| CPC G06Q 40/04 (2013.01) [G06Q 40/06 (2013.01)] | 20 Claims |
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1. A non-transitory computer readable medium having stored therein instructions executable by a processor, including instructions executable to:
receive a price modifier parameter and a quantity modifier parameter to be applied to a spread order along with a definition for the spread order defined between at least a first tradeable object and a second tradeable object, wherein the received definition for the spread order comprising a first parameter defining a desired spread price and a second parameter defining a desired spread quantity, and wherein the gateway communicates over a computer network with an electronic exchange;
apply the quantity modifier parameter to the desired spread quantity to apportion the spread order into two or more spread orders and the price modifier parameter to the desired spread price to determine a range of desired spread prices for the two or more spread orders, wherein the two or more spread orders includes a first disclosed spread order and a second disclosed spread order, the first disclosed spread order associated with a first disclosed desired spread price determined by the spread modifier application based on the price modifier parameter, and further being associated with a first disclosed spread quantity determined by the spread modifier application based on the quantity modifier parameter, and the second disclosed spread order associated with a second disclosed desired spread price determined by the spread modifier application based on the price modifier parameter, and further being associated with a second disclosed spread quantity determined by the spread modifier application based on the quantity modifier parameter, wherein the second disclosed spread order is not initiated until a first trigger to initiate the second disclosed spread order is detected;
determine a first price and a first quantity for the first tradeable object based on the first disclosed spread order, the first price being determined by the spread trading application based on the first disclosed desired spread price and market conditions in the second tradeable object, and the first quantity being determined by the spread trading application based on the first disclosed spread quantity and the definition for the spread order;
send a first order message comprising a first order to buy or sell the first quantity of the first tradeable object of the spread trading strategy to the electronic exchange, the first order message comprising the first quantity and the first price for the first order;
detect subsequent to sending the first order message the first trigger to initiate the second disclosed spread order;
determine subsequent to detecting the first trigger, a second price and a second quantity for the first tradeable object based on the second disclosed spread order, the second price being determined by the spread trading application based on the second disclosed desired spread price and market conditions in the second tradeable object, and the second quantity being determined by the spread trading application based on the second disclosed spread quantity and the definition for the spread order; and
send subsequent to determining the second price and the second quantity for the first tradeable object, a second order message comprising a second order to buy or sell the second quantity of the first tradeable object of the spread trading strategy to the electronic exchange, the second order message comprising the second quantity and the second price for the second order.
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