(12) Umted States Patent
`Kemp, II et al.
`
`(10) Patent N0.:
`(45) Date of Patent:
`
`US 6,766,304 B2
`Jul. 20, 2004
`
`US006766304B2
`
`(54) CLICK BASED TRADING WITH INTUITIVE
`GRID DISPLAY OF MARKET DEPTH
`
`5,774,877 A
`5,793,301 A
`
`6/1998 Patterson, Jr. et a1.
`8/1998 Patterson, Jr. et a1.
`
`(75)
`
`Inventors: Gary Allan Kemp, II, Winnetka, IL
`SJ)°11I§'UW_e gchlugtfg» gfianston»
`;
`arr1s
`rum e
`,
`Icago,
`1L(Us)
`
`(73) Assignee: Trading.Techn0l0gies International,
`Inc" Chlcago’ IL (US)
`.
`.
`.
`.
`.
`( * ) Notice:
`Subject. to any disclaimer, the term of this
`patent 1S extended or adjusted under 35
`U~S~C~ 154(b) by 544 dayS~
`
`(21) APP1. No; 09/394,537
`
`(22)
`
`Filed:
`
`Jun. 27, 2001
`
`(65)
`
`Prior Publication Data
`
`Us 2002/0059129 A1 May 16’ 2002
`Related U_S_ Application Data
`
`(62) Division of application No. 09/590,692, filed on Jun. 9,
`2000
`Provisional application No. 60/186,322, filed on Mar. 2,
`2000.
`
`(60)
`
`Int. Cl.7 .............................................. .. G06F 17/60
`(51)
`(52) U.s. Cl.
`............................ .. 705/37, 705/36; 705/35
`(58) Field of Search ............................ .. 705/35, 36, 37;
`345/814
`
`(56)
`
`References Cited
`
`Us’ PATENT DOCUMENTS
`4,674,044 A
`6/1987 Kalmus et al.
`........... .. 364/408
`4,750,135 A
`6/1988 Boilen ...................... .. 364/514
`5,038,284 A
`8/1991 Kramer
`-------- -- 364/408
`5977565 A
`12/1991 Sl1Vem1an 61 31-
`33:33’; 2 13; Elllvelman et al‘ """""
`,
`,
`Iggms .................... ..
`5,297,031 A
`3/1994 Gutterman et al.
`5,297,032 A
`3/1994 Trojan et al.
`5,689,651 A
`11/1997 Lozman
`
`(List Continued on next page‘)
`FOREIGN PATENT DOCUMENTS
`W0 98/49639
`11/1998
`WO 99/19821
`4/1999
`
`W0 00/52619
`WO 00/62187
`WO 00/6551()
`WO 01/16830
`W0 01/16852
`WO 01/22315
`
`WO 01/88808
`
`1(6);
`9/2000
`10/2000
`11/2000
`3/2001
`3/2001
`3/2001
`
`11/2001
`
`W0
`W0
`
`W0
`W0
`W0
`W0
`W0
`W0
`
`W0
`
`OTHER PUBLICATIONS
`
`Patsystems News Release, Patsystems Launches J Trader,
`Nov. 6, 2001.*
`WWW.tradingtechnologies.com/products/xtrade,full.html
`(v1eWed May 22, 2001) <Jun. 9, 2000.
`Kharouf, Atrading room With a view, Fututes, 27, 11—Nov.
`1998-
`USPTO Presentation, NASDAQ, Nov. 8, 2001, enclosed pp.
`1_13.
`
`Primary Examiner—Riehard Weisberger
`(74) Attorney Agent or Frrm—F01ey & Lardner
`(57)
`ABSTRACT
`A method and s stem for reducin the time it takes for a
`g
`Y
`trader to place a trade When electronically trading on an
`exchange, thus increasing the likelihood that the trader Will
`have orders filled at desirable prices and quantities. The
`“Mercury” display and trading method of the present inven-
`tion ensure fast and accurate execution of trades by display-
`ing market depth on a vertical or horizontal plane, Which
`fluctuates logically up or down, left or right across the plane
`as the market prices fluctuates. This allows the trader to trade
`-
`-
`qmckly and effiC1em1y'
`
`40 Claims, 6 Drawing Sheets
`
`EIIEIJ
`SVCOM FGBL DEC99
`EIW
`‘°=43‘44
`Bide Askfl Pm Lm
`'-
`3
`104
`99
`7R
`5
`
`’
`
`720
`X 10
`0
`W ‘H
`so
`an
`
`WKCLRSH
`X 10
`
`/WCXL V 18
`”
`'
`97
`NW 30
`110
`NETREAL
`43
`23
`
`115
`32
`27
`
`28
`
`20
`
`Z:
`96
`95
`9"
`
`Z:
`91
`
`:2
`as
`av
`B5
`B6
`34
`
`10
`
`‘O20
`
`‘U09
`1010
`
`WV
`1012
`1013
`mm,
`
`:1,2:4
`
`B 0
`
`5/017
`
`‘O07
`“N5
`
`1016
`1008
`1017
`‘me
`1019
`
`CQG EXHIBIT 1001
`
`M:
`
`:
`1004 10051006
`
`1021 ’/
`
`31
`
`1001
`
`1002
`
`1003
`
`0001
`
`0001
`
`CQG EXHIBIT 1001
`
`

`
`US 6,766,304 B2
`Page 2
`
`US. PATENT DOCUMENTS
`
`5,797,002 A
`5,845,266 A
`5,915,245 A
`5,924,082 A
`5,924,083 A
`5,963,923 A
`6,012,046 A
`6,014,643 A
`6,098,051 A
`
`8/1998 Patterson, Jr. et 211.
`12/1998 Lupien et 211.
`6/1999 Patterson, Jr. et 211.
`7/1999 Silverman et 211.
`.......... .. 705/37
`7/1999 Silverman et al.
`10/1999 Garber
`...................... .. 705/37
`1/2000 Lupien et a1~
`1/2000 Minton ...................... .. 705/37
`8/2000 Lupien et al.
`
`6,131,087 A
`6,134,535 A
`6,195,647 B1
`6,272,474 B1
`6,278,982 B1
`6,282,521 B1
`6,408,282 B1
`2002/0023038 A1
`2002/0055899 A1
`
`10/2000 Luke et 211.
`10/2000 Belzberg
`2/2001 Martyn et a1.
`8/2001 Garcia
`8/2001 Korhammer et a1.
`8/2001 Howorka
`6/2002 Buist
`2/2002 Fritsch et al.
`5/2002 Williams
`
`* cited by examiner
`
`0002
`
`0002
`
`

`
`U.S. Patent
`
`Jul. 20, 2004
`
`Sheet 1 of 6
`
`US 6,766,304 B2
`
`FIG. 1
`
`CONNECTION TO MULTIPLE EXCHANGES
`
`101
`
`HOST EXCHANGE
`A FACILITIES
`
`102-.‘
`
`HOST EXCHANGE
`B FACILITIES
`
`103-6‘
`
`HOST EXCHANGE
`C FACILITIES
`
` HOST EXCH NGE
`
`. _ _ _ . . _ . . . . . .
`
`. . . . . . . . . . . . —
`
`. . . . . . . . . . . . .
`
`. . . . . . . . . . . . »
`
`. . . . . . . . . . . _
`
`_ . . . . . . . . . . . --
`
`104
`
`N21:
`ROUTER
`
`105
`
`\:II:I
`ROUTER
`
`MEMBERFIRM 106
`FACILITIES
`
`\I:II:
`ROUTER
`
`I
`
`109
`108
`107
`------- -— -------------------------- ---------------------------—— ----
`GATWAY
`GATEWAY
`GATEWAY
`
`,
`
`CLIENT
`110
`
`CLIENT
`111
`
`CLIENT
`112
`
`CLIENT
`113
`
`CLIENT
`114
`
`CLIENT
`115
`
`CLIENTI
`116
`'
`
`0003
`
`0003
`
`

`
`U.S. Patent
`
`Jul. 20, 2004
`
`Sheet 2 of 6
`
`US 6,766,304 B2
`
`
`IllagfigjlllggggljIllgfifigll.Illlawlgfiall
`
`
`8%aNonENew89OIQQrE633§,g%§.a_O_mESE
`
`
`
`
`
`C\lCOV'|.O
`
`0004
`
`momgmmomN8Em
`
`N._U_n_
`
`0004
`
`
`

`
`U.S. Patent
`
`Jul. 20, 2004
`
`Sheet 3 of 6
`
`US 6,766,304 B2
`
`FIG. 3
`
`10091010
`
` 3 '- 9'59
`w
`
` E \ll\3_LCDQU‘!
`
`|'\D
`
`__&HH
`
`:L
`
`ENE
`
`
`
`
`::—:‘—
`|I1l§L|EElll§E!!1l1l1l1l1==
` (I1-1CDwU:U:
`
`L
`
`;
`
`0 -I
`(,1_.I. G
`-I
`-I
`Cm --
`--
`
`—-
`_|. ®
`
`1001
`
`1002
`
`1003
`
`1004 10051006
`
`0005
`
`0005
`
`

`
`U.S. Patent
`
`Jul. 20, 2004
`
`Sheet 4 of 6
`
`US 6,766,304 B2
`
`FIG. 4
`#Om
`
`oxC,
`
`W
`
`W04537MSWBWBWBW
`
`G3».7CCETF6xmmKx0IN5M1!1N
`
`_._D.;4350HHH0EEN.
`
`I11 x_0
`
`1101
`
`A
`
`6mM43um273
`31231326
`
`BTW.754321.8754321.
`,P999999oooooo8oooooo
`
`,m3%./co./034nIu31:%1
`
`0006
`
`0006
`
`
`
`
`

`
`U.S. Patent
`
`Jul. 20, 2004
`
`Sheet 5 of 6
`
`US 6,766,304 B2
`
`C,
`
`
`
`_.D_._4HHHOH
`
`B%NLXTnumu71nunuannu7/nuMm
`w1flE1.}E1IN
`
`ET REAL
`
`5w?
`
`1 206
`
`1 205
`
`1 2
`
`4O
`
`
`
`
`nuvobmmnun;nuvznu1.nU4:nu4nn:
`lSWSWBWBWBW:1
`nV!mwAwnono7/mw
`
`A
`
`Q45
`
`432735806»mmadQuanQuncnoAwn2n4
`
`X
`
`WL
`
`mflIIIIIIIIIflIIIIIIIII
`P999999888888aflfifilfiflflflfllfiflflflfiflflflflfl
`
`..mmm/6mm1m_6m2mW8III1|
`nunumu
`
`1201
`
`12 2 12031207
`
`0007
`
`0007
`
`
`
`

`
`U.S. Patent
`
`Jul. 20, 2004
`
`Sheet 6 of 6
`
`US 6,766,304 B2
`
`_.m<._.w
`
`82.mm_Ez<:omI.—n58<._.__>>m_I._.
`
`mv_m<s_2:$25Ev_m<s_mEz_Eomo10$mo;
`
`
`zwwbimwmwwafimémm6%..§$_$§m$fiW._
`
`
`E6:m_fi%_Hwam%<Qm%._%
`
`m.u_"_
`
`
`
`mm3<>>Ez§oEm
`
`omod:EVdzEVmE_EoEn_<z_.
`
`
`
`>Ez§oHzmmm:
`
`So8m_mm..._E5
`
`
`
`mommazO_._._mOn_
`
`
`
`E855.m=._._.20
`
`><._n_m_n_
`
`
`mo8%zo.m_u_
`_Ewmko
`
`m_3<>nEEO
`
`no>._._._.z<:O
`
`Sm:mz_
`
`m3<>ummamo
`
`u_OE230
`
`Sm:._z_
`
`zo_E_mommo
`
`ozmmozo
`
`:2
`
`mmm_>_3zmo>_._._.z<:O
`
`nmmomo
`
`Hzmmmso
`
`>._._._.z<:O
`
`mom:Hz<:O522
`
`
`
`mzo:o_Em#_mmI._.O
`
`E2._.zmmEEOoz
`
`So20oz_ozm_nmo
`
`amzommm
`
`monzozm:2
`
`ozm>Ez<:o
`
`"$20no
`
`22
`
`Qzm
`
`8238
`
`mo_Em__.:_.<>525EmomEx:
`
`
`
`Evazo>>OmmI._.u_
`
`
`
`O._.mmomo>3mozm
`
`9.9
`
`opm
`
`0008
`
`
`
`O._.$953.6.ozmm
`
`Bzrmamom._.mv_m_<_>_
`
`
`
`
`
`moan.m_I._.._.<>._._._.z<:O
`
`
`
`omvazo>>OmmI._.u_O
`
`Qzm
`
`
`
`
`
`E:omm__>__.E>>oza<E8%,.Emmmao
`
`
`
`
`
`0008
`
`
`
`
`
`
`
`
`

`
`US 6,766,304 B2
`
`1
`CLICK BASED TRADING WITH INTUITIVE
`GRID DISPLAY OF MARKET DEPTH
`
`This application is a divisional application of Ser. No.
`09/590,692 filed Jun. 09, 2000 which claims benefit of
`60/186,322, filed Mar. 2, 2000.
`
`PRIORITY
`
`The present application claims priority to a U.S. Provi-
`sional Patent Application entitled “Market Depth Display
`Click Based Trading and Mercury Display” filed Mar. 2,
`2000,
`the contents of which are incorporated herein by
`reference.
`
`FIELD OF INVENTION
`
`The present invention is directed to the electronic trading
`of commodities. Specifically, the invention provides a trader
`with a versatile and efficient tool for executing trades. It
`facilitates the display of and the rapid placement of trade
`orders within the market trading depth of a commodity,
`where a commodity includes anything that can be traded
`with quantities and/or prices.
`
`BACKGROUND OF THE INVENTION
`
`At least 60 exchanges throughout the world utilize elec-
`tronic trading in varying degrees to trade stocks, bonds,
`futures, options and other products. These electronic
`exchanges are based on three components: mainframe com-
`puters (host), communications servers, and the exchange
`participants’ computers (client). The host forms the elec-
`tronic heart of the fully computerized electronic trading
`system. The system’s operations cover order-matching,
`maintaining order books and positions, price information,
`and managing and updating the database for the online
`trading day as well as nightly batch runs. The host is also
`equipped with external
`interfaces that maintain uninter-
`rupted online contact
`to quote vendors and other price
`information systems.
`through three types of
`Traders can link to the host
`structures: high speed data lines, high speed communica-
`tions servers and the Internet. High speed data lines establish
`direct connections between the client and the host. Another
`
`connection can be established by configuring high speed
`networks or communications servers at strategic access
`points worldwide in locations where traders physically are
`located. Data is transmitted in both directions between
`
`traders and exchanges via dedicated high speed communi-
`cation lines. Most exchange participants install two lines
`between the exchange and the client site or between the
`communication server and the client site as a safety measure
`against potential failures. An exchange’s internal computer
`system is Also often installed with backups as a redundant
`measure to secure system availability. The third connection
`utilizes the Internet. Here,
`the exchange and the traders
`communicate back and forth through high speed data lines,
`which are connected to the Internet. This allows traders to be
`
`located anywhere they can establish a connection to the
`Internet.
`
`Irrespective of the way in which a connection is
`established,
`the exchange participants’ computers allow
`traders to participate in the market. They use software that
`creates specialized interactive trading screens on the traders’
`desktops. The trading screens enable traders to enter and
`execute orders, obtain market quotes, and monitor positions.
`The range and quality of features available to traders on their
`
`10
`
`15
`
`20
`
`25
`
`30
`
`35
`
`40
`
`45
`
`50
`
`55
`
`60
`
`65
`
`2
`screens varies according to the specific software application
`being run. The installation of open interfaces in the devel-
`opment of an exchange’s electronic strategy means users can
`choose, depending on their trading style and internal
`requirements,
`the means by which they will access the
`exchange.
`The world’s stock, bond, futures and options exchanges
`have volatile products with prices that move rapidly. To
`profit in these markets, traders must be able to react quickly.
`A skilled trader with the quickest software,
`the fastest
`communications, and the most sophisticated analytics can
`significantly improve his own or his firm’s bottom line. The
`slightest speed advantage can generate significant returns in
`a fast moving market. In today’s securities markets, a trader
`lacking a technologically advanced interface is at 4 severe
`competitive disadvantage.
`Irrespective of what interface a trader uses to enter orders
`in the market, each market supplies and requires the same
`information to and from every trader. The bids and asks in
`the market make up the market data and everyone logged on
`to trade can receive this information if the exchange pro-
`vides it. Similarly, every exchange requires that certain
`information be included in each order. For example, traders
`must supply information like the name of the commodity,
`quantity, restrictions, price and multiple other variables.
`Without all of this information, the market will not accept
`the order. This input and output of information the same for
`every trader.
`With these variables being constant, a competitive speed
`advantage must come from other aspects of the trading
`cycle. When analyzing the time it takes to place a trade order
`for a given commodity, various steps contribute in different
`amounts to the total time required. Approximately 8% of the
`total time it takes to enter an order elapses between the
`moment the host generates the price for the commodity and
`the moment the client receives the price. The time it takes for
`the client application to display the price to the trader
`amounts to approximately 4%. The time it takes for a trade
`order to be transmitted to the host amounts to approximately
`8%. The remainder of the total time it takes to place an order,
`approximately 80%, is attributable to the time required for
`the trader to read the prices displayed and to enter a trade
`order. The present invention provides a significant advan-
`tage during the slowest portion of the trading cycle—while
`the trader manually enters his order. Traders recognize that
`the value of time savings in this portion may amount to
`millions of dollars annually.
`In existing systems, multiple elements of an order must be
`entered prior to an order being sent to market, which is time
`consuming for the trader. Such elements include the com-
`modity symbol, the desired price, the quantity and whether
`a buy or a sell order is desired. The more time a trader takes
`entering an order, the more likely the price on which he
`wanted to bid or offer will change or not be available in the
`market. The market is fluid as many traders are sending
`orders to the market simultaneously.
`It fact, successful
`markets strive to have such a high volume of trading that any
`trader who wishes to enter an order will find a match and
`
`have the order filled quickly, if not immediately. In such
`liquid markets,
`the prices of the commodities fluctuate
`rapidly. On a trading screen, this results in rapid changes in
`the price and quantity fields within the market grid. If a
`trader intends to enter an order at a particular price, but
`misses the price because the market prices moved before he
`could enter the order, he may lose hundreds, thousands, even
`millions of dollars. The faster a trader can trade, the less
`likely it will be that he will miss his price and the more likely
`he will make money.
`
`0009
`
`0009
`
`

`
`US 6,766,304 B2
`
`3
`SUMMARY OF THE INVENTION
`
`The inventors have developed the present invention which
`overcomes the drawbacks of the existing trading systems
`and dramatically reduces the time it takes for a trader to
`place a trade when electronically trading on an exchange.
`This, in turn, increases the likelihood that the trader will
`have orders filled at desirable prices and quantities.
`The “Mercury” display and trading method of the present
`invention ensure fast and accurate execution of trades by
`displaying market depth on a vertical or horizontal plane,
`which fluctuates logically up or down, left or right across the
`plane as the market prices fluctuates. This allows the trader
`to trade quickly and efficiently.
`Specifically, the present invention is directed to a graphi-
`cal user interface for displaying the market depth of a
`commodity traded in a market, including a dynamic display
`for a plurality of bids and for a plurality of asks in the market
`for the commodity and a static display of prices correspond-
`ing to the plurality of bids and asks. In this embodiment the
`pluralities of bids and asks are dynamically displayed in
`alignment with the prices corresponding thereto. Also
`described herein is a method and system for placing trade
`orders using such displays.
`These embodiments, and others described in greater detail
`herein, provide the trader with improved efficiency and
`versatility in placing, and thus executing, trade orders for
`commodities in an electronic exchange. Other features and
`advantages of the present invention will become apparent to
`those skilled in the art from the following detailed descrip-
`tion. It should be understood, however, that the detailed
`description and specific examples, while indicating pre-
`ferred embodiments of the present invention, are given by
`way of illustration and not limitation. Many changes and
`modifications within the scope of the present invention may
`be made without departing from the spirit thereof, and the
`invention includes all such modifications.
`
`BRIEF DESCRIPTION OF THE DRAWINGS
`
`FIG. 1 illustrates the network connections between mul-
`
`tiple exchanges and client sites;
`FIG. 2 illustrates screen display showing the inside mar-
`ket and the market depth of a given commodity being traded;
`FIG. 3 illustrates the Mercury display of the present
`invention;
`FIG. 4 illustrates the Mercury display at a later time
`showing the movement of values when compared to FIG. 3;
`FIG. 5 illustrates a Mercury display with parameters set in
`order to exemplify the Mercury trading method; and
`FIG. 6 is a flowchart illustrating the process for Mercury
`display and trading.
`
`DETAILED DESCRIPTION OF THE
`PREFERRED EMBODIMENTS
`
`As described with reference to the accompanying figures,
`the present invention provides a display and trading method
`to ensure fast and accurate execution of trades by displaying
`market depth on a vertical or horizontal plane, which fluc-
`tuates logically up or down, left or right across the plane as
`the market prices fluctuates. This allows the trader to place
`trade orders quickly and efficiently. A commodity’s market
`depth is the current bid and ask prices and quantities in the
`market. The display and trading method of the invention
`increase the likelihood that the trader will be able to execute
`
`orders at desirable prices and quantities.
`
`10
`
`15
`
`20
`
`25
`
`30
`
`35
`
`40
`
`45
`
`50
`
`55
`
`60
`
`65
`
`4
`the present invention is
`In the preferred embodiment,
`implemented on a computer or electronic terminal. The
`computer is able to communicate either directly or indirectly
`(using intermediate devices) with the exchange to receive
`and transmit market, commodity, and trading order infor-
`mation. It is able to interact with the trader and to generate
`contents and characteristics of a trade order to be sent to the
`
`exchange. It is envisioned that the system of the present
`invention can be implemented on any existing or future
`terminal or device with the processing capability to perform
`the functions described herein. The scope of the present
`invention is not limited by the type of terminal or device
`used. Further, the specification refers to a single click of a
`mouse as a means for user input and interaction with the
`terminal display as an example of a single action of the user.
`While this describes a preferred mode of interaction, the
`scope of the present invention is not limited to the use of a
`mouse as the input device or to the click of a mouse button
`as the user’s single action. Rather, any action by a user
`within a short period of time, whether comprising one or
`more clicks of a mouse button or other input device, is
`considered a single action of the user for the purposes of the
`present invention.
`The system can be configured to allow for trading in a
`single or in multiple exchanges simultaneously. Connection
`of the system of the present
`invention with multiple
`exchanges is illustrated in FIG. 1. This figure shows multiple
`host exchanges 101-103 connected through routers 104-106
`to gateways 107-109. Multiple client terminals 110-116 for
`use as trading stations can then trade in the multiple
`exchanges through their connection to the gateways
`107-109. When the system is configured to receive data
`from multiple exchanges, then the preferred implementation
`is to translate the data from various exchanges into a simple
`format. This. “translation” function is described below with
`
`reference to FIG. 1. An applications program interface (“TT
`API” as depicted in the figure) translates the incoming data
`formats from the different exchanges to a simple preferred
`data format. This translation function may be disposed
`anywhere in the network, for example, at the gateway server,
`at the individual workstations or at both. In addition, the
`storage at gateway servers and at the client workstations,
`and/or other external storage cache historical data such as
`order books which list
`the client’s active orders in the
`market; that is, those orders that have neither been filled nor
`cancelled.
`Information from different exchanges can be
`displayed at one or in multiple windows at
`the client
`workstation. Accordingly, ‘while reference is made through
`the remainder of the specification to a single exchange to
`which a trading terminal is connected,
`the scope of the
`invention includes the ability to trade, in accordance with the
`trading methods described herein,
`in multiple exchanges
`using a single trading terminal.
`invention
`The preferred embodiments of the present
`include the display of “Market Depth” and allow trader to
`view the market depth of a commodity and to execute trades
`within the market depth with a single click of a computer
`mouse button. Market Depth represents the order book with
`the current bid and ask prices and quantities in the market.
`In other words, Market Depth is each bid and ask that was
`entered into the market, subject to the limits noted below, in
`addition to the inside market. For a commodity being traded,
`the “inside market” is the highest bid price and the lowest
`ask price.
`The exchange sends the price, order and fill information
`to each trader on the exchange. The present
`invention
`processes this information and maps it
`through simple
`
`00010
`
`00010
`
`

`
`US 6,766,304 B2
`
`5
`
`6
`receive the data from the server and has “timed out.” Green
`
`5
`algorithms and mapping tables to positions in a theoretical
`grid program or any other comparable mapping technique
`indicates that the data has just been updated. The other
`for mapping data to a screen. The physical mapping of such
`column headings in this and all of the other figures, are
`information to a screen grid can be done by any technique
`defined as follows. BidQty (Bid Quantity): the quantity for
`known to those skilled in the art. The present invention is not
`each working bid, BidPrc (Bid Price): the price for each
`.
`.
`Working bid Askprc (Ask Price). the price for each Working
`limited by the method used to map the data to the screen
`’
`.
`'
`.
`.
`display.
`21511:’ fsktgty (ésk tghantttygi the. quintlti hit eagtawoéklnfi
`How far into the market depth the present invention can
`as ’
`ast rC( ast m?e)' t e pnce 0“ 6 ast
`1
`an as
`display depends on how much of the market depth the
`exchange provides. Some exchanges supply an infinite mar- 10 that Were matched. In the market aI1d.LaStQtY (Last
`ket depth, Whfle others provide no market depth or only a
`Quantity): the quantity added at the last price. Total repre-
`few orders away from the inside market. The user of the
`sents the total quantity traded of the given commodity.
`present thttehhoh Cahtttso Chose how tat Into the market
`The configuration of the screen display itself informs the
`depth to thsphty Oh hts Scteeht FIG 2 thhsttates a Screen
`user in a more convenient and efficient manner than existin
`~
`~
`~
`~
`44
`~
`~
`~
`s sems.
`ra ers
`ain asi ni can a van a e
`seem
`e
`display of an invention described in a commonly owned 15
`t
`T d
`.
`.
`.fi
`t d
`t
`b
`.
`thg
`C0-pehthhg apphcahoh ehttthtd Chch Based Ttathhg Wtth
`ntitarket de th becaguse the gcan see trends ingthe ctirders ii the
`Market Depth Display” Ser. No. 09/589,751, filed on Jun. 9,
`k
`T%
`k
`d yh d.
`1
`h
`h
`d
`h
`2000,
`the contents of which are incorporated herein by
`tnar et‘ h e mall: 6; em
`1.51) ay 5 Owsdt e trzgfr t 6
`reference. This display shows the inside market and the
`mtereslt t F HE“ elt
`as In a glverfl §9dmm0 Hi at herefllt
`market depth of a given commodity being traded. Row 1 20 PHCI: teve S’th :1 grgft amgltnt Oh
`1 S C: tishs ire
`t E
`..~
`~
`3,
`~
`~
`mar e near
`e ra er s osi ion,
`e ma
`ee
`e s ou
`se
`represents the
`thstde market
`for the Coththothty hthhg
`or bu before the inside rhiarket reaches the morass of orders
`traded which is the best (highest) bid price and quantity and
`y
`.
`.
`.
`‘
`the best (lowest) ask price and quantity. Rows 2-5 represent
`A lack of Ordders above or bzlow the milde. mtgket mlkght
`the “market depth” for the commodity being traded. In the
`acftrllptta tfa etrh to eitetrdor tflrs nearht te F151. 6 malrd it‘
`~
`~
`~
`~
`1 ou seein
`emar e
`e
`,no suc srae iescou
`e
`preferred emb°d1m‘°’“‘ °f th‘? present “?V"““°“’ the dlsphy 25 utilized Havirh thed namictfnarketde th inclidin the bid
`of market depth (rows 2-5) lists the available next-best bids,
`‘
`y
`.
`P ’
`. g .
`in column 203, and asks, in column 204. The working bid
`ahdhaskglgntlltles grgd rlceshof a”ade‘l°‘?:1nm°d11:y ah%n:d
`and ask quantity for each price level is also displayed in
`Wu
`and.
`15p aye
`chow E e Curfent ms; 6 mar. ct 0 t 6
`columns 202 and 205 respectively (inside market—row 1).
`?0m.H.10 Hy gonvhlys t Z In Orrélattflon to t e ufrer 13 a.m0£e
`Prices and quantities for the inside market and market depth 30 inuéhlve farih easl y ugfrstag 21h 6 mfnneri hren : H} tt. 6
`~
`~
`~
`~
`~
`ra in o ,
`ecommo i
`an o
`er re evan c arac eris ics
`update dyhahhcahy on a that thhe hasts as Such thtotthattoh
`are mchre easil
`identifiablte b the user throu h the use of the
`is relayed from the market.
`t .
`y
`g
`In the screen display shown in FIG. 2, the commodity
`presen mven Ion’
`(contract) being traded is represented in row 1 by the
`Various abbreviations are used in the screen displays, and
`character string “CDHO”. The Depth column 208 will 35 specifically, in the column headings of the screen displays
`inform the trader of a status by displaying different colors.
`reproduced herein. Some abbreviations have been discussed
`Yellow indicates that the program application is waiting for
`above. Alist of common abbreviations and their meanings is
`data. Red indicates that the Market Depth has failed to
`provided in Table 1.
`
`TABLE I
`
`Abbreviations.
`
`COLUMN
`
`DESCRIPTION
`
`COLUMN
`
`DESCRIPTION
`
`Month
`Bic Mbr(1)
`Wr{Buys(2)
`
`TheoBid
`Exoiration Month/Year
`TheoAsk
`Bic Member ID
`Working Buys for entire Group ID Qact
`
`Bic Qty
`ThrshBid(6)
`Bic Prc
`Bic Qty Accurn
`Bic Prc Avg
`
`As {Prc Avg
`As {Qty Accurn
`As {Prc
`ThrshAsk(6)
`As {Qty
`Wr<Sells(2)
`As { Mbr(1)
`Ne Pos
`FFNetPos
`
`LastPrc
`
`LastQty
`Total
`
`High
`
`Bic Quantity
`Threshold Bid Price
`Bic Price
`Accumulated Bid Quantity
`Bic Price Average
`
`BQQ
`BQP
`Mkt BQQ
`Mkt BQP
`Quote
`
`Mkt AQQ
`As { Price Average
`Mkt AQP
`Accumulated Ask Quantity
`AQP
`As { Price
`AQQ
`Threshold Ask Price
`Imp BidQty(5)
`As { Quantity
`Working Sells for entire Group ID Imp BidPrc(5)
`As { Member ID
`Imp AskQty(5)
`Ne Position
`Imp AskPrc(5)
`Fast Fill Net Position
`Gamma(3)
`
`Delta (3)
`
`Vola (3)
`Vega (3)
`
`Rhop (3)
`
`Last Price
`
`Last Quantity
`Total Traded Quantity
`
`High Price
`
`00011
`
`Theoretical Bid Price
`Theoretical Ask Price
`Quo e Action (Sends
`individual quotes)
`Test Bid Quote Quantity
`Test Bid Quote Price
`Mar <et Bid Quote Quantity
`Mar <et Bid Quote Price
`Checkbox activates/
`deactivates contract for quoting
`Mar <et Ask Quote Quantity
`Mar <et Ask Quote Price
`Ask Quote Price
`Ask Quote Quantity
`Imp ied Bid Quantity
`Imp ied Bid Price
`Imp ied Ask Quantity
`Imp ied Ask Price
`Change in Delta given 1 pt
`change in underlying
`Change in price given 1 pt
`change in underlying
`Percent volatility
`Price change given I%
`change in Vola
`Price change given I%
`change in interest rate
`
`00011
`
`

`
`US 6,766,304 B2
`
`7
`
`TABLE I-continued
`
`Abbreviations.
`
`COLUMN
`
`DESCRIPTION
`
`COLUMN
`
`DESCRIPTION
`
`Low
`
`Open
`
`Close
`
`Low Price
`
`Opening Price
`
`Closing Price
`
`Chng
`TheoPrc
`
`Last Price-Last Close
`Theoretical Price
`
`Theta(3)
`
`Click Trd
`
`S (Status)
`
`Expiry
`
`Price change for every day
`that elapses
`Activate/deactivate click
`trading by contract
`Auction, Closed, FastMkt, Not
`Tradable, Pre-trading,
`Tradable, S = post-trading
`Expiration Month/Year
`
`As described herein, the display and trading method of the
`present invention provide the user with certain advantages
`over systems in which a display of market depth, as shown
`in FIG. 2, is used. The Mercury display and trading method
`of the present invention ensure fast and accurate execution
`of trades by displaying market depth on a vertical or
`horizontal plane, which fluctuates logically up or down, left
`or right across the plane as the market prices fluctuates. This
`allows the trader to trade quickly and efficiently. An example
`of such a Mercury display is illustrated in the screen display
`of FIG. 3.
`
`The display of market depth and the manner in which
`traders trade within the market depth can be effected in
`different manners, which many traders will find materially
`better, faster and more accurate. In addition, some traders
`may find the display of market depth to be difficult to follow.
`In the display shown in FIG. 2, the market depth is displayed
`vertically so that both Bid and Ask prices descend the grid.
`The Bid prices descend the market grid as the prices
`decrease. Ask prices also descend the market grid as these
`prices actually increase. This combination may be consid-
`ered counterintuitive and difficult to follow by some traders.
`The Mercury display overcomes this problem in an inno-
`vative and logical manner. Mercury also provides an order
`entry system, market grid, fill window and summary of
`market orders in one simple window. Such a condensed
`display materially simplifies the trading system by entering
`and tracking trades in an extremely efficient manner. Mer-
`cury displays market depth in a logical, vertical fashion or
`horizontally or at some other convenient angle or configu-
`ration. Avertical field is shown in the figures and described
`for convenience, but the field could be horizontal or at an
`angle. In turn, Mercury further increases the speed of trading
`and the likelihood of entering orders at desired prices with
`desired quantities.
`In the preferred embodiment of the
`invention, the Mercury display is a static vertical column of
`prices with the bid and ask quantities displayed in vertical
`columns to the side of the price column and aligned with the
`corresponding bid and ask prices. An example of this display
`is shown in FIG. 3.
`
`Bid quantities are in the column 1003 labeled BidQ and
`ask quantities are in column 1004 labeled AskQ. The rep-
`resentative ticks from prices for the given commodity are
`shown in column 1005. The column, does not list the whole
`prices (e.g. 95.89), but rather, just the last two digits (e.g.
`89). In the example shown, the inside market, cells 1020, is
`18 (best bid quantity) at 89 (best bid price) and 20 (best ask
`quantity) at 90 (best ask price). In the preferred embodiment
`of the invention, these three columns are shown in different
`colors so that the trader can quickly distinguish between
`them.
`
`The values in the price column are static; that is, they do
`not normally change positions unless a re-centering com-
`mand is received (discussed in detail later). The values in the
`
`15
`
`20
`
`25
`
`30
`
`35
`
`40
`
`45
`
`50
`
`55
`
`60
`
`65
`
`Bid and Ask columns however, are dynamic; that is, they
`move up and down (in the vertical example) to refiect the
`market depth for the given commodity. The LTQ column
`1006 shows the last traded quantity of the commodity. The
`relative position of the quantity value with respect to the
`Price values reflects the price at which that quantity was
`traded. Column 1001 labeled E/W (entered/working) dis-
`plays the current status of the trader’s orders. The status of
`each order is displayed in the price row where it was entered.
`For example, in cells 1007, the number next to S indicates
`the number of the trader’s ordered lots that have been sold
`at the price in the specific row. The number next to W
`indicates the number of the trader’s ordered lots that are in
`the market, but have not been filled—i.e.
`the system is
`working on filling the order. Blanks in this column indicate
`that no orders are entered or working at that price. In cells
`1008, the number next to B indicates the number of the
`trader’s ordered lots that have been bought at the price in the
`specific row. The number next to W indicates the number of
`the trader’s ordered lots that are in the market, but have not
`been filled—i.e. the system is working on filling the order.
`Various parameters are set and information is provided in
`column 1002. For example, “10:48:44” in cell 1009 shows
`the actual time of day. The L and R fields in cell 1010
`indicate a quantity value, which may be added to the order
`quantity entered. This process is explained below with
`respect to trading under Mercury. Below the L and R fields,
`in cell 1011, a number appears which represents the current
`market volume. This is the number of lots that have been
`traded for the chosen contract. Cell 1012, “X 10”, displays
`the Net Quantity, the current position of the trader on the
`chosen contract. The number “10” represents the trader’s
`buys minus sells. Cell 1013 is the “Current Quantity”; this
`field represents the quantity for the next order that the trader
`will send to market. This can be adjusted with right and left
`clicks (up and down) or by clicking the buttons which appear
`below the Current Quantity in cells 1014. These buttons
`increase the current quantity by the indicated amount; for
`example, “10” will increase it by 10; “1H” will increase it
`by 100; “1K” will increase it by 1000. Cell 1015 is the Clear
`button; clicking this button will clear the Curren