Automated trading system

A computer trading interface for converting price messages to quote messages for submission to an automated trading system, comprising:

• a price feed receiver arranged to receive a price message feed in which price messages each specifying a feed price for a tradable instrument are supplied;
• a price to quote converter arranged to determine whether a quote message should be generated and submitted based on at least the feed prices indicated in the price messages, and if it is so determined, to derive a quote amount from at least one amount parameter and to generate a quote message including a quote price and said quote amount for submission to the automated trading system;
• and
• a quote submission function for submitting the quote to the trading system.

A method of operation a computer trading interface arranged to convert prices messages to quote messages for submission to an automated trading system, comprising, at the computer trading interface:

• receiving a price message feed in which price messages each specifying a feed price for a tradable instrument are supplied;
• receiving quote match messages from the trading system indicating quotes that have been matched;
• determining whether a quote message should be generated and submitted based on previously submitted quote messages, quote match messages and a quote level parameter;
• deriving a quote amount from a quote amount parameter, previously submitted quote messages and quote match messages;
• and
• generating a quote message including a quote price and said quote amount for submission to the trading system.

A computer trading interface for converting price messages to quote messages for submission to an automated trading system, comprising:

• a price feed receiver arranged to receive a price message feed in which price messages each specifying a feed price for a tradable instrument are supplied;
• a price to quote converter arranged to receive quote match messages from the trading system indicating quotes that have been matched, to determine whether a quote message should be generated and submitted based on previously submitted quote messages, quote match messages and a quote level parameter, to derive a quote from a quote amount parameter, previously submitted quote messages and quote match messages, and to generate a quote message including a quote price and said quote amount for submission to the trading system;
• and
• a quote submission function for submitting the quote to the trading system.

A method of operating a computer trading interface arranged to convert price messages the quote messages for submission to an automated trading system, comprising at the computer trading interface:

• receiving a price message feed in which price messages each specifying a feed price for a tradable instrument are supplied;
• deriving a quote price as a function of said feed price and a bias parameter;
• deriving a quote amount as a function of at least a quote amount parameter;
• and
• generating a quote message including said quote price and said quote amount for submission to the automated trading system.

A computer trading interface arranged to convert price messages to quote messages for submission to an automated trading system comprising:

• a price feed receiver arranged to receive a price message feed in which price messages each specifying a feed price for a tradable instrument are supported;
• a price to quote converter arranged to derive a quote price as a function of said feed price and a quote amount as a function of at least a quote amount parameter, and to generate a quote message including said quote price and quote amount;
• and
• a quote submission function for submitting the quote to the trading system.

A computer trading interface arranged to convert price messages to quote messages for submission to an automated trading system, comprising:

• a price feed receiver arranged to receive a price message feed;
• a price to quote converter arranged to convert received price messages to quote messages;
• a quote submission function arranged to submit quotes to the trading system;
• and
• said price to quote converter including a user configurable parameter store for storing at least a quote price parameter and a quote amount parameter, and being configured to derive quote prices and quote amounts based on received price messages and said quote price parameter and/or said quote amount parameter.