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 contract 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. A server comprising:
at least one processor configured to control:
receiving, over a communication network, from an interface of a first trading system bids and offers on an item;
displaying, over the communication network, on a graphical user interface of a device the bids and offers on the item to a user of the device;
displaying, over the communication network, on the graphical user interface at least four fields for specifying 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 respectively for the at least four fields, receiving, over the communication network, from the device a risk size value, a risk factor value, a risk tick value, and a derived size limit value;
displaying, over the communication network, on the graphical user interface one or more of bids and offers on the instrument from a second trading system;
determining whether an order for the instrument communicated to the second trading system was executed; and
based on a determination that the order for the instrument communicated to the second trading system was executed, executing an order for the item on the first trading system.
2. The server of claim 1 , wherein a size of the order communicated to the second trading system is based on the risk size value.
3. The server of claim 1 , wherein the at least one processor is configured to control 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.
4. The server of claim 3 , wherein the at least one processor is configured to control, based on a determination that the number of ticks does not include sufficient volume, rejecting the risk profile received from the user.
5. The server of claim 1 , wherein the device comprises an electronic workstation.
6. The server of claim 1 , wherein the instrument comprises a financial instrument.
7. The server of claim 1 , wherein the second trading system is different from the first trading system.
8. The server of claim 1 , wherein the at least one processor is configured to control receiving from an interface of the second trading system the one or more of bids and offers on the instrument.
9. A method comprising:
controlling, by at least one processor of a server:
receiving, over a communication network, from an interface of a first trading system bids and offers on an item;
displaying, over the communication network, on a graphical user interface of a device the bids and offers on the item to a user of the device;
displaying, over the communication network, on the graphical user interface at least four fields for specifying 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 respectively for the at least four fields, receiving, over the communication network, from the device a risk size value, a risk factor value, a risk tick value, and a derived size limit value;
displaying, over the communication network, on the graphical user interface one or more of bids and offers on the instrument from a second trading system;
determining whether an order for the instrument communicated to the second trading system was executed; and
based on a determination that the order for the instrument communicated to the second trading system was executed, executing an order for the item on the first trading system.
10. The method of claim 9 , wherein a size of the order communicated to the second trading system is based on the risk size value.
11. The method of claim 9 , 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.
12. The method of claim 11 , further comprising based on a determination that the number of ticks does not include sufficient volume, rejecting the risk profile received from the user.
13. The method of claim 10 , further comprising controlling, by the at least one processor, receiving from an interface of the second trading system the one or more of bids and offers on the instrument.
14. A non-transitory computer readable medium comprising instructions which, when executed by at least one processor of a server, controls:
receiving, over a communication network, from an interface of a first trading system bids and offers on an item;
displaying, over the communication network, on a graphical user interface of a device the bids and offers on the item to a user of the device;
displaying, over the communication network, on the graphical user interface at least four fields for specifying 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 respectively for the at least four fields, receiving, over the communication network, from the device a risk size value, a risk factor value, a risk tick value, and a derived size limit value;
displaying, over the communication network, on the graphical user interface one or more of bids and offers on the instrument from a second trading system;
determining whether an order for the instrument communicated to the second trading system was executed; and
based on a determination that the order for the instrument communicated to the second trading system was executed, executing an order for the item on the first trading system.
15. The non-transitory computer readable medium of claim 14 , wherein a size of the order communicated to the second trading system is based on the risk size value.
16. The non-transitory computer readable medium of claim 14 , wherein the instructions, when executed by the at least one processor, control:
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; and
based on a determination that the number of ticks does not include sufficient volume, rejecting the risk profile received from the user.
17. The non-transitory computer readable medium of claim 14 , wherein the instructions, when executed by the at least one processor, control receiving from an interface of the second trading system the one or more of bids and offers on the instrument.
18. The method of claim 9 , wherein the second trading system is different from the first trading system.
19. The non-transitory computer readable medium of claim 14 , wherein the second trading system is different from the first trading system.