Patent ID: 7536328
Filing Date: 2009-05-19
Classification: G06Q

Abstract:
1. A method for implementing an automated trading strategy relating to a tradable object being traded in an electronic exchange, the method comprising: electronically establishing a first automated trading strategy based on a first tradable object and a second tradable object, the first automated trading strategy generating a first order for the second tradable object, wherein a price of the first order is based upon a first estimated price for the first tradable object; electronically establishing a second automated trading strategy based on the first tradable object and a third tradable object, the second automated trading strategy generating a second order for the third tradable object, wherein a price of the second order is based upon a second estimated price for the first tradable object; electronically receiving market information for the first tradable object from an electronic exchange, the market information comprising order quantities available to buy or sell the first tradable object at a plurality of price levels; electronically calculating the first estimated price based on the order quantities in the received market information for a first order quantity of the first tradable object; taking a first action of the first automated trading strategy based on the first estimated price, wherein the first action comprises electronically sending the first order by the first automated trading strategy to an electronic exchange; electronically calculating the second estimated price based on the order quantities in the received market information for the first tradable object, an allocation of the first order quantity at the first estimated price, and further based on a second order quantity; and electronically taking a second action of the second automated trading strategy based on the second estimated price, wherein the second action comprises sending the second order by the second automated trading strategy to an electronic exchange.