System and method for prioritized automated trading in an electronic trading environment
A system and method are provided for prioritized automated trading. One example method may include receiving a plurality of parameters, where each parameter has an order-related action associated with a trading strategy, and then detecting one or more events that trigger a plurality of order related actions. The method then includes determining priority levels in relation to a plurality of triggered order-related actions using at least one priority rule, and processing the plurality of triggered order-related action in an order associated with the determined priority levels.
1. A method including:
generating, by a client terminal, an order routing interface, wherein the order routing interface displays a plurality of routing priority rules corresponding to profiles stored in a profile database maintained remotely at an autotrader server in communication with the client terminal;
receiving, by the profile database, a user selection corresponding to a smallest-volume priority rule applicable to a first profile for a first trading strategy including a first profile parameter for trading a first tradeable object and a second profile for a second trading strategy including a second profile parameter for trading a second tradeable object;
monitoring, by a strategy processor of the autotrader server, in response to the profile database receiving the smallest-volume priority rule applicable to the first profile for the first trading strategy and the second profile for the second trading strategy, data for the first tradeable object and the second tradeable object;
calculating, by the strategy processor of the autotrader server, a first order parameter for the first trading strategy based on the first profile parameter specified by the first profile stored in the profile database and
a second order parameter for the second trading strategy based on the second profile parameter specified by the second profile stored in the profile database;
determining, by the strategy processor of the autotrader server, that a first order-related message for the first trading strategy and a second order-related message for the second trading strategy stored in an order queue are to be sent to an electronic exchange substantially simultaneously;
determining, by an order routing priority manager of the autotrader server, a first order priority level for the first order-related message and a second order priority level for the second order-related message based on the received smallest-volume priority rule stored in a priority rules database of the autotrader server, wherein the first order priority level is based on a first quantity of the first order-related message and the second order priority level is based on a second quantity of the second order-related message;
comparing, by the order routing priority manager of the autotrader server, the first order priority level associated with the first order-related message and the second order priority level associated with the second order-related message to determine an order queue priority, wherein the order queue priority is based on a smallest volume succession for sending the first order-related message and the second order-related message based on the received smallest-volume priority rule; and
sending, by an order router of the autotrader server, in response to determining the smallest volume succession by the order routing priority manager, the first order-related message and the second order-related message stored in the order queue according to the determined smallest volume succession.
2. The method of claim 1 , wherein the first profile parameter is one of: a bid offset, an ask offset, a bid quantity, and ask quantity, a maximum position, a user-configurable formula.
3. The method of claim 1 , wherein the second profile parameter is one of: a bid offset, an ask offset, a bid quantity, and ask quantity, a maximum position, a user-configurable formula.
4. The method of claim 1 , wherein the first tradeable object is at a first electronic exchange, wherein the second tradeable object is at a second electronic exchange.
5. The method of claim 4 , wherein the first electronic exchange is the same as the second electronic exchange.
6. The method of claim 1 , wherein the first order-related message is one of: a new order message, a cancel order message, and a change order parameter message.
7. The method of claim 1 , wherein the second order-related message is one of: a new order message, a cancel order message, and a change order parameter message.
8. The method of claim 1 , wherein the first quantity is a first total position quantity for a first trader and the second quantity is a second total position quantity for a second trader.
9. The method of claim 1 , wherein the priority rule is one of a plurality of priority rules combined to form a multi-level rule.
10. The method of claim 1 , further including:
dynamically modifying, by a profile manager of the computing device, the priority rule stored in the priority rules database.
11. The method of claim 10 , wherein the priority rule is dynamically modified based on an administrator-defined trigger.
12. The method of claim 10 , wherein the priority rule is dynamically modified based on market data.
13. The method of claim 10 , wherein the priority rule is dynamically modified based on a number of orders to be sent substantially simultaneously.