System and Method for Performing Automatic Spread Trading

Abstract

The present embodiments are provided to facilitate the automatic trading of spreads in a fast and accurate manner. One or more market data feeds that contain market information for tradeable objects are received at an exchange. A spread data feed is generated in response to the market data feeds and from one or more spread setting parameters, which can be entered by a user. The spread data feed is preferably displayed in a spread window as bid and ask quantities associated with an axis or scale of prices. The user can enter orders in the spread window and the legs will be automatically worked to achieve, or attempt to achieve, the spread. In addition, other tools disclosed herein may be utilized to assist the user in making such trades.

1 . (canceled) 
     
     
         2 . A method including:
 receiving by a trading system a first data feed for a first tradeable object and a second data feed for a second tradeable object;   displaying by the trading system a plurality of spread price levels along a price axis, wherein the plurality of spread price levels is determined based on the first data feed, the second data feed, and a definition for a spread trading strategy including the first tradeable object and the second tradeable object, wherein each spread price level of the plurality of spread price levels corresponds to a spread price for a spread between the first tradeable object and the second tradeable object according to the definition for the spread trading strategy;   displaying by the trading system a plurality of locations, wherein each location of the plurality of locations corresponds to a spread price level of the plurality of spread price levels displayed along the price axis, wherein each location of the plurality of locations is configured to receive a command to initiate buying or selling the spread trading strategy at the spread price of the spread price level corresponding to the location;   receiving by the trading system a user command to place a first spread order, wherein the user command includes selecting a first location of the plurality of locations corresponding to a first spread price level of the plurality of spread price levels, wherein the user command is received by a single action of a user input device;   determining by the trading system a first price for a first order for the first tradeable object based on the first spread price level, the second data feed for the second tradeable object, and the definition for the spread trading strategy;   submitting by the trading system the first order for the first tradeable object to a first electronic exchange;   receiving by the trading system a message from the first electronic exchange indicating a first quantity of the first order has been filled at a filled price;   determining by the trading system, in response to receiving the message indicating the first quantity has been filled, a second price for a second order for the second tradeable object based on the first spread price level, the filled price, and the definition for the spread trading strategy; and   submitting by the trading system, in response to receiving the message indicating the first quantity has been filled, the second order for the second tradeable object to a second electronic exchange.   
     
     
         3 . The method of  claim 2 , wherein the trading system includes a terminal and a server. 
     
     
         4 . The method of  claim 3 , wherein the trading system includes a trading application, an automatic spreader, and a GUI manager, wherein the GUI manager runs on the terminal, wherein at least one of the trading application and the automatic spreader runs on the server. 
     
     
         5 . The method of  claim 2 , further including:
 determining by the trading system a third price for a third order for the second tradeable object based on the first spread price level, the first data feed for the first tradeable object, and the definition for the spread trading strategy; and   submitting by the trading system the third order for the second tradeable object to the second electronic exchange.   
     
     
         6 . The method of  claim 5 , further including:
 receiving by the trading system a second message from the second electronic exchange indicating a second quantity of the third order has been filled at a second filled price;   determining by the trading system, in response to receiving the second message indicating the second quantity has been filled, a fourth price for a fourth order for the first tradeable object based on the first spread price level, the second filled price, and the definition for the spread trading strategy; and   submitting by the trading system, in response to receiving the second message indicating the second quantity has been filled, the fourth order for the first tradeable object to the first electronic exchange.   
     
     
         7 . The method of  claim 6 , further including:
 adjusting by the trading system, in response to receiving the second message indicating the second quantity has been filled, a working quantity of the first order based on the second quantity.   
     
     
         8 . The method of  claim 2 , further including:
 determining by the trading system, as the second data feed for the second tradeable object is received, a working price for the first spread order based on the first spread price level, the second data feed for the second tradeable object, and the definition for the spread trading strategy;   comparing by the trading system a price condition for the working price for the first spread order to a spread limit; and   submitting by the trading system, in response to the comparison, a command to reprice the first order for the first tradeable object to a new price to the first electronic exchange.   
     
     
         9 . The method of  claim 8 , wherein the command to reprice the first order includes a command to cancel the first order and a command to place a new order for the first tradeable object at the new price. 
     
     
         10 . The method of  claim 8 , wherein the command to reprice the first order includes a cancel/replace command. 
     
     
         11 . The method of  claim 8 , wherein the spread limit includes at least one of an inside price limit and an outside price limit. 
     
     
         12 . The method of  claim 8 , wherein the comparison of the price condition for the working price for the first spread order to the spread limit includes determining whether the working price is outside the spread limit. 
     
     
         13 . The method of  claim 8 , wherein the comparison of the price condition for the working price for the first spread order to the spread limit includes determining whether the working price is within the spread limit. 
     
     
         14 . The method of  claim 2 , wherein the first exchange is the same as the second exchange. 
     
     
         15 . The method of  claim 2 , wherein the first exchange is different than the second exchange.