System and method for automatically distributing a trading order over a range of prices

Abstract

According to one embodiment, a method of managing trading is provided. A trading order intended for a trading exchange is received from a trader, the trading order having an associated trading order price. A group of distributed trading orders is automatically generated based at least on the trading order price and a set of pre-configured distribution parameters associated with the trading order. The group of distributed trading orders is distributed over a multiple price levels. The generated group of distributed trading orders is automatically submitted to the trading exchange.

1 . A method of managing electronic trading, comprising:
 receiving, by at least one processor, from a particular trader a trading order for a particular instrument intended for a trading exchange, the trading order having an associated price;   identifying, by the at least one processor, from a plurality of sets of pre-configured distribution parameters a particular set of distribution parameters for processing the trading order;   automatically generating, by the at least one processor, a group of distributed trading orders for the instrument distributed over multiple price levels based at least on the trading order price and the identified set of distribution parameters associated with the trading order, each order of the group of distributed trading orders having a respective price that is different from the price of every other order in the group of distributed trading orders, in which each of the group of distributed trading orders comprises a same side as the trading order such that the group of distributed trading orders comprise buy orders if the trading order comprises a buy order and the group of distributed trading orders comprise sell orders if the trading order comprises a sell order; and   automatically submitting, by the at least one processor, the generated group of distributed trading orders to the trading exchange for the particular instrument instead of the trading order.   
     
     
         2 . The method of  claim 1 ,
 wherein the group of distributed trading orders are distributed over multiple price levels including the trading order price and one or more prices worse than the trading order price,   wherein a worse price comprises a lower price for a bid or a higher price for an offer, and   wherein receiving the trading order comprises receiving from the particular trader a trading order which can be executed by the trading exchange without receiving further confirmation from the particular trader.   
     
     
         3 . (canceled) 
     
     
         4 . The method of  claim 1 , wherein receiving the trading order comprises receiving from the particular trader a trading order that can be executed by the trading exchange after receiving further confirmation from the particular trader, wherein the particular trader is an automated price feed indicating the trading order price. 
     
     
         5 . (canceled) 
     
     
         6 . The method of  claim 1 , wherein:
 the particular set of distribution parameters defines, for each of the multiple price levels, price data for determining the price for a distributed trading order to be generated at that price level; and   generating the group of distributed trading orders comprises:
 for each of the multiple price levels, determining the price for a distributed trading order at that price level based on the trading order price and the price data for that price level; and 
 for each of the multiple price levels, generating a distributed trading order at the price determined for that price level. 
   
     
     
         7 . The method of  claim 6 , wherein the price data defines, for each of the multiple price levels, an amount of a price offset from the trading order price for a distributed trading order to be generated at that price level. 
     
     
         8 . The method of  claim 1 , wherein:
 the particular set of distribution parameters defines, for each of the multiple price levels, order size data for determining the size of a distributed trading order to be generated at that price level; and   generating the group of distributed trading orders comprises:
 for each of the multiple price levels, determining the size of a distributed trading order at that price level based on the trading order size and the order size data for that price level; and 
 for each of the multiple price levels, generating a distributed trading order of the size determined for that price level. 
   
     
     
         9 . The method of  claim 1 , wherein:
 receiving the trading order comprises receiving data defining one or more order parameters regarding the trading order; and   identifying the particular set of distribution parameters for processing the trading order comprises identifying the particular set of distribution parameters based on the one or more order parameters,   wherein the order parameters regarding the trading order include an identification of the particular trader and an identification of the particular instrument.   
     
     
         10 . (canceled) 
     
     
         11 . The method of  claim 1 , wherein:
 the plurality of sets of pre-configured distribution parameters includes multiple sets of distribution parameters corresponding to both the particular trader and the particular instrument, each of the multiple sets of distribution parameters corresponding to a different time zone;   the method further includes determining the current time zone; and   identifying the particular set of distribution parameters for processing the trading order comprises identifying the particular set of distribution parameters from the multiple sets of distribution parameters corresponding to both the particular trader and the particular instrument based at least on the determined current time zone.   
     
     
         12 . (canceled) 
     
     
         13 . The method of  claim 1 , further comprising:
 receiving from the particular trader, via a distribution parameter management interface, input for configuring one or more of the particular set of distribution parameters;   configuring one or more of the particular set of distribution parameters based on the input received from the particular trader;   modifying one or more of the particular set of distribution parameters; and   using the modified particular set of distribution parameters for generating at least one subsequent group of distributed trading orders for at least one trading order received after the trading order is received.   
     
     
         14 . The method of  claim 13 , wherein:
 the particular set of distribution parameters defines, for each of the multiple price levels, price data for determining the price for a distributed trading order to be generated at that price level; and   receiving input from the particular trader for configuring one or more of the particular set of distribution parameters comprises receiving input from the particular trader for configuring the price data for at least one of the multiple price levels.   
     
     
         15 . The method of  claim 13 , wherein:
 the particular set of distribution parameters defines, for each of the multiple price levels, price data for determining the price for a distributed trading order to be generated at that price level; and   receiving input from the particular trader for configuring one or more of the particular set of distribution parameters comprises receiving input from the particular trader for setting the number of multiple price levels defined by the particular set of distribution parameters.   
     
     
         16 . The method of  claim 13 , wherein:
 the particular set of distribution parameters defines, for each of the multiple price levels, order size data for determining the size of a distributed trading order to be generated at that price level;   the particular set of distribution parameters defines total order size data for the group of distributed trading orders to be generated for a received trading order;   the particular set of distribution parameters defines default settings and trader-selected settings for distributed trading orders to be generated for a received trading order; and   receiving input from the particular trader for configuring one or more of the particular set of distribution parameters comprises (1) receiving input from the particular trader for configuring the order size data for at least one of the multiple price levels, (2) receiving input from the particular trader for configuring one or more of the particular set of distribution parameters comprises receiving input from the particular trader for configuring the total order size data, and (3) receiving input from the particular trader for selecting between a default setting and a trader-selected setting for one or more particular parameters.   
     
     
         17 - 18 . (canceled) 
     
     
         19 . The method of  claim 1 , wherein:
 the particular trader is a market maker;   the trading order comprises receiving a bid-offer price spread for the particular instrument; and   automatically generating a group of distributed trading orders comprises:
 generating multiple bid orders distributed over a first range of multiple price levels; and 
 generating multiple offer orders distributed over a first range of multiple price levels. 
   
     
     
         20 . The method of  claim 19 , wherein:
 the bid-offer price spread includes a bid price and an offer price;   the first range of multiple price levels includes the bid price and one or more prices lower than the bid price; and   the second range of multiple price levels includes the offer price and one or more prices higher than the offer price.   
     
     
         21 . (canceled) 
     
     
         22 . The method of  claim 1 , further comprising:
 determining a size for each of the group of distributed trading orders based at least on the identified set of distribution parameters;   receiving one or more trade notifications indicating one or more trades between one or more particular ones of the group of distributed trading orders and one or more contra trading orders;   in response to receiving the one or more trade notifications, reducing the size of each of the one or more particular distributed trading orders;   receiving regeneration data regarding refilling the reduced size of the one or more particular distributed trading orders; and   refilling the reduced size of at least one of the particular distributed trading orders.   
     
     
         23 . The method of  claim 22 , further comprising refilling the reduced size of at least one of the particular distributed trading orders in order beginning with the reduced size distributed trading order at the worst price level. 
     
     
         24 . The method of  claim 22 , further comprising communicating an executed trade notification to the particular trader indicating details of the one or more trades between the one or more particular distributed trading orders and the one or more contra trading orders. 
     
     
         25 . The method of  claim 24 , wherein:
 the one or more trades include multiple trades between multiple particular distributed trading orders at multiple prices and one or more contra trading orders;   the method further includes determining an average trade price for the multiple trades based at least on the price and size of each of the traded multiple particular distributed trading orders; and   the executed trade notification communicated to the particular trader indicates the average trade price.   
     
     
         26 - 32 . (canceled) 
     
     
         33 . An apparatus comprising:
 at least one processor; and   at least one memory in electronic communication with the at least one processor, the at least one memory having instructions stored thereon which, when executed by the at least one processor, direct the at least one processor to:
 receive from a particular trader a trading order for a particular instrument intended for a trading exchange, the trading order having an associated price; 
 identify from a plurality of sets of pre-configured distribution parameters a particular set of distribution parameters for processing the trading order; 
 generate a group of distributed trading orders for the instrument distributed over multiple price levels based at least on the trading order price and the identified set of distribution parameters associated with the trading order, each order of the group of distributed trading orders having a respective price that is different from the price of every other order in the group of distributed trading orders, in which each of the group of distributed trading orders comprises a same side as the trading order such that the group of distributed trading orders comprise buy orders if the trading order comprises a buy order and the group of distributed trading orders comprise sell orders if the trading order comprises a sell order; and 
 submit the generated group of distributed trading orders to the trading exchange for the particular instrument. 
   
     
     
         34 . A non-transitory machine-readable having instructions stored thereon that are configured to, when executed by at least one processor, direct the at least one processor to:
 receive from a particular trader a trading order for a particular instrument intended for a trading exchange, the trading order having an associated price;   identify from a plurality of sets of pre-configured distribution parameters a particular set of distribution parameters for processing the trading order;   generate a group of distributed trading orders for the instrument distributed over multiple price levels based at least on the trading order price and the identified set of distribution parameters associated with the trading order, each order of the group of distributed trading orders having a respective price that is different from the price of every other order in the group of distributed trading orders, in which each of the group of distributed trading orders comprises a same side as the trading order such that the group of distributed trading orders comprise buy orders if the trading order comprises a buy order and the group of distributed trading orders comprise sell orders if the trading order comprises a sell order; and   submit the generated group of distributed trading orders to the trading exchange for the particular instrument.