Method, apparatus and interface for transaction toggling
A method for submitting transactions from an automated trading tool to an electronic exchange. The method includes defining a proximity limit and automatically generating a transaction for a tradable object. The method further includes applying the proximity limit to the transaction. When the transaction falls within the defined proximity limit, the transaction is submitted to the exchange. An apparatus and interface for transaction toggling based on proximity limits are also provided.
1. A method including:
receiving by a computing device, from an electronic exchange, market data for a plurality of tradeable objects;
generating by the computing device a trading interface for a spread between the plurality of tradeable objects, wherein the trading interface includes a price column derived from the received market data for the plurality of objects, wherein the trading interface provides output to a user and receives input from the user while the user interacts with the output;
receiving by the computing device, from the user via the trading interface, a proximity limit for sending an order to the electronic exchange;
receiving by the computing device, from the user via the trading interface, a request to trade a spread between the plurality of tradeable objects, the request being received via the price column of the trading interface for a spread price;
determining by the computing device a price for an order for a first tradeable object of the spread based on the spread price and an inside market of a second tradeable object for the spread;
generating by the computing device the order for submission to the electronic exchange to trade the first tradeable object;
determining by the computing device a price range according to the proximity limit for sending an order to the electronic exchange;
comparing by the computing device the price with the price range; and
automatically submitting by the computing device the order for the first tradeable object for the spread in response to the comparison of the price to the price range.
2. The method of claim 1 , further including determining by the computing device the price range according to the proximity limit and a reference price.
3. The method of claim 2 , where the proximity limit comprises a number of ticks away from the reference price.
4. The method of claim 2 , where the reference price comprises at least any one of: an inside market for the first tradeable object and a last traded price for the first tradeable object.
5. The method of claim 2 , where the proximity limit is received via a price column for the first tradeable object displayed via the trading interface according to the received market data.
6. The method of claim 1 , where the price range comprises a first number of ticks greater than a reference price and a second number of ticks less than the reference price.
7. The method of claim 1 , where submitting comprises transmitting the order to the electronic exchange.
8. The method of claim 7 , where transmitting the order to the electronic exchange comprises submitting the order in response to determining the price within the price range.
9. The method of claim 1 , where submitting comprises blocking the order from being sent to the electronic exchange.
10. The method of claim 9 , where blocking the order comprises preventing the order from being submitted to the electronic exchange in response to determining the price outside the price range.
11. The method of claim 9 , further including:
receiving by the computing device a user-command to override blocking the order; and
submitting by the computing device the order to the electronic exchange in response to receiving the user-command.
12. The method of claim 2 , where the proximity limit is dynamic.
13. The method of claim 12 , further including determining by the computing device the proximity limit according to an equation.
14. The method of claim 12 where the proximity limit is determined according to volatility of the first tradeable object.
15. The method of claim 12 where the proximity limit is determined according to a market for a third tradeable object.
16. The method of claim 12 where the proximity limit is determined according to a market for the second tradeable object.
17. The method of claim 12 where the proximity limit is time-dependent.