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 . (canceled)
2 . A computer readable medium storing instructions that when executed by a processor, cause the processor to:
display 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;
display a first order icon associated with a first risk parameter for determining a quantity for an order based on a selected price;
move 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, compute 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
send 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.
3 . The computer readable medium of claim 2 , 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.
4 . The computer readable medium of claim 2 , further causing the processor to:
display price values at the price levels on the graphical user interface.
5 . The computer readable medium of 2, further causing the processor to:
receive a selected risk management formula; and
set a corresponding risk parameter.
6 . The computer readable medium of claim 2 , further causing the processor to:
set an additional risk parameter corresponding to the selected risk management formula.
7 . The computer readable medium of claim 2 , wherein the first risk parameter is a user-configured value.
8 . The computer readable medium of claim 2 , further causing the processor to:
define a user's own risk management formula and set a corresponding risk parameter.
9 . The computer readable medium of claim 2 , further causing the processor to:
display the risk parameter in the graphical user interface.
10 . The computer readable medium of claim 2 , further causing the processor to:
modify the risk parameter; and
update the first order quantity based on the modified risk parameter.
11 . The computer readable medium of claim 2 , further causing the processor to:
display the first order quantity in relation to the first order icon.
12 . The computer readable medium of claim 2 , further causing the processor to:
receive an overwrite command to overwrite the first order quantity with a user-defined order quantity.
13 . The computer readable medium of claim 2 , 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.
14 . The computer readable medium of claim 2 , further causing the processor to:
change 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.
15 . The computer readable medium of claim 2 , further causing the processor to:
display a second order icon associated with a second risk parameter for determining a quantity for an order based on a selected price;
move 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, compute 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
send 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.
16 . The computer readable medium of claim 15 , wherein the second order is a dependent order based on at least partial execution of the first order.
17 . The computer readable medium of claim 15 further causing the processor to:
compute the quantity of the second order based on a partial fill quantity of the first order.
18 . The computer readable medium of claim 15 further causing the processor to:
delete the second order from the electronic exchange when the first order quantity is completely filled.