Systems and methods for multiplier-adjusted lean levels for trading strategies

摘要

Certain embodiments provide a method for trading in an electronic trading environment including receiving market data relating to a plurality of tradeable objects; sending a order to an exchange for the first tradeable object at a quoted price; receiving a fill confirmation for the quoting order at a filled price; determining a difference between the quoted price and the filled price; determining a hedge price for each of the plurality of tradeable objects other than the first tradeable object based at least in part on the difference and at least one multiplier associated with at least one leg of the trading strategy; and sending hedge orders for each of the plurality of tradeable objects other than the first tradeable object at the corresponding hedge price. The plurality of tradeable objects includes at least a first, second, and third tradeable object, which are traded as legs of a trading strategy.

主权项

1. A non-transitory computer readable medium having stored therein instructions executable by a processor, wherein the instructions are executable to:
receive market data relating to a plurality of tradeable objects, wherein the plurality of tradeable objects includes at least a first tradeable object, a second tradeable object, and a third tradeable object, wherein the tradeable objects are traded as legs of a trading strategy, wherein the trading strategy includes a multiplier associated with each leg; send a quoting order to an electronic exchange for the first tradeable object at a quoted price, wherein the quoted price is based at least in part on a lean price for each of the plurality of tradeable objects other than the first tradeable object; receive a fill confirmation for the quoting order for the first tradeable object at a filled price, wherein the filled price is different from the quoted price, wherein the filled price is better than the quoted price; determine a difference value between the quoted price and the filled price; determine a hedge price for each of the plurality of tradeable objects other than the first tradeable object based at least in part on the lean price for the tradeable object added to one of:
(1) the opposite of the difference value, when the tradeable object is for a leg in the same direction as the leg for the first tradeable object, and(2) a side ratio multiplied by the difference value, when the tradeable object is for a leg in the opposite direction as the leg for the first tradeable object, wherein the side ratio is a same side total divided by an other side total, wherein the same side total is the sum of the multipliers associated with the legs that are in the same direction as the leg for the first tradeable object, and wherein the other side total is the sum of the multipliers associated with the legs that are in the opposite direction as the leg for the first tradeable object; and send hedge orders for each of the plurality of tradeable objects other than the first tradeable object at the corresponding hedge price.