Algorithmic model to allow for order completion at settlement or at close using exchange mandated rules for settlement determination
A system and method for managing and processing Market-On-Close orders for financial instruments by dynamically employing trading strategies according to settlement rules for financial instruments is provided. Techniques disclosed can include the use of an execution model that allows a trader to submit a MOC order using a trading system. The trading system can be configured to store settlement and validation rules corresponding to a given trading instrument and/or exchange and can be configured to execute the order according to the rules specified by an exchange. The model disclosed herein can rely on exchange mandated settlement rules and settlement times, can accept the order prior to the settlement time, and can manage the order according to parameters and details of the execution model and the settlement rules specified by an exchange for a given instrument.
1. A method for managing one or more Market-On-Close (MOC) orders, comprising:
storing, in a trading system comprising one or more computing devices, one or more settlement rules mandated by one or more exchanges, wherein the one or more settlement rules are associated with one or more financial instruments traded on the one or more exchanges;
displaying, via a graphical user interface coupled with the trading system, an order entry dialog window illustrating one or more definable order parameters for the one or more MOC orders, wherein the one or more definable order parameters comprises a limit price parameter;
receiving, by the trading system, the one or more MOC orders having the one or more definable order parameters, wherein the one or more definable order parameters identify at least the one or more exchanges or a financial instrument;
validating, by the trading system, the one or more MOC orders based on the one or more stored settlement rules mandated by the identified one or more exchanges or the identified financial instrument;
determining, by the trading system, a closing strategy based on the validated one or more MOC orders; and
sending, by the trading system, the validated one or more MOC orders to the one or more exchanges, wherein the trading system is in operable communication with the one or more exchanges.
2. The method of claim 1 , wherein the one or more settlement rules mandated by the one or more exchanges comprise at least one of a plurality of types of contracts permitted to be traded, a plurality of types of assets to be traded, one or more contract size limits, a marking-to-market calculation associated with a type of asset, a minimum margin requirement associated with the type of contract, a maintenance margin requirement associated with the type of contract, a minimum margin deposit requirement associated with a type of participant, and trading hours.
3. The method of claim 1 , wherein the one or more financial instruments is one or more futures contracts of a commodity, bond, currency, or stock.
4. The method of claim 1 , wherein the executing is based on the one or more definable order parameters and the stored settlement rules corresponding to the identified one or more exchanges.
5. The method of claim 1 , wherein the receiving by the trading system the one or more MOC orders further comprises:
receiving the one or more MOC orders having the one or more definable order parameters by a processing component of the trading system from a trading client of the trading system, wherein the trading client is configured to accept input defining the one or more definable order parameters from one or more end users via a dialog entry, and
transmitting the one or more MOC orders having the one or more definable order parameters to the processing component to be executed.
6. The method of claim 5 , wherein the receiving and the transmitting of the one or more MOC orders having the one or more definable order parameters comprises an electronic message format.
7. The method of claim 1 , wherein the closing strategy comprises at least one of;
calculating a volume-weighted average price of one or more financial instruments;
calculating a time-weighted average price of the one or more financial instruments; and
calculating a percentage of volume of the one or more financial instruments; and
executing the closing strategy comprising transmitting one or more limit orders to the one or more exchanges.
8. The method of claim 1 , wherein determining, based on one or more of the stored settlement rules mandated by the identified one or more exchanges and the identified financial instrument and a closing strategy, wherein a release time of the closing strategy comprises processing by a processing component of the trading system market data associated with the financial instrument traded on the one or more exchanges.
9. The method of claim 1 , wherein validating the one or more MOC orders according to the one or more exchanges specific order validation rules comprises:
checking the one or more order parameters against at least one of:
customer account information;
a symbol associated with the financial instrument on the one or more exchanges;
a last trade price of the financial instrument;
one or more compliance triggers; or
one or more regulatory reporting triggers.
10. A system for managing one or more Market-On-Close (MOC) orders, comprising:
a trading system comprising one or more computing devices, each of which include one more processors, in operable communication over a network, configured to:
store market data and one or more settlement rules mandated by one or more exchanges, wherein the one or more settlement rules are associated with one or more financial instruments traded on the one or more exchanges;
display, via a graphical user interface coupled with the trading system, an order entry dialog window illustrating one or more definable order parameters for the one or more MOC orders, wherein the one or more definable order parameters comprises a limit price parameter;
receive the one or more definable order parameters for the generating one or more MOC orders, wherein the one or more definable order parameters identify at least the one or more exchanges or a financial instrument;
validate the one or more MOC orders based on the one or more stored settlement rules mandated by the identified one or more exchanges or the identified financial instrument;
determine a closing strategy based on the validated one or more MOC orders; and
send the validated one or more MOC orders to the trading system, and wherein the trading system is in operable communication with the one or more exchanges.
11. The system of claim 10 , further configured to store one or more order validation rules mandated by the one or more exchanges.
12. The system of claim 10 , further configured to execute the one or more MOC orders directly on the one or more exchanges.
13. The system of claim 10 , further configured to transmit the one or more MOC orders to a broker associated with the one or more exchanges.
14. A non-transitory computer-readable medium storing instructions that, when executed by a processor, causes a computer system to manage one or more Market-On-Close (MOC) orders by performing the steps of:
storing market data and one or more settlement rules mandated by one or more exchanges, wherein the one or more settlement rules are associated with one or more financial instruments traded on the one or more exchanges;
displaying, via a graphical user interface coupled with the trading system, an order entry dialog window illustrating one or more definable order parameters for the one or more MOC orders, wherein the one or more definable order parameters comprises a limit price parameter;
receiving the one or more order parameters for generating the one or more MOC orders, wherein the one or more definable order parameters identify at least the one or more exchanges or a financial instrument;
validating the one or more MOC orders based on the one or more stored settlement rules mandated by the identified one or more exchanges or the identified financial instrument;
determining a closing strategy based on the validated one or more MOC orders; and
sending the validated one or more MOC orders to the trading system, and wherein the trading system is in operable communication with the one or more exchanges.
15. The non-transitory computer-readable medium of claim 14 , further storing one or more order validation rules mandated by the one or more exchanges.
16. The non-transitory computer-readable medium of claim 14 , further executing the one or more MOC orders directly on the one or more exchanges.
17. The non-transitory computer-readable medium of claim 14 , further transmitting the one or more MOC orders to a broker associated with the one or more exchanges.