System and method for optimizing order placement in an order queue in an electronic trading environment
Systems and methods for optimizing order placement in an electronic trading environment are provided. Global queue holder orders are placed in a tradeable object to reserve quantity for traders. Traders may submit order requests for quantity at price levels at which a global queue holder order is holding quantity. When a trader submits an order for a quantity at a price level at which quantity is being held, a gateway compares the order to the global queue holder order information stored in a database. If the trader's order coincides with a price level at which quantity is held, then the gateway virtually transfers ownership of that quantity to the trader, who then assumes the advantageous queue position. When the quantity associated with the order is filled, the fill information is sent to the gateway, which to the database to determine which trader is associated with the filled order quantity.
1 . A non-transitory computer readable medium having stored therein instructions executable by a processor, including instructions executable to:
send by a gateway a plurality of orders for a tradeable object to an electronic exchange:
wherein each of the plurality of orders is sent to a queue at the electronic exchange and specified by a price and a quantity,
wherein each of the plurality of orders has a corresponding position in the queue at the electronic exchange, and
wherein each of the plurality of orders is a global queue holder order associated with a trading group;
store by the gateway in a database an owner associated with each of the plurality of orders, wherein the owner associated with each of the plurality of orders is initially a default trader for the trading group;
receive by the gateway, after the plurality of orders have been sent to the electronic exchange, an order request message from a client device for a first trader, wherein the first trader is associated with the trading group and shares the plurality of orders, wherein the order request message includes a price, wherein the price of the order request message corresponds to the price of a first order of the plurality of orders associated with the trading group, wherein the owner associated with the first order is the default trader, wherein an order at the electronic exchange resulting from the order request message would be at a worse position in the queue than the corresponding position in the queue of the first order;
update by the gateway the database to transfer the owner associated with the first order from the default trader to the first trader; and
drop by the gateway the order request message once the database has been updated so that the order request message is not forwarded to the electronic exchange;
detect by the gateway a fill for one of the plurality of orders, wherein the owner associated with the filled order is the default trader; and
submit by the gateway an offsetting order to offset the quantity of the filled order, wherein the offsetting order is a market order.
2 . The non-transitory computer readable medium of claim 1 , wherein the plurality of orders are based on at least one order placement parameter.
3 . The non-transitory computer readable medium of claim 2 , wherein one of the at least one order placement parameters is a reference price, wherein the price of each of the plurality of orders is based on the reference price.
4 . The non-transitory computer readable medium of claim 2 , wherein one of the at least one order placement parameters is a number of price levels at which the plurality of orders are placed.
5 . The non-transitory computer readable medium of claim 2 , wherein one of the at least one order placement parameters is a number of global queue holder orders placed at each price level.
6 . The non-transitory computer readable medium of claim 2 , wherein one of the at least one order placement parameters is a quantity parameter, wherein the quantity of each of the plurality of global queue holder orders is based on the quantity parameter.
7 . The non-transitory computer readable medium of claim 6 , wherein the quantity parameter specifies that the quantity for each of the plurality of orders is variable depending on the proximity to a reference price.
8 . The non-transitory computer readable medium of claim 1 , wherein the plurality of orders are limit orders.
9 . The non-transitory computer readable medium of claim 1 , further including instructions executable to:
submit by the gateway an additional order at a price corresponding to the price of the first order once ownership has been transferred.
10 . The non-transitory computer readable medium of claim 1 , further including instructions executable to:
display by the gateway a graphical indicator representing the price at which one of the plurality of orders has been placed.
11 . A system including:
a gateway including a processor and a non-transitory computer readable medium storing instructions that when executed by the processor the cause the gateway to:
send a plurality of orders for a tradeable object to an electronic exchange:
wherein each of the plurality of orders is sent to a queue at the electronic exchange and specified by a price and a quantity,
wherein each of the plurality of orders has a corresponding position in the queue at the electronic exchange, and
wherein each of the plurality of orders is a global queue holder order associated with a trading group;
store in a database an owner associated with each of the plurality of orders, wherein the owner associated with each of the plurality of orders is initially a default trader for the trading group;
receive, after the plurality of orders have been sent to the electronic exchange, an order request message from a client device for a first trader, wherein the first trader is associated with the trading group and shares the plurality of orders, wherein the order request message includes a price, wherein the price of the order request message corresponds to the price of a first order of the plurality of orders associated with the trading group, wherein the owner associated with the first order is the default trader, wherein an order at the electronic exchange resulting from the order request message would be at a worse position in the queue than the corresponding position in the queue of the first order;
update the database to transfer the owner associated with the first order from the default trader to the first trader; and
drop the order request message once the database has been updated so that the order request message is not forwarded to the electronic exchange;
detect a fill for one of the plurality of orders, wherein the owner associated with the filled order is the default trader; and
submit an offsetting order to offset the quantity of the filled order, wherein the offsetting order is a market order.
12 . The system of claim 11 , wherein the plurality of orders are based on at least one order placement parameter.
13 . The system of claim 12 , wherein one of the at least one order placement parameters is a reference price, wherein the price of each of the plurality of orders is based on the reference price.
14 . The system of claim 12 , wherein one of the at least one order placement parameters is a number of price levels at which the plurality of orders are placed.
15 . The system of claim 12 , wherein one of the at least one order placement parameters is a number of global queue holder orders placed at each price level.
16 . The system of claim 12 , wherein one of the at least one order placement parameters is a quantity parameter, wherein the quantity of each of the plurality of global queue holder orders is based on the quantity parameter.
17 . The system of claim 16 , wherein the quantity parameter specifies that the quantity for each of the plurality of orders is variable depending on the proximity to a reference price.
18 . The system of claim 11 , wherein the plurality of orders are limit orders.
19 . The system of claim 11 , further including instructions that when executed by the processor cause the gateway to:
submit an additional order at a price corresponding to the price of the first order once ownership has been transferred.
20 . The system of claim 11 , further including instructions that when executed by the processor cause the gateway to:
display a graphical indicator representing the price at which one of the plurality of orders has been placed.