Method and apparatus for computing a value of a traded item
Embodiments for determining a traded item's value are described herein. An embodiment includes identifying conditions for use in computing a value of the tradable object. The embodiment further includes determining whether a condition is satisfied based on market data, for example, and if the condition is satisfied, then determining the value of the item based on a rule associated with the condition; and if the condition is not satisfied, then determining whether a subsequent condition is satisfied. If a subsequent condition is satisfied, then determining the value of the tradable object based on a rule associated with the subsequent condition. An embodiment further includes computing an open profit and loss value based on the item's value. Other embodiments are also disclosed.
1 . A system comprising:
a gateway in communication with an electronic exchange, the gateway configured to:
receive a first market data update from the electronic exchange during a trading session, wherein first the market data update comprises a first last traded price available for a tradeable object at a first time during the trading session;
identify a plurality of conditions, wherein each condition of the plurality of conditions is associated with a market condition, and wherein the market condition associated with each condition is associated with a rule;
determine during the trading session, that a first market condition of a first condition of the plurality of conditions is satisfied by identifying that the first last traded price in a first marker update is below a first best bid price or above a first best ask price in the first market update, and only one of the first best bid price and the first best ask price is identified in the first marker update;
set a current value of the tradeable object to the first last traded price based on a rule associated with the first condition;
provide the current value of the tradeable object to a processor component of a risk management system in communication with the gateway;
receive a second market update including market data corresponding to market conditions for the tradeable object, wherein the second market update comprises at least one of the following market data for the tradeable object: a second best bid price, a second best ask price, and a second last traded price available for the tradeable object at a second time during the trading session, wherein the second time is later than the first time;
determine during the trading session, that the first market condition of the first condition is satisfied based on the second market update;
update the current value of the tradeable object to the second last traded price;
provide the updated current value of the tradeable object to the processor component of the risk management system;
wherein the risk management system is in communication with the gateway, and is configured to:
determine a margin value based on the provided updated current value of the tradeable object;
adjust a margin requirement based on the determined margin value;
provide the adjusted margin requirement to a trading device in communication with the risk management system and gateway;
wherein the trading device is in communication with the risk management system and the gateway, and is configured to:
display an indicator in a user interface provided by the trading device, wherein the indicator represents the adjusted margin requirement in relation to an indicator of the tradeable object; and
send, in response to receiving the provided adjusted margin requirement, an order for the tradeable object, wherein the order is sent to the gateway in communication with the electronic exchange.
2 . The system of claim 1 , further configured to:
identify a priority level for each condition of the plurality of conditions.
3 . The system of claim 2 , wherein the step of determining which of the plurality of conditions is satisfied is performed in a sequence starting from a condition of highest priority until one of the plurality of conditions is satisfied.
4 . The system of claim 1 , further configured to:
determine a profit and loss value based on the value of the tradable object.
5 . The system of claim 1 , wherein the gateway comprises one or more specially configured computers.
6 . The system of claim 1 , wherein the gateway is further configured to:
display a configuration window that is configured to receive the plurality of conditions.
7 . The system of claim 6 , wherein the configuration window is further configured to receive a priority level for each of the plurality of conditions.
8 . The system of claim 1 , wherein the processor component of the risk management system is a profit loss value computation component.
9 . The system of claim 1 , wherein the processor component of the risk management system is a graphical display component.
10 . The system of claim 1 , wherein the processor component is further configured to:
calculate an open profit loss value based on the current value of the tradeable object.
11 . The system of claim 10 , wherein the open profit and loss value is further based on an open position for a trader.
12 . The system of claim 10 , wherein the open profit and loss value is further based on an average price for an open position for a trader.
13 . The system of claim 1 , wherein the risk management system is the gateway.