# US 2014/0156496 A1 · System and method for processing a trade order > Agents: this data is available as JSON from the patentgrep API and MCP server — see https://patentgrep.com/llms.txt - Number: US 2014/0156496 A1 - Document ID: US20140156496A1 - Status: Published application - Kind: A1 - Application number: 14/175,274 - Filed: 2014-02-07 - Published: 2014-06-05 - Earliest claimed: 2013-03-13 - Assignees: IntercontinentalExchange, Inc. - Applicants: IntercontinentalExchange, Inc. - Inventors: David R. Wender - Web page: https://patentgrep.com/patent/US20140156496A1 ## CPC - G06Q 40/04: Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange - G06Q 40/06: Asset management; Financial planning or analysis - G06Q: INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR ## Abstract Systems and apparatus for processing a trade order include a computer configured for receiving market data for a financial asset, receiving pricing parameters and receiving proposed order quantity and price data. The computer is further configured for constructing proposed trades based on the proposed order quantity and price data, and for calculating a theoretical price for the financial asset based on the market data, pricing parameters as well as the proposed order price data. In addition, the computer is configured for comparing the constructed trades with the theoretical price, and displaying market data indicators relative to the theoretical price indicators based on the comparison. ## Claims ### Claim 1 A computer device comprising one or more processors configured to execute computer executable instructions stored in a non-transitory memory, the computer executable instructions being configured, when executed, to generate a user interface configured to display: a theoretical price indicator associated with a theoretical price that is calculated based on at least one proposed order price, at least one pricing parameter, and market data for at least one type of asset traded on at least one electronic exchange; and one or more market data indicators displayed relative to the theoretical price indicator, wherein the one or more market data indicators are associated with one or more proposed trades constructed based on at least one proposed order quantity and on the at least one proposed order price, and wherein a relation between said one or more market data indicators and the theoretical price indicator is based on a comparison between the theoretical price and the one or more proposed trades. ### Claim 2 (depends on 1) The computer device of claim 1, wherein the user interface is further configured to display a proposed order quantity indicator and a proposed order price indicator. ### Claim 3 (depends on 1) The computer device of claim 1, wherein one or more of the at least one proposed order price is set to at least one of a market bid and a market ask. ### Claim 4 (depends on 1) The computer device of claim 1, wherein a location of the one or more market data indicators relative to the displayed theoretical price indicator indicates whether any of the one or more proposed trades are profitable or unprofitable according to said comparison. ### Claim 5 (depends on 1) The computer device of claim 1, wherein a location of the one or more market data indicators relative to the displayed theoretical price indicator indicates an extent to which the one or more proposed trades are profitable according to said comparison. ### Claim 6 (depends on 1) The computer device of claim 1, wherein the user interface is further configured to display: the theoretical price indicator statically; and the one or more market data indicators dynamically, changing locations in response to changes in the market data. ### Claim 7 (depends on 6) The computer device of claim 6, wherein the user interface is further configured to display: the theoretical price indicator as a centered static mark; and the one or more market data indicators as dynamic marks that move relative to the theoretical price indicator. ### Claim 8 (depends on 1) The computer device of claim 1, wherein the user interface is further configured to display changes in location of the one or more market data indicators based on fluctuations of at least one of market bid data, market ask data, market bid volume, and market ask volume. ### Claim 9 (depends on 1) The computer device of claim 1, wherein the one or more market data indicators comprises at least one of market bid data, market ask data, market bid volume, and market ask volume. ### Claim 10 (depends on 1) The computer device of claim 1, wherein the user interface is further configured to display the theoretical price indicator in a manner that reflects risk associated with the one or more proposed trades. ### Claim 11 (depends on 1) The computer device of claim 1, wherein the user interface is further configured to display the theoretical price indicator as a range of values that are based on a bid/ask spread of the at least one type of asset traded on the at least one electronic exchange. ### Claim 12 (depends on 11) The computer device of claim 11, wherein a width of the range of values of the theoretical price indicator indicates a delta risk of the at least one type of asset traded on the at least one electronic exchange. ### Claim 13 (depends on 1) The computer device of claim 1, wherein the user interface is further configured to receive input that allows a user to select which of the one or more proposed trades will be executed. ### Claim 14 (depends on 13) The computer device of claim 13, wherein the user interface is further configured to prevent the user from selecting trades that are not profitable. ### Claim 15 (depends on 14) The computer device of claim 14, wherein the user interface is further configured to receive input that allows the user to override the prevention of selecting trades that are not profitable. ### Claim 16 (depends on 1) The computer device of claim 1, wherein the user interface is further configured to highlight each of the one or more market data indicators that are associated with the one or more proposed trades that are profitable according to said comparison. ### Claim 17 (depends on 1) The computer device of claim 1, wherein the user interface is further configured to receive input that allows a user to select a profitable trade that does not correspond to the at least one proposed order price. ### Claim 18 (depends on 17) The computer device of claim 17, wherein the user interface is further configured to receive input that allows a user to select the profitable trade by selecting at least one of a live market bid or a live market ask. ### Claim 19 (depends on 1) The computer device of claim 1, wherein the at least one type of asset comprises at least one of an outright option, a spread option, and an option combination. ### Claim 20 (depends on 1) The computer device of claim 1, wherein the at least one electronic exchange comprises at least one of a commodities exchange, a futures execution facility, an options exchange, a cash equities exchange, a swap execution facility and an unregulated electronic transaction execution venue. ### Claim 21 (depends on 1) The computer device of claim 1, wherein the at least one pricing parameter comprises at least one of risk-free interest rate data, volatility data, time to option expiration data, skew data, kurtosis data, correlation data, interest rate data, dividend yield data, and forward price data relating to an underlying asset. ### Claim 22 A system for trading financial instruments, the system comprising: an electronic exchange server comprising at least on processor and at least one non-transitory computer-readable storage medium having computer-readable program code portions stored therein, wherein the computer-readable program code portions, when executed, cause the electronic exchange server to: receive market data for the at least one type of asset traded on at least one electronic exchange; receive at least one pricing parameter; receive at least one proposed order quantity; receive at least one proposed order price; construct one or more proposed trades based on the at least one proposed order quantity and the at least one proposed order price; calculate a theoretical price based on the received market data, the at least one pricing parameter, and the proposed order price; compare the one or more proposed trades with the theoretical price to determine whether any of the one or more proposed trades are profitable; and display based on said comparison, one or more market data indicators associated with said one or more proposed trades relative to a theoretical price indicator associated with said theoretical price. ### Claim 23 (depends on 22) The system of claim 22, wherein the computer-readable program code portions further cause the electronic exchange server to display a proposed order quantity indicator and a proposed order price indicator. ### Claim 24 (depends on 22) The system of claim 22, wherein the computer-readable program code portions further cause the electronic exchange server to set one or more of the at least one proposed order price to at least one of a market bid and a market ask included in said market data. ### Claim 25 (depends on 22) The system of claim 22, wherein a location of the one or more market data indicators relative to the displayed theoretical price indicator indicates an extent to which the one or more proposed trades are profitable or unprofitable. ### Claim 26 (depends on 22) The system of claim 22, wherein a location of the one or more market data indicators relative to the displayed theoretical price indicator indicates whether any of the one or more proposed trades are profitable. ### Claim 27 (depends on 22) The system of claim 22, wherein the computer-readable program code portions further cause the electronic exchange server to use one or more theoretical models to calculate the theoretical price. ### Claim 28 (depends on 27) The system of claim 27, wherein the one or more theoretical models comprise a user-specified theoretical model. ### Claim 29 (depends on 22) The system of claim 22, wherein the computer-readable program code portions further cause the electronic exchange server to display the theoretical price indicator, and to change locations of the one or more market data indicators dynamically in response to changes in the market data. ### Claim 30 (depends on 29) The system of claim 29, wherein the computer-readable program code portions further cause the electronic exchange server to display the theoretical price indicator as a centered static mark, and to display the one or more market data indicators as dynamic marks that move relative to the theoretical price indicator. ### Claim 31 (depends on 30) The system of claim 30, wherein the computer-readable program code portions further cause the electronic exchange server to base the dynamic changes in the display of the one or more market data indicators on fluctuations of at least one of market bid data, market ask data, market bid volume, and market ask volume. ### Claim 32 (depends on 22) The system of claim 22, wherein the one or more market data indicators comprise at least one of market bid data, market ask data, market bid volume, and market ask volume. ### Claim 33 (depends on 22) The system of claim 22, wherein the computer-readable program code portions further cause the electronic exchange server to display the theoretical price indicator in a manner that reflects risk associated with the one or more proposed trades. ### Claim 34 (depends on 22) The system of claim 22, wherein the computer-readable program code portions further cause the electronic exchange server to calculate the theoretical price by calculating an implied volatility of the at least one type of asset traded on the at least one electronic exchange. ### Claim 35 (depends on 34) The system of claim 34, wherein the theoretical price indicator comprises a range of values that are based on a bid/ask spread of the at least one type of asset traded on the at least one electronic exchange. ### Claim 36 (depends on 35) The system of claim 35, wherein a width of the range of values of the theoretical price indicator indicates a delta risk of the at least one type of asset traded on the at least one electronic exchange. ### Claim 37 (depends on 22) The system of claim 22, wherein the at least one electronic exchange comprises at least one of a commodities exchange, a futures execution facility, an options exchange, a cash equities exchange, a swap execution facility and an unregulated electronic transaction execution venue. ### Claim 38 (depends on 22) The system of claim 22, wherein the computer-readable program code portions further cause the electronic exchange server to display the one or more market data indicators and the theoretical price indicator as part of a graphical user interface. ### Claim 39 (depends on 38) The system of claim 38, wherein the graphical user interface is configured to allow a user to select which of the one or more proposed trades will be executed. ### Claim 40 (depends on 38) The system of claim 38, wherein the graphical user interface is configured to prevent the user from selecting trades that are not profitable. ### Claim 41 (depends on 38) The system of claim 38, wherein the graphical user is configured to allow the user to override the prevention of selecting trades that are not profitable. ### Claim 42 (depends on 38) The system of claim 38, wherein the graphical user interface is configured to allow a user to select a profitable trade that does not correspond to the at least one proposed order price. ### Claim 43 (depends on 42) The system of claim 42, wherein the computer-readable program code portions further cause the electronic exchange server to select a profitable trade that is based on at least one of a live market bid and a live market ask selected by the user. ### Claim 44 (depends on 22) The system of claim 22, wherein the at least one type of asset comprises at least one of an outright option, a spread option, and an option combination. ### Claim 45 (depends on 22) The system of claim 22, wherein the computer-readable program code portions further cause the electronic exchange server to highlight each of the one or more market data indicators that are associated with proposed trades that are profitable. ### Claim 46 (depends on 22) The system of claim 22, wherein the at least one pricing parameter comprises at least one of risk-free interest rate data, volatility data, time to option expiration data, skew data, kurtosis data, correlation data, interest rate data, dividend yield data, and forward price data relating to an underlying asset. ### Claim 47 (depends on 1) The computer device of claim 1, wherein the theoretical price indicator comprises a range of values that are based on a price of an underlying asset of the at least one type of asset, wherein the underlying asset is used as a hedge for purchase or sale of the at least one type of asset. ### Claim 48 (depends on 1) The computer device of claim 1, wherein the user interface is further configured to display the theoretical price indicator as a range of values that are based on a price of an underlying asset of the at least one type of asset, wherein the underlying asset is used as a hedge for purchase or sale of the at least one type of asset. ### Claim 49 (depends on 22) The system of claim 22, wherein the theoretical price indicator comprises a range of values that are based that are based on a price of an underlying asset of the at least one type of asset, wherein the underlying asset is used as a hedge for purchase or sale of the at least one type of asset.