System and Method for Determining a Stable Quoting Quantity For Use in a Trading Strategy

Abstract

Identification of a stable quoting quantity is disclosed. An example method includes setting a quoting quantity for a trading strategy based on a distribution associated with a tradeable object of the trading strategy; defining a range having first and second boundaries based on the distribution; updating a first tracked value according to changes in the distribution; and changing the quoting quantity in response to the first tracked value falling outside the range.

1 . (canceled) 
     
     
         2 . A non-transitory computer readable medium having instructions stored thereon which when executed by a processor cause the processor to carry out acts comprising:
 receiving a definition for a spread trading strategy including a quoting leg for a first tradeable object and a lean leg for a second tradeable object;   receiving market data for the second tradeable object, the market data being received from an electronic exchange and identifying an available quantity of the second tradeable object at a price level determined according to the trading strategy;   monitoring the market data for the second tradeable object identifying the available quantity of the second tradeable object at the price level as the market data is received;   in response to monitoring the market data:
 dynamically generating a distribution for the available quantity of the second tradeable object based on the market data, wherein the distribution is representative of the available quantity of the second tradeable object at the price level determined according to the trading strategy over a previous period of time, where the distribution establishes a range having at least one threshold, and wherein the distribution for the available quantity and the at least one threshold are updated with changes to the available quantity of the second tradeable object based on the market data; 
 dynamically calculating a stable quoting quantity for the quoting led based on the monitored market data identifying the available quantity of the first tradeable object, the distribution and the received definition for the trading strategy; 
   in response to receiving by the processor a user command to trade the spread trading strategy, sending a trading strategy order for the calculated stable quoting quantity of the first tradeable object; and   dynamically updating the trading strategy order according to changing the calculated stable quoting quantity to a new calculated stable quoting quantity of the trading strategy order in response to the calculated stable quoting quantity being beyond the at least one threshold.   
     
     
         3 . The non-transitory computer readable medium of  claim 2 , wherein the distribution is generated based on a change in the available quantity of the first tradeable object between at least a first time and a second time. 
     
     
         4 . The non-transitory computer readable medium of  claim 2 , wherein the range established by the distribution includes a first threshold and a second threshold. 
     
     
         5 . The non-transitory computer readable medium of  claim 4 , wherein the first and second thresholds are calculated to be at least one standard deviation away from the mean of the distribution. 
     
     
         6 . The non-transitory computer readable medium of  claim 4 , wherein the first threshold is defined based on a first multiplier, and wherein the second threshold is defined based on a second multiplier. 
     
     
         7 . The non-transitory computer readable medium of  claim 2 , wherein the distribution is generated based on a stability multiplier.