公开(公告)号：US20160217527A1

公开(公告)日：2016-07-28

申请号：US14607829

申请日：2015-01-28

Applicant: TRADING TECHNOLOGIES INTERNATIONAL INC.

Inventor： Jason SHAFFER ,  Sun Joong YOO

IPC: G06Q40/04

CPC classification number: G06Q40/04

Abstract: Systems and methods to define and implement a spread trading strategy having multiple lean legs are described. An example method includes receiving, via a computing device, a definition of a spread trading strategy. The definition includes a first leg associated with a first tradeable object, a second leg associated with a second tradeable object and a third leg associated with a third tradeable object. The example method includes determining, via the computing device, a first leg price for the first leg using a first lean pricing technique and determining, via the computing device, a second leg price for the second leg using a second lean pricing technique. The second lean pricing technique is different than the first lean pricing technique. The example method also includes calculating, via the computing device, a quote price for the third leg based on the first leg price, the second leg price and a desired spread trading strategy price and submitting, via the computing device, a quote order for the third leg at the quote price.

Abstract translation: 描述了定义和实现具有多个瘦腿的传播交易策略的系统和方法。 示例性方法包括经由计算设备接收传播交易策略的定义。 该定义包括与第一可交易对象相关联的第一条腿，与第二可交易对象相关联的第二条腿和与第三可交易对象相关联的第三条腿。 该示例方法包括通过计算设备使用第一精益定价技术确定第一腿的第一腿价格，并且经由计算设备使用第二精简定价技术来确定第二腿部的第二腿部价格。 第二种精益定价技术与第一种精益定价技术不同。 该示例方法还包括通过计算设备基于第一腿价格，第二腿价格和期望的差价交易策略价格计算第三腿的报价，并且经由计算设备提交报价单， 第三条腿的报价。

公开(公告)号：US20170193601A1

公开(公告)日：2017-07-06

申请号：US14984582

申请日：2015-12-30

Applicant: TRADING TECHNOLOGIES INTERNATIONAL, INC.

Inventor： Iliar MANGUTOV ,  Sanju VARGHESE ,  Patricia A. MESSINA ,  Sun Joong YOO

IPC: G06Q40/04

CPC classification number: G06Q40/04

Abstract: An allocation manager may be implemented to reallocate the order quantities that are pending in an order queue at different exchanges according to a definition of a trading strategy. To reallocate the order quantities across the different exchanges, a minimum position-in-queue value for each leg in the trading strategy may be determined by the allocation manager. The minimum position-in-queue value may be the minimum or target value to be pending at an order queue for each leg of the trading strategy. A quantity allocation amount may be determined for one or more of the legs of the trading strategy to reallocate a quantity of a tradeable object from one exchange to another to meet the minimum position-in-queue value at each exchange. A quantity allocation amount may be communicated to each exchange to transfer the quantity allocation amount between the exchanges.