Method and Systems for Advanced Spread Price Calculation
AssigneeTrading Technologies International, Inc.
InventorsJason Shaffer, Sagy Pundak Mintz
Life of this patent
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Abstract
Methods and systems for advanced spread price calculation are disclosed. An example method to calculate a spread price includes receiving a trading spread including a plurality of legs, wherein each leg of the plurality of legs is associated with a tradeable object. The example method includes facilitating a definition of a mathematic equation that describes a relationship between each of the plurality of legs based on at least two parameters relating the plurality of legs to the spread price. The example method includes calculating the spread price based on the defined mathematic equation.
Claims26
A method to calculate a spread price comprising:
- receiving, via an electronic trading device, a trading spread including a plurality of legs, wherein each leg of the plurality of legs is associated with a tradeable object;
- facilitating, via the electronic trading device, a definition of a mathematic equation to describe a relationship between each of the plurality of legs based on at least two parameters relating the plurality of legs to the spread price, where at least one parameter of the at least two parameters is variable according to changes in a market for at least one of the plurality of legs;
- and
- calculating, via the electronic trading device, the spread price based on the defined mathematic equation.
A method to define a trading spread having a plurality of tradeable objects comprising:
- facilitating, via an electronic trading device, a definition of a first leg used in the trading spread, wherein the first leg is a tradeable object;
- facilitating, via the electronic trading device, a definition of a second leg used in the trading spread, wherein the second leg is a tradeable object;
- and
- facilitating, via the electronic trading device, a definition of the trading spread to include the first leg and the second leg, wherein the trading spread is based on a mathematic equation that describes a relationship between the first leg and the second leg, and the relationship is based on at least a parameter related to at least the first leg or the second leg, and wherein the parameter is variable according to changes in a market for at least one of the first leg and the second leg.
A non-transitory tangible computer readable storage medium including computer program code to be executed by a processor, which when executed is configured to implement a method to calculate a spread price, the method comprising:
- receiving a trading spread including a plurality of legs, wherein each leg of the plurality of legs is associated with a tradeable object;
- facilitating a definition of a mathematic equation that describes a relationship between each of the plurality of legs based on at least two parameters relating the plurality of legs to the spread price, where at least one parameter of the at least two parameters is variable according to changes in a market for at least one of the plurality of legs;
- and
- calculating a leg value corresponding to each of the plurality of legs;
- and
- calculating the spread price based on the mathematic equation.
Dependencies are inferred from the claim text.