System and method for processing a trade order

Patent metadata

Field	Value
Publication number	US-10282783-B2
Application number	US-201414174052-A
Country	US
Kind code	B2
Filing date	Feb 6, 2014
Priority date	Mar 13, 2013
Publication date	May 7, 2019
Grant date	May 7, 2019

Abstract

A method for processing a trade order includes a computer receiving a market data for a financial asset, receiving pricing parameters and receiving proposed order quantity and price data. The method further includes constructing, by a computer, proposed trades based on the proposed order quantity and price data. The method further includes calculating, by a computer, a theoretical price for the financial asset based on the market data, pricing parameters as well as the proposed order price data. The method further includes comparing the constructed trades with the theoretical price. The method further includes displaying market data indicators relative to the theoretical price indicators based on the performed comparison.

First claim

The invention claimed is:

1. A computer-implemented method of generating a dynamic graphical user interface (GUI) display comprising:
in at least one computing device comprising one or more processors executing computer-readable instructions that cause said at least one computing device to perform the steps of:
generating a GUI that comprises a graphical theoretical price indicator representative of a theoretical price, one or more graphical market data indicators associated with one or more proposed trades, and one or more data fields prompting data entry;
responsive to said prompting, receiving at least one pricing parameter, at least one proposed order quantity, and at least one proposed order price via said one or more data fields;
receiving, by the at least one computing device, live market data for the at least one type of asset traded on at least one remote electronic exchange over a network from said at least one remote electronic exchange;
constructing, by the at least one computing device, one or more proposed trades based on the at least one proposed order quantity and the at least one proposed order price;
calculating, by the at least one computing device, a theoretical price based on the received live market data, the at least one pricing parameter, and the proposed order price;
positioning, by the at least one computing device, said graphical theoretical price indicator on said GUI to represent said calculated theoretical price;
positioning, by the at least one computing device, said one or more graphical market data indicators on said GUI, relative to said theoretical price indicator, to reflect said received live market data, wherein said relative positioning is indicative of an initial level of profitability or unprofitability of said constructed one or more proposed trades;
continuously monitoring, by said at least one computing device, fluctuations in the live market data and determining that the profitability or unprofitability has changed as a result of said fluctuations; and
in response to said fluctuations, automatically and dynamically re-positioning, by the at least one computing device, the locations of the graphical market data indicators relative to the theoretical price indicator on said GUI to reflect said changes in profitability or unprofitability.

2. The method of claim 1 , further comprising positioning, on the GUI, a proposed order quantity indicator and a proposed order price indicator.

3. The method of claim 1 , wherein one or more of the at least one proposed order price is set to at least one of a market bid and a market ask included in said live market data.

4. The method of claim 1 , wherein the location of the one or more market data indicators relative to the displayed theoretical price indicator further indicates an extent to which a proposed trade price is less than or greater than the theoretical price.

5. The method of claim 1 , wherein a location of the one or more market data indicators relative to the displayed theoretical price indicator further indicates whether a proposed trade price is less than or greater than the theoretical price.

6. The method of claim 1 , wherein one or more theoretical models are used to calculate the theoretical price.

7. The method of claim 6 , wherein the one or more theoretical models comprise a user-specified theoretical model.

8. The method of claim 1 , wherein the theoretical price indicator is displayed statically, and the location of the one or more market data indicators changes dynamically relative to the static theoretical price indicator in response to the fluctuations in the live market data.

9. The method of claim 8 , wherein the theoretical price indicator is displayed as a static mark that is located at a center of a window within said GUI, said window comprising a portion less than all of said GUI space.

10. The method of claim 1 , wherein the dynamic changes in the display of the one or more market data indicators are based on fluctuations of at least one of live market bid data, live market ask data, live market bid volume, and live market ask volume.

11. The method of claim 1 , wherein the one or more market data indicators comprise at least one of market bid data, market ask data, market bid volume, and market ask volume.

12. The method of claim 1 , wherein the theoretical price indicator is displayed as a range of values between a theoretical selling price and a theoretical buy price, said range of values defining a risk associated with the one or more proposed trades.

13. The method of claim 1 , wherein the step of calculating the theoretical price comprises calculating an implied volatility of the at least one type of asset traded on the at least one electronic exchange.

14. The method of claim 13 , wherein the theoretical price indicator comprises a numerical range of values that are based on a bid/ask spread of the at least one type of asset traded on the at least one electronic exchange.

15. The method of claim 14 , wherein a width of the numerical range of values of the theoretical price indicator indicates a delta risk of the at least one type of asset traded on the at least one electronic exchange.

16. The method of claim 1 , wherein the at least one electronic exchange comprises at least one of a commodities exchange, a futures execution facility, an options exchange, a cash equities exchange, a swap execution facility and an unregulated electronic transaction execution venue.

17. The method of claim 1 , wherein the one or more market data indicators and the theoretical price indicator are displayed by the at least one other computing device in communication with the at least one computing device, over a network, via a graphical user interface generated on said other at least one computing device.

18. The method of claim 17 , wherein the graphical user interface is configured to receive input from a user to select which of the one or more proposed trades will be executed.

19. The method of claim 18 , wherein the graphical user interface is configured to prevent the user from selecting trades that are not profitable.

20. The method of claim 19 , wherein the graphical user interface is configured to receive input from the user to override the prevention of selecting trades that are not profitable.

21. The method of claim 18 , wherein the graphical user interface is configured to receive input from the user to select a profitable trade that does not correspond to the at least one proposed order price.

22. The method of claim 21 , further comprising receiving input from the user selecting a profitable trade that is based on at least one of a live market bid and a live market ask.

23. The method of claim 1 , wherein the at least one type of asset comprises at least one of an outright option, a spread option, and an option combination.

24. The method of claim 1 , further comprising highlighting, on said GUI, each of the one or more market data indicators that are associated with proposed trades that are profitable.

25. The method of claim 1 , wherein the at least one pricing parameter comprises at least one of risk-free interest rate data, volatility data, time to option expiration data, skew data, kurtosis data, correlation data, interest rate data, dividend yield data, and forward price data relating to an underlying asset.

Assignees

• Intercontinentalexchange Inc
• Intercontinental Exchange Holdings Inc

Inventors

• Wender David R

Classifications

• G06Q40/04 Primary

  Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange · CPC title

• G06Q40/06

  Asset management; Financial planning or analysis · CPC title