Systems and Methods for Implementing a Confirmation Period
Systems and methods for implementing a confirmation period are disclosed. An example method includes identifying a market condition associated with a quantity of a tradeable object of a trading strategy, wherein the market condition triggers an adjustment to the trading strategy; initiating a confirmation period in response to the market condition; when a reevaluation of the market condition during the confirmation period indicates that the market condition has ceased, preventing the adjustment to the trading strategy; and when the market condition persists throughout the confirmation period, proceeding with the adjustment to the trading strategy.
1 . (canceled)
2 . A computer readable medium having stored therein instructions executable by a processor, including instructions executable to:
submit a first order message to a first electronic exchange for a first tradeable object in a quoting leg of a strategy, wherein the first order message includes an order for a quantity of the first tradeable object at a price, and wherein the first electronic exchange maintains an order queue to manage the order pending execution at an order queue position at the first electronic exchange;
monitor, by a quantity calculation component, an available quantity of a second tradeable object in the lean leg of the strategy for an occurrence of an adjustment condition at a second electronic exchange, wherein the occurrence of the adjustment condition is detected when the available quantity reaches a predefined threshold;
in response to detecting the occurrence of the adjustment condition by a comparator component, prevent execution of an adjustment of the order for the first tradeable object by refraining from sending an order message to the first electronic exchange to adjust the order for the first tradeable object in the quoting leg, and wherein preventing execution of the adjustment maintains the order queue position of the order for the first tradeable object in the order queue at the first electronic exchange, wherein determining whether to execute the adjustment includes:
initiate, by a parameter identifier component, a confirmation period having based on a number of market updates to be received from the second electronic exchange;
evaluate, by the quantity calculation component and the comparator component, an adjustment condition based on the available quantity of the second tradeable object;
terminate, by the parameter identifier component, the confirmation period in response to determining the market updates received from the second electronic exchange equals the number of market updates associated with the confirmation period has been received;
if the adjustment condition is no longer satisfied upon termination of the confirmation period, prevent the adjustment of the order for the first tradeable object in the quoting leg upon determining the expiration of the confirmation period such that the order queue position of the first order is maintained in the order queue at the first electronic exchange; and
if the adjustment condition continues to be satisfied during the confirmation period, execute the adjustment associated with the order for the quoting leg upon determining the expiration of the confirmation period, wherein the adjustment includes sending a second order message to the first electronic exchange, wherein the second order message includes a modified quantity or a modified price for the first tradeable object in the quoting leg.
3 . The computer readable medium of claim 2 , wherein a duration of the confirmation period is configurable by a user.
4 . The computer readable medium of claim 2 , wherein a duration of the confirmation period is further based on a fixed amount of time.
5 . The computer readable medium of claim 2 , wherein a duration of the confirmation period is dynamically set based on a factor.
6 . The computer readable medium of claim 2 , wherein the confirmation period is set based on the second electronic exchange, the trading strategy, or a market of one or more tradeable object associated with the trading strategy.
7 . The computer readable medium of claim 2 , wherein the adjustment condition is evaluated at an interval defined for the confirmation period.
8 . The computer readable medium of claim 2 , wherein the adjustment further includes instructions executable to send a cancellation message to cancel the first order for the first tradeable object associated with the quoting leg.
9 . The computer readable medium of claim 2 , wherein the available quantity at the price for the tradeable object associated with the adjustment condition includes a lean on quantity at a lean on price for the second tradeable object.
10 . The computer readable medium of claim 9 , wherein the lean on quantity is based on the quantity of the order in the quoting leg.
11 . The computer readable medium of claim 2 , wherein the adjustment condition is detected when the available order quantity at the price for the second tradeable object associated with the lean leg falls below the predefined threshold.
12 . A system comprising:
computer readable medium having stored therein instructions executable by a processor, including instructions executable to:
submit a first order message to a first electronic exchange for a first tradeable object in a quoting leg of a strategy, wherein the first order message includes an order for a quantity of the first tradeable object at a price, and wherein the first electronic exchange maintains an order queue to manage the order pending execution at an order queue position at the first electronic exchange;
monitor, by a quantity calculation component, an available quantity of a second tradeable object in the lean leg of the strategy for an occurrence of an adjustment condition at a second electronic exchange, wherein the occurrence of the adjustment condition is detected when the available quantity reaches a predefined threshold;
in response to detecting the occurrence of the adjustment condition by a comparator component, prevent execution of an adjustment of the order for the first tradeable object by refraining from sending an order message to the first electronic exchange to adjust the order for the first tradeable object in the quoting leg, and wherein preventing execution of the adjustment maintains the order queue position of the order for the first tradeable object in the order queue at the first electronic exchange, wherein determining whether to execute the adjustment includes:
initiate, by a parameter identifier component, a confirmation period having based on a number of market updates to be received from the second electronic exchange;
evaluate, by the quantity calculation component and the comparator component, an adjustment condition based on the available quantity of the second tradeable object;
terminate, by the parameter identifier component, the confirmation period in response to determining the market updates received from the second electronic exchange equals the number of market updates associated with the confirmation period has been received;
if the adjustment condition is no longer satisfied upon termination of the confirmation period, prevent the adjustment of the order for the first tradeable object in the quoting leg upon determining the expiration of the confirmation period such that the order queue position of the first order is maintained in the order queue at the first electronic exchange; and
if the adjustment condition continues to be satisfied during the confirmation period, execute the adjustment associated with the order for the quoting leg upon determining the expiration of the confirmation period, wherein the adjustment includes sending a second order message to the first electronic exchange, wherein the second order message includes a modified quantity or a modified price for the first tradeable object in the quoting leg.
13 . The system of claim 12 , wherein a duration of the confirmation period is configurable by a user.
14 . The system of claim 12 , wherein a duration of the confirmation period is further based on a fixed amount of time.
15 . The system of claim 12 , wherein a duration of the confirmation period is dynamically set based on a factor.
16 . The system of claim 12 , wherein the confirmation period is set based on the second electronic exchange, the trading strategy, or a market of one or more tradeable object associated with the trading strategy.
17 . The system of claim 12 , wherein the adjustment condition is evaluated at an interval defined for the confirmation period.
18 . The system of claim 12 , wherein the adjustment further includes instructions executable to send a cancellation message to cancel the first order for the first tradeable object associated with the quoting leg.
19 . The system of claim 12 , wherein the available quantity at the price for the tradeable object associated with the adjustment condition includes a lean on quantity at a lean on price for the second tradeable object.
20 . The system of claim 19 , wherein the lean on quantity is based on the quantity of the order in the quoting leg.
21 . The system of claim 12 , wherein the adjustment condition is detected when the available order quantity at the price for the second tradeable object associated with the lean leg falls below the predefined threshold.