System and Method for Improved Order Entry Using Market Depth

Abstract

Market depth information pertaining to the hedging side is utilized to intelligently break a non-hedging order into multiple orders, such that the orders rest at cascading price levels. This way, the trader can benefit from sweeps in the book and still properly account for the market depth on the hedging side. Further, there is a greater probability of receiving “partials” on the spread order. In addition, hedge orders may be sent at multiple price levels, or sent to the market in pieces over time. By applying a more intelligent process to hedge orders (as opposed to “fire and forget”) an alternative beyond limit orders that can be legged or market orders is provided.

1 . (canceled) 
     
     
         2 . A method including:
 selecting by a computing device a first hedge price, wherein the first hedge price is a price level for a second tradeable object of a trading strategy, wherein the trading strategy is specified by a definition and includes a first leg for a first tradeable object and a second leg for the second tradeable object, wherein a first hedge quantity is available at the first hedge price;   sending by the computing device a command to place a first order for the first tradeable object, wherein the first order is at a first price for a first quantity, wherein the first price is determined based on a desired strategy price for the trading strategy and the first hedge price, wherein the first quantity is determined based on the definition for the trading strategy, a desired strategy quantity for the trading strategy, and the first hedge quantity;   selecting by the computing device a second hedge price, wherein the second hedge price is a price level for the second tradeable object, wherein a second hedge quantity is available at the second hedge price, wherein the second hedge price is different from the first hedge price;   sending by the computing device a command to place a second order for the first tradeable object, wherein the second order is at a second price for a second quantity, wherein the second price is determined based on the desired strategy price and the second hedge price, wherein the second quantity is determined based on the definition for the trading strategy, the desired strategy quantity, the second hedge quantity, and at least one of the first quantity and the first hedge quantity;   detecting by the computing device a change in a quantity available at the first hedge price; and   sending by the computing device a command to update first order for the first tradeable object when the detected change in the quantity available at the first hedge price exceeds a tolerance threshold.   
     
     
         3 . The method of  claim 2 , wherein the trading strategy is a spread. 
     
     
         4 . The method of  claim 2 , wherein the trading strategy further includes a third leg for a third tradeable object. 
     
     
         5 . The method of  claim 2 , wherein the first hedge price is one of a best bid price and a best ask price for the second tradeable object. 
     
     
         6 . The method of  claim 2 , wherein the second hedge price is a next best price level with respect to the first hedge price. 
     
     
         7 . The method of  claim 2 , wherein the first quantity is determined further based on a predefined maximum quantity. 
     
     
         8 . The method of  claim 2 , wherein the definition for the trading strategy further includes a leg ratio, wherein the first quantity and the second quantity are determined further based on the leg ratio. 
     
     
         9 . The method of  claim 2 , wherein the command to place the first order is sent at substantially the same time as the command to place the second order. 
     
     
         10 . The method of  claim 2 , wherein the command to place the second order is sent at a predetermined time interval after the command to place the first order. 
     
     
         11 . The method of  claim 2 , wherein the first tradeable object and the second tradeable object are listed at the same electronic exchange. 
     
     
         12 . The method of  claim 2 , further including:
 sending by the computing device a command to place a hedge order when the first order has been at least partially filled, wherein the hedge order is for the second tradeable object at the first hedge price.   
     
     
         13 . The method of  claim 2 , wherein the command to update the first order for the first tradeable object is a command to reduce the first quantity for the first order. 
     
     
         14 . The method of  claim 2 , wherein the command to update the first order for the first tradeable object is a command to cancel the first order. 
     
     
         15 . The method of  claim 2 , wherein the command to update the first order for the first tradeable object is a command to change the first price for the first order. 
     
     
         16 . The method of  claim 2 , wherein the computing device includes at least one of a trading station, a gateway, and a server.