Pre-hedge rules and tools for creating pre-hedge rules
The disclosed embodiments provide pre-hedge rules and tools for creating pre-hedge rules. An example method includes receiving an indication that a first leg of a spread trade is at least partially filled; and in response to the indication and before an order associated with a second leg of the spread trade is placed, determining whether a condition defined in a rule is satisfied and, when the condition is satisfied, performing an action defined in the rule.
1. A non-transitory computer readable medium having stored therein instructions executable by a processor, including instructions executable to:
receive, at a market data receiver, market information from an electronic exchange; and implement an automatic spreader, wherein the automatic spreader is configured to send orders to achieve a desired spread based on market information received by the market data receiver,
implement a pre-hedge manager device communicatively coupled with the automatic spreader, the pre-hedge manager device comprising:
a user interface configured to present information to a user via a display device and receive information from the user defining a pre-hedge rule, a rule generator communicatively coupled with the user interface provided on the display device, where the rule generator utilizes information received from the user to define the pre-hedge rule via the pre-hedge manager device, where the rule generator translates the received information into a machine-executable pre-hedge rule,
a database coupled with the rule generator, where the database stores the pre-hedge rule generated by the rule generator with a plurality of pre-hedge rules,
an order receiver configured to receive, from the automatic spreader, spread trade information of a spread trade implemented by the automatic spreader,
a rule identifier coupled with the order receiver and the database, where the rule identifier receives from the order receiver the spread trade information and identifies from the plurality of pre-hedge rules stored by the database a selected pre-hedge rule to be applied to the spread trade implemented by the automatic spreader, and
a rule applicator coupled with the rule identifier and coupled with the market data receiver, where the rule applicator receives the selected pre-hedge rule received from the rule identifier and the market information from the electronic exchange and applies an action of the selected pre-hedge rule to a hedge order of the spread trade, where applying the action of the selected pre-hedge rule comprises checking one or more conditions according to the market information after a quoting leg of the spread trade is at least partially filled but prior to the automatic spreader sending the hedge order of the spread trade.
2. The non-transitory computer readable medium of claim 1 , wherein each pre-hedge rule of the plurality of pre-hedge rules comprises a unique identifier.
3. The non-transitory computer readable medium of claim 2 , wherein the rule identifier extracts the unique identifier to query the database.
4. The non-transitory computer readable medium of claim 3 , wherein the database returns the selected pre-hedge rule to a rule applicator in response to the query.
5. The non-transitory computer readable medium of claim 1 , wherein the rule generator comprises a rule builder graphical user interface.
6. The non-transitory computer readable medium of claim 5 , wherein the rule builder graphical user interface comprises a plurality of statement portions, where the plurality of statement portions comprises a plurality of pre-defined operators operable to define a formula for a pre-hedge rule.
7. The non-transitory computer readable medium of claim 6 , wherein the plurality of pre-defined operators comprises any of mathematical operators and logical operators.
8. A system comprising: a market data receiver configured to receive market information from an electronic exchange; and
an automatic spreader configured to send orders to achieve a desired spread based on market information received by the market data receiver,
a pre-hedge manager device communicatively coupled with the automatic spreader, the pre-hedge manager device comprising:
a user interface configured to present information to a user via a display device and receive information from the user defining a pre-hedge rule, a rule generator communicatively coupled with the user interface provided on the display device, where the rule generator utilizes information received from the user to define the pre-hedge rule via the pre-hedge manager device, where the rule generator translates the received information into a machine-executable pre-hedge rule,
a database coupled with the rule generator, where the database stores the pre-hedge rule generated by the rule generator with a plurality of pre-hedge rules,
an order receiver configured to receive, from the automatic spreader, spread trade information of a spread trade implemented by the automatic spreader,
a rule identifier coupled with the order receiver and the database, where the rule identifier receives from the order receiver the spread trade information and identifies from the plurality of pre-hedge rules stored by the database a selected pre-hedge rule to be applied to the spread trade implemented by the automatic spreader, and
a rule applicator coupled with the rule identifier and coupled with the market data receiver, where the rule applicator receives the selected pre-hedge rule received from the rule identifier and the market information from the electronic exchange and applies an action of the selected pre-hedge rule to a hedge order of the spread trade, where applying the action of the selected pre-hedge rule comprises checking one or more conditions according to the market information after a quoting leg of the spread trade is at least partially filled but prior to the automatic spreader sending the hedge order of the spread trade.
9. The system of claim 8 , wherein each pre-hedge rule of the plurality of pre-hedge rules comprises a unique identifier.
10. The system of claim 9 , wherein the rule identifier extracts the unique identifier to query the database.
11. The system of claim 10 , wherein the database returns the selected pre-hedge rule to a rule applicator in response to the query.
12. The system of claim 8 , wherein the rule generator comprises a rule builder graphical user interface.
13. The system of claim 12 , wherein the rule builder graphical user interface comprises a plurality of statement portions, where the plurality of statement portions comprises a plurality of pre-defined operators operable to define a formula for a pre-hedge rule.
14. The system of claim 13 , wherein the plurality of pre-defined operators comprises any of mathematical operators and logical operators.