System and method for dynamically determining quantity for risk management
A system and method for dynamically determining quantity for risk management are described. According to one example embodiment, as a trader positions an order icon at a desired price or price-derivative value on a graphical interface, an order quantity for the order is dynamically determined based on the order price and a selected risk management formula. A trader can change the price or the price-related value for one or more orders by moving the order icons relative to a price axis on a graphical interface. In such an embodiment, the initially calculated order quantity for each order will be dynamically recalculated based on the modified orders for the trading strategy.
1. A method comprising:
displaying a plurality of locations on a graphical user interface, each location corresponding to one of a plurality of price levels, wherein the plurality of locations are along a price axis;
displaying a first order icon associated with a first risk parameter for determining a quantity for an order based on a selected price;
moving the first order icon to a first location of the plurality of locations corresponding to a price level along the price axis;
in response to moving the first order icon to the first location, computing a first order quantity based on the first risk parameter and based on the price level corresponding to the first location that the first order icon has been moved to; and
sending a first order to an electronic exchange, wherein the first order has a plurality of order parameters comprising the first order quantity and the price corresponding to the first location of the first order icon.
2. The method of claim 1 , wherein the price levels comprise prices or price-based values corresponding to market information received from the electronic exchange for a tradeable object, the market information comprises an inside market representing a highest bid price and a lowest ask price, a last traded price, and a last traded quantity.
3. The method of claim 1 , further comprising:
displaying price values at the price levels on the graphical user interface.
4. The method of claim 1 , further comprising:
receiving a selected risk management formula; and
setting a corresponding risk parameter.
5. The method of claim 1 , further comprising:
setting an additional risk parameter corresponding to the selected risk management formula.
6. The method of claim 1 , wherein the first risk parameter is a user-configured value.
7. The method of claim 1 , further comprising:
defining a user's own risk management formula and set a corresponding risk parameter.
8. The method of claim 1 , further comprising:
displaying the risk parameter in the graphical user interface.
9. The method of claim 1 , further comprising:
modifying the risk parameter; and
updating the first order quantity based on the modified risk parameter.
10. The method of claim 1 , further comprising:
displaying the first order quantity in relation to the first order icon.
11. The method of claim 1 , further comprising:
receiving an overwrite command to overwrite the first order quantity with a user-defined order quantity.
12. The method of claim 1 , wherein the first order icon is selected from a plurality of order icons, wherein each of the plurality of order icons is associated with a trading strategy.
13. The method of claim 1 , further comprising:
changing a size of the first order icon to reflect an order quantity based on a location the first order icon as the first order icon is being moved along the price axis.
14. The method of claim 1 , further comprising:
displaying a second order icon associated with a second risk parameter for determining a quantity for an order based on a selected price;
moving the second order icon in accordance to a second location of the plurality of locations corresponding to a price level along the price axis;
in response to moving the second order icon, computing a second order quantity based on the second risk parameter and based on the price level corresponding to the second location that the second order icon has been moved to; and
sending a second order to an electronic exchange, wherein the second order has a plurality of order parameters comprising the second order quantity and the price corresponding to the second location of the second order icon.
15. The method of claim 14 , wherein the second order is a dependent order based on at least partial execution of the first order.
16. The method of claim 14 further comprising:
computing the quantity of the second order based on a partial fill quantity of the first order.
17. The method of claim 14 further comprising:
deleting the second order from the electronic exchange when the first order quantity is completely filled.