CPC G06Q 40/04 (2013.01) [G06Q 40/00 (2013.01); G06Q 40/03 (2023.01); G06Q 40/06 (2013.01)] | 20 Claims |
1. A method comprising:
receiving, by a computer device, market information including an available quantity of a first tradeable object, wherein the market information is received from an electronic exchange, and wherein the available quantity reflects the quantity of the first tradeable object available at a plurality of price levels;
receiving, by the computer device, a first reservation request from a first trading session, wherein the first reservation request specifies a first lean quantity of the first tradeable object, wherein the first trading session is associated with a first trading strategy comprising a first tradeable object and a second tradeable object, and wherein the first trading strategy leans on the first tradeable object and determines a price for an order to buy or sell the second tradeable object based on a lean price available for the first tradeable object;
allocating, by the computer device, a first portion of the available quantity equal to the first lean quantity associated with the first trading session of the first trading strategy, wherein the first portion corresponds to a first price;
generating, by the computer device, the order for the second tradeable object based on a first definition for the first trading strategy, wherein a second trading strategy determines the price for the order to buy or sell the second tradeable object using the first price as the lean price for the first tradeable object;
sending, by the computer device, the generated order for the second tradeable object over a computer network to an electronic exchange at which the second tradeable object is traded;
receiving , by the computer device, a second reservation request from a second trading session, wherein the second reservation request is received after the first reservation request, wherein the second reservation request specifies a second lean quantity of the first tradeable object, wherein the second trading session is associated with the second trading strategy comprising the first tradeable object and a third tradeable object, and wherein the second trading strategy leans on the first tradeable object and determines a price for an order to buy or sell the third tradeable object based on a lean price available for the first tradeable object also leaned on by the first trading session associated with the first trading strategy;
allocating, by the computer device, a second portion of the available quantity equal to the second lean quantity associated with the second trading session of the second trading strategy, wherein the second portion corresponds to a second price and accounts for the first portion of the available quantity at the first price allocated to the first trading session based on the first reservation request, and
wherein accounting for the first portion of the available quantity at the first price already allocated to the first trading session results in preventing the second trading strategy from leaning on the first portion of the available quantity already allocated to the first trading session of the first trading strategy; and
generating, by the computer device, the order for the third tradeable object based on a second definition of the second trading strategy, wherein the second trading strategy determines the price for the order to buy or sell the third tradeable object using the second price as the lean price for the first tradeable object; and
sending, by the computer device, the generated order for the third tradeable object over a computer network to an electronic exchange at which the third tradeable object is traded.
|