim 2 , wherein further comprising:
 detecting by the computing device a condition;   in response to detecting the condition:
 recalculating by the computing device the quote price for the common tradeable object for each of the plurality of spread trading strategies; 
 from the quote prices for the common tradeable object calculated after the detected condition, selecting by the computing device a second quote price closest to the price level based on either the inside market price or the last traded price of the common tradeable object; and 
 re-pricing by the computing device the first quote order to the second quote price. 
   
     
     
         4 . The method of  claim 3 , wherein the condition comprises a user-defined condition. 
     
     
         5 . The method of  claim 3 , wherein the condition comprises a market fluctuation in the second tradeable object corresponding to a spread trading strategy associated with the first quote price selected prior to detecting the condition. 
     
     
         6 . The method of  claim 3 , wherein the condition comprises a time expiration. 
     
     
         7 . The method of  claim 3 , wherein the condition comprises detecting a fill of at least a portion of a total order quantity for the first order. 
     
     
         8 . The method of  claim 7 , wherein the at least a portion of the total order quantity to be filled is user-defined. 
     
     
         9 . The method of  claim 7 , wherein the at least a portion of the total order quantity to be filled comprises a percentage of the total order quantity. 
     
     
         10 . The method of  claim 7 , wherein the at least a portion of the total order quantity to be filled comprises a value. 
     
     
         11 . The method of  claim 2 , further comprising:
 detecting by the computing device a fill of a total order quantity of the first quote order; and   placing by the computing device an offsetting hedge order for the second tradeable object in one of the plurality of spread trading strategies.   
     
     
         12 . The method of  claim 11 , wherein the offsetting hedge order comprises a market order. 
     
     
         13 . The method of  claim 11 , wherein the offsetting hedge order comprises a limit order. 
     
     
         14 . The method of  claim 13 , wherein the limit order is placed at a price level based on a leaned on price for each tradeable object that is not the common tradeable object and that corresponds to each hedge leg of one of the plurality of spread trading strategies that results in the first quote price closest to the price level, wherein the leaned on price is used to determine the first quote price. 
     
     
         15 . The method of  claim 13 , wherein the limit order is placed at a price level that is calculated based on a fill price of the first order and the desired price for one of the plurality of spread trading strategies. 
     
     
         16 . The method of  claim 2 , wherein the price level is user-defined. 
     
     
         17 . The method of  claim 2 , wherein the inside market price comprises a highest bid price and a lowest ask price currently available in a market. 
     
     
         18 . The method of  claim 2 , further comprising:
 defining by the computing device a precedence level for each of the plurality of spread trading strategies;   selecting by the computing device one of the plurality of spread trading strategies based on the precedence level for each of the plurality of spread trading strategies; and   sending by the computing device an offsetting hedge order for the second tradeable object of the selected spread trading strategy.   
     
     
         19 . The method of  claim 18 , wherein at least one precedence level is user-defined. 
     
     
         20 . The method of  claim 18 , wherein at least one precedence level is based on trading volume in at least one of the first tradeable object and second tradeable object associated with each of the plurality of spread trading strategies. 
     
     
         21 . The method of  claim 18 , wherein at least one precedence level is based on trading activity in at least one of the first tradeable object and the second tradeable object associated with each of the plurality of spread trading strategies. 
     
     
         22 . The method of  claim 2 , further comprising:
 determining by the computing device that two or more calculated quote prices result in the same price closest to the price level;   selecting by the computing device a spread trading strategy having a highest precedence level from two or more spread trading strategies associated with the two or more calculated quote prices closest to the price level; and   sending by the computing device a hedge order for the second tradeable object of the selected spread trading strategy having the highest precedence level.   
     
     
         23 . The method of  claim 2 , wherein the quote price for the common tradeable object of each of the plurality of spread trading strategies is determined using the desired price and a leaned on price for each second tradeable object that corresponds to a hedge leg of each of the plurality of spread trading strategies. 
     
     
         24 . The method of  claim 2 , wherein the desired price to buy or sell each of the plurality of spread trading strategies is different. 
     
     
         25 . The method of  claim 2 , wherein the desired price to buy or sell each of the plurality of spread trading strategies is the same.