Market impact analysis tool
AssigneeTrading Technologies International, Inc.
InventorPatrick Joseph ROONEY
Life of this patent
Estimating the term…
Abstract
A trading device may analyze proposed trade orders related to tradable objects offered at an exchange and determine the effects of the proposed orders on a market if the proposed orders were matched at the exchange. The trading device may monitor one or more leaned on prices and/or quantities related to the tradable object offered at the exchange. The trading device may notify one or more users that the proposed order may affect one or more leaned on prices and/or quantities that may be relied on by one or more other orders or trading strategies. The trading device may modify or cancel proposed orders or trading strategies to avoid undesired effects in the market.
Claims20
A method comprising:
- receiving, by an order impact manager, market data related to a tradable object offered at an exchange;
- analyzing, by the order impact manager, an order book comprising at least one proposed order related to the tradable object offered at the exchange;
- determining, by the order impact manager, implied impact analysis information based on the received market data and the at least one proposed order;
- combining, by the order impact manager, the determined implied impact analysis information with the received market data to determine projected market data;
- and
- generating, by the order impact manager, a display including the projected market data related to the tradable object.
A method comprising:
- receiving, by an order impact manager, market data related to a tradable object offered at an exchange;
- analyzing, by the order impact manager, an order book comprising at least one proposed order related to the tradable object offered at the exchange;
- monitoring, by the order impact manager, one or more leaned on orders related to the tradable object offered at the exchange, wherein the one or more leaned on orders are associated with one or more price levels;
- applying, by the order impact manager, the at least one proposed order to the received market data;
- determining, by the order impact manager, implied impact analysis information based on the received market data and the at least one proposed order;
- combining, by the order impact manager, the determined implied impact analysis information with the received market data to determine projected market data;
- determining, by the order impact manager, affected leaned on price levels based on the determined projected market data;
- comparing, by the order impact manager, the monitored leaned on orders to the affected leaned on price levels to determine affected leaned on orders;
- and
- generating, by the order impact manager, a display indicating the affected leaned on orders.
Dependencies are inferred from the claim text.