System and Method for a Risk Check
Various systems and methods are described herein for a risk check. The risk check bases a decision to allow a trading strategy to proceed on whether the order quantity for each leg of the trading strategy satisfies a certain condition. Particularly, when a trading strategy is initiated, the quantity for each of the orders to be submitted on behalf of the trading strategy, including the quantity of the initial order and any subsequent orders, is then compared to a corresponding risk value. If the order quantity for each of the orders is less than the corresponding risk value, then the trading strategy can proceed and the initial order can be sent on to the exchange. However, if the order quantity for any of the orders exceeds the risk value, then the initial order is not sent to the electronic exchange. Additionally, as described herein, quantity associated with the trading strategy is held or reserved for execution of the trading strategy regardless of the activity taken by the trader since the trading strategy was initiated. The reserved quantity can be drawn from the trading strategy until the quantity is depleted, the trading strategy has ended, or both, for example.
1 . (canceled)
2 . A system comprising:
a server side device including a memory storing instructions executable by a processor, the service side device configured to:
receive a trading strategy definition for a trading strategy that includes a first quantity for a first tradeable object and a second quantity for a second tradeable object, wherein the trading strategy is associated with a position risk value;
determine a first risk value and a second risk value, wherein the first risk value is associated with the first tradeable object, and the second risk value associated with the second tradeable object;
compare a combination of the first and second risk values to the position risk value associated with the trading strategy;
define, when the first and second risk values are less than the position risk value, an execution reserve quantity equal to the combination of the first and second risk values;
submit a first order to a first electronic exchange when the combination of the first and second risk values are less than the position risk value, wherein the first order is associated with the first tradeable object;
receive a fill confirmation associated with the first order and updating the execution reserve quantity based on a filled quantity in the fill confirmation; and
submit in response to receiving the fill confirmation, a second order to a second electronic exchange, wherein the second order is associated with the second tradeable object.
3 . The system of claim 2 , wherein the first tradeable object is different than the second tradeable object.
4 . The system of claim 2 , wherein the first tradeable object is the same as the second tradeable object.
5 . The system of claim 2 , wherein the first electronic exchange is different than the second electronic exchange.
6 . The system of claim 2 , wherein the position risk value associated with the trading strategy is based on at least any one of the following: a trader pre-configured first maximum position for the first tradeable object; a trader pre-configured first maximum order quantity for the first tradeable object; a trader pre-configured second maximum position for the second tradeable object; and a trader pre-configured second maximum order quantity for the second tradeable object.
7 . The system of claim 2 , further including instructions executable to:
reduce, when the combined first and second risk values exceeds the position risk value, at least one of the first quantity to a reduced first quantity prior to submitting the first order, and the second quantity to a reduced second quantity prior to submitting the first order and prior to submitting the second order.
8 . The system of claim 2 , further including instructions executable to:
reduce, when the combined first and second risk values exceeds the position risk value, an order quantity associated with the first quantity for the first tradeable object and the second quantity for the second tradeable object, wherein the reduction is determined according to a percentage reduction.
9 . The system of claim 8 , wherein the percentage reduction is a user specified value.
10 . The system of claim 8 , wherein the percentage reduction is identified as part of the trading strategy definition.
11 . The system of claim 8 , further including instructions executable to:
generate a trading strategy notification in response to a reduction in the order quantity associated with the first quantity for the first tradeable object and the second quantity for the second tradeable object.
12 . The system of claim 8 , wherein reducing the order quantity is an action implemented at a client device.
13 . The system of claim 8 , wherein reducing the order quantity is an automated action implemented at the server side device.
14 . The system of claim 2 , wherein the server side device is a gateway in communication with the first electronic exchange and the second electronic exchange as part of a trading network.
15 . The system of claim 2 , wherein the server side device is in communication with a plurality of client devices implementing a trading application.
16 . The system of claim 2 , wherein the trading strategy definition is one of a plurality of trading strategy definitions, and where each of the plurality of trading strategy definitions is associated with one of a plurality of position risk values.