Electronic completion of cash versus futures basis trades
An electronic trading system is described herein. More specifically, the electronic trading system may relate to the substantially simultaneous trading of cash instruments and their related futures contracts for interest-rate related instruments. The electronic trading system may also be used to allow a user (such as a market maker or other suitable participant) to gauge his chance of success at completing both sides of a basis trade within a preferably pre-determined or pre-set interval, while knowing in advance the specific weighting algorithm that will be applied to the basis trade. The electronic trading system may also be used to allow a user to predetermine the exact weighting algorithm to be used on such a basis trade, and to adjust those preferences where necessary or desired.
1. An apparatus comprising:
a storage device; and
a processor connected in communication with the storage device, the storage device for storing a program for controlling the processor, the processor operative with the program to:
receive via a network from an interface of a first trading system bids and offers on an item;
display via the network on a graphical user interface of a device the bids and offers on the item to a user of the device;
display via the network to the user on the graphical user interface at least four fields for the user of the device to specify values corresponding to the at least four fields, the at least four fields defining a risk profile, the at least four fields including a risk size that defines a pre-determined quantity of an instrument, the instrument being based on the item, a risk factor that defines an excess amount of the instrument over which an availability of the instrument is tested, a risk tick that defines a threshold number of ticks from a best available bid/offer for the instrument, and a derived size limit to adjust the risk profile;
responsive to the user of the device entering on the graphical user interface the values for the at least four fields, receive via the network from the device a risk size value, a risk factor value, a risk tick value, and a derived size limit value;
display via the network to the user within the graphical user interface one or more of bids and offers on the instrument from a second trading system;
determine that an order for the item communicated to the first trading system was executed; and
based on determining that the order communicated to the first trading system was executed, execute an order on the second trading system for the instrument.
2. The system of claim 1 , wherein a size of the order communicated to the first trading system is based on the risk size value.
3. The system of claim 1 , wherein the processor is further operative with the program to determine that the number of ticks from the best available bid/offer for the instrument as defined by the risk tick value does not include sufficient volume to satisfy the pre-determined quantity of the instrument as defined by the risk size value.
4. The system of claim 3 , wherein the processor is further operative with the program to, based on a determination that the number of ticks does not include sufficient volume, reject the risk profile received from the user.
5. The system of claim 1 , wherein the device comprises an electronic workstation.
6. The system of claim 1 , wherein the instrument comprises a financial instrument.
7. The system of claim 1 , wherein the second trading system is different from the first trading system.
8. The system of claim 1 , wherein the processor is further operative with the program to communicate the order to the interface of the first trading system for the item.
9. The system of claim 1 , wherein the processor is further operative with the program to receive from an interface of the second trading system the one or more bids and offers on the instrument.
10. A method comprising:
a storage device for storing a program, and a processor in communication with the storage device, the program for controlling the processor to perform the method, the method comprising:
receiving from an interface of a first trading system bids and offers on an item;
displaying via a computer network on a graphical user interface of a device the bids and offers on the item to a user of the device;
displaying via the computer network to the user on the graphical user interface at least four fields for the user of the device to specify values corresponding to the at least four fields, the at least four fields defining a risk profile, the at least four fields including a risk size that defines a pre-determined quantity of an instrument, the instrument being based on the item, a risk factor that defines an excess amount of the instrument over which an availability of the instrument is tested, a risk tick that defines a threshold number of ticks from a best available bid/offer for the instrument, and a derived size limit to adjust the risk profile;
responsive to the user of the device entering on the graphical user interface the values for the at least four fields, receive via the network from the device a risk size value, a risk factor value, a risk tick value, and a derived size limit value;
displaying via the computer network to the user within the graphical user interface one or more of bids and offers on the instrument from a second trading system;
determining that an order for the item communicated to the first trading system was executed; and
based on determining that the order communicated to the first trading system was executed, executing an order on the second trading system for the instrument.
11. The method of claim 10 , wherein a size of the order communicated to the first trading system is based on the risk size value.
12. The method of claim 10 , further comprising:
determining that the number of ticks from the best available bid/offer for the instrument as defined by the risk tick value does not include sufficient volume to satisfy the pre-determined quantity of the instrument as defined by the risk size value.
13. The method of claim 12 , further comprising based on a determination that the number of ticks does not include sufficient volume, rejecting the risk profile received from the user.
14. The method of claim 10 , further comprising communicating the order to the interface of the first trading system for the item.
15. The method of claim 10 , further comprising receiving from an interface of the second trading system the one or more of bids and offers on the instrument.
16. A non-transitory computer readable medium comprising a program, that when executed by a processor, causes the processor to:
receive from a first trading system bids and offers on an item;
display via a computer network on a graphical user interface of a device the bids and offers on the item to a user of the device;
display via the computer network to the user on the graphical user interface at least four fields for the user of the device to specify values corresponding to the at least four fields, the at least four fields defining a risk profile, the at least four fields including a risk size that defines a pre-determined quantity of an instrument, the instrument being based on the item, a risk factor that defines an excess amount of the instrument over which an availability of the instrument is tested, a risk tick that defines a threshold number of ticks from a best available bid/offer for the instrument, and a derived size limit to adjust the risk profile;
responsive to the user of the device entering on the graphical user interface the values for the at least four fields, receive via the network from the device a risk size value, a risk factor value, a risk tick value, and a derived size limit value;
display via the computer network to the user within the graphical user interface one or more of bids and offers on the instrument from a second trading system;
determine that an order for the item communicated to the first trading system was executed; and
based on determining that the order communicated to the first trading system was executed, execute an order on the second trading system for the instrument.
17. The non-transitory computer readable medium of claim 16 , wherein a size of the order communicated to the first trading system is based on the risk size value.
18. The non-transitory computer readable medium of claim 16 , wherein the processor is further operative to:
determine that the number of ticks from the best available bid/offer for the instrument as defined by the risk tick value does not include sufficient volume to satisfy the pre-determined quantity of the instrument as defined by the risk size value; and
based on a determination that the number of ticks does not include sufficient volume, reject the risk profile received from the user.
19. The non-transitory computer readable medium of claim 16 , wherein the processor is further operative to communicate the order to the interface of the first trading system for the item.
20. The non-transitory computer readable medium of claim 16 , wherein the processor is further operative to receive from an interface of the second trading system the one or more of bids and offers on the instrument.