Electronic completion of cash versus futures basis trades
An electronic trading system is described herein. More specifically, the electronic trading system may relate to the substantially simultaneous trading of cash instruments and their related futures contracts for interest-rate related instruments. The electronic trading system may also be used to allow a user (such as a market maker or other suitable participant) to gauge his chance of success at completing both sides of a basis trade within a preferably pre-determined or pre-set interval, while knowing in advance the specific weighting algorithm that will be applied to the basis trade. The electronic trading system may also be used to allow a user to predetermine the exact weighting algorithm to be used on such a basis trade, and to adjust those preferences where necessary or desired.
1. A method, comprising:
receiving, by a processor of a computer, trading information for a first financial instrument from a first trading system, in which the first financial instrument may be traded with a second financial instrument in a second trading system using at least one conversion factor;
determining, by the processor, a second quantity of the first financial instrument by multiplying a first quantity of the first financial instrument by a risk factor;
selecting, by the processor, from the trading information, one or more available orders for the first financial instrument based on a value that defines a number of price levels;
determining, by the processor, an availability of the second quantity of the first financial instrument over the one or more available orders for the first financial instrument, in which the one or more available orders comprises a best available order; and
determining, by the processor, a price average for the first financial instrument based on the availability of the second quantity of the first financial instrument over the one or more available orders;
in which an order price and size for the second financial instrument is provided in the second trading system based at least in part on the price average and the at least one conversion factor.
2. The method of claim 1 ,
in which an order size for the first financial instrument is provided in the first trading system.
3. The method of claim 1 , in which the first financial instrument is traded in a futures market and the second financial instrument is traded in a cash market.
4. The method of claim 1 , in which the order for the second financial instrument is placed in a cash market.
5. The method of claim 1 ,
in which execution of a parallel trade of an order for the first financial instrument is attempted in the first trading system.
6. The method of claim 5 , in which the parallel trade comprises a sale of a quantity of the first financial instrument in a futures market.
7. The method of claim 5 , in which the parallel trade comprises a purchase of a quantity of the first financial instrument in a futures market.
8. The method of claim 1 , in which the first financial instrument comprises an offsetting financial instrument to the second financial instrument.
9. The method of claim 1 , in which the second financial instrument comprises a security and the first financial instrument comprises a derivative based at least in part on the security.
10. The method of claim 1 , in which the first financial instrument comprises a security and the second financial instrument comprises a derivative based at least in part on the security.
11. The method of claim 1 ,
in which the one or more available orders for the first financial instrument comprises one or more available bids for the first financial instrument; and
in which the order price and size for the second financial instrument comprises an offer price and size for the second financial instrument.
12. The method of claim 1 ,
in which the one or more available orders for the first financial instrument comprises one or more available offers for the first financial instrument; and
in which the order price and size for the second financial instrument comprises a bid price and size for the second financial instrument.
13. The method of claim 1 , further comprising:
receiving, by the processor, from a user at an electronic trading interface, at least one of:
the first quantity,
the risk factor, and
the value that defines the number of price levels.
14. The method of claim 1 , in which determining the price average comprises determining the price average for the full amount of the second quantity of the first financial instrument.
15. An apparatus, comprising:
a processor; and
a memory electronically coupled to the processor and comprising a program that when executed by the processor configures the processor to:
receive trading information for a first financial instrument from a first trading system, in which the first financial instrument may be traded with a second financial instrument in a second trading system using at least one conversion factor;
determine a second quantity of the first financial instrument by multiplying a first quantity of the first financial instrument by a risk factor;
select, from the trading information, one or more available orders for the first financial instrument based on a value that defines a number of price levels;
determine an availability of the second quantity of the first financial instrument over the one or more available orders for the first financial instrument, in which the one or more available orders comprise a best available order; and
determine a price average for the first financial instrument based on the availability of the second quantity of the first financial instrument over the one or more available orders;
in which an order price and size for the second financial instrument is provided in the second trading system based at least in part on the price average and the at least one conversion factor.
16. The apparatus of claim 15 , in which an order size for the first financial instrument is provided in the first trading system.
17. The apparatus of claim 15 , in which the first financial instrument is traded in a futures market and the second financial instrument is traded in a cash market.
18. The apparatus of claim 15 , in which the order for the second financial instrument is placed in a cash market.
19. The apparatus of claim 15 , in which execution of a parallel trade of an order for the first financial instrument is attempted in the first trading system.
20. The apparatus of claim 19 , in which the parallel trade comprises a sale of a quantity of the first financial instrument in a futures market.
21. The apparatus of claim 19 , in which the parallel trade comprises a purchase of a quantity of the first financial instrument in a futures market.
22. The apparatus of claim 15 , in which the first financial instrument comprises an offsetting financial instrument to the second financial instrument.
23. The apparatus of claim 15 , in which the second financial instrument comprises a security and the first financial instrument comprises a derivative based at least in part on the security.
24. The apparatus of claim 15 , in which the first financial instrument comprises a security and the second financial instrument comprises a derivative based at least in part on the security.
25. The apparatus of claim 15 ,
in which the one or more available orders for the first financial instrument comprises one or more available bids for the first financial instrument; and
in which the order price and size for the second financial instrument comprises an offer price and size for the second financial instrument.
26. The apparatus of claim 15 ,
in which the one or more available orders for the first financial instrument comprises one or more available offers for the first financial instrument; and
in which the order price and size for the second financial instrument comprises a bid price and size for the second financial instrument.
27. The apparatus of claim 15 , in which the program that when executed by the processor further configures the processor to:
receive from a user at an electronic trading interface, at least one of:
the first quantity,
the risk factor, and
the value that defines the number of price levels.
28. The apparatus of claim 15 , in which determining the price average comprises determining the price average for the full amount of the second quantity of the first financial instrument.
29. A tangible computer readable medium comprising a program that when executed by a processor configures the processor to:
receive trading information for a first financial instrument from a first trading system, in which the first financial instrument may be traded with a second financial instrument in a second trading system using at least one conversion factor;
determine a second quantity of the first financial instrument by multiplying a first quantity of the first financial instrument by a risk factor;
select, from the trading information, one or more available orders for the first financial instrument based on a value that defines a number of price levels;
determine an availability of the second quantity of the first financial instrument over the one or more available orders for the first financial instrument, in which the one or more available orders comprise a best available order; and
determine a price average for the first financial instrument based on the availability of the second quantity of the first financial instrument over the one or more available orders;
in which an order price and size for the second financial instrument is provided in the second trading system based at least in part on the price average and the at least one conversion factor.
30. The computer readable medium of claim 29 , in which an order size for the first financial instrument is provided in the first trading system.
31. The computer readable medium of claim 29 , in which the first financial instrument is traded in a futures market and the second financial instrument is traded in a cash market.
32. The computer readable medium of claim 29 , in which the order for the second financial instrument is placed in a cash market.
33. The computer readable medium of claim 29 , in which execution of a parallel trade of an order for the first financial instrument is attempted in the first trading system.
34. The computer readable medium of claim 33 , in which the parallel trade comprises a sale of a quantity of the first financial instrument in a futures market.
35. The computer readable medium of claim 33 , in which the parallel trade comprises a purchase of a quantity of the first financial instrument in a futures market.
36. The computer readable medium of claim 29 , in which the first financial instrument comprises an offsetting financial instrument to the second financial instrument.
37. The computer readable medium of claim 29 , in which the second financial instrument comprises a security and the first financial instrument comprises a derivative based at least in part on the security.
38. The computer readable medium of claim 29 , in which the first financial instrument comprises a security and the second financial instrument comprises a derivative based at least in part on the security.
39. The computer readable medium of claim 29 ,
in which the one or more available orders for the first financial instrument comprises one or more available bids for the first financial instrument; and
in which the order price and size for the second financial instrument comprises an offer price and size for the second financial instrument.
40. The computer readable medium of claim 29 ,
in which the one or more available orders for the first financial instrument comprises one or more available offers for the first financial instrument; and
in which the order price and size for the second financial instrument comprises a bid price and size for the second financial instrument.
41. The computer readable medium of claim 29 , in which the program that when executed by the processor further configures the processor to:
receive from a user at an electronic trading interface, at least one of:
the first quantity,
the risk factor, and
the value that defines the number of price levels.
42. The computer readable medium of claim 29 , in which determining the price average comprises determining the price average for the full amount of the second quantity of the first financial instrument.