US007783556Bl
`
`(12) United States Patent
`Singer et al.
`
`(10) Patent No.:
`(45) Date of Patent:
`
`US 7,783,556 B1
`Aug. 24, 2010
`
`(54) SYSTEM AND METHOD FOR DISPLAYING
`ORDER INFORMATION IN RELATION TO A
`DERIVATIVE OF PRICE
`
`(75)
`
`Inventors: Scott E Singer, Lake Bluff, IL (US);
`Dfichael J‘ Burns: Chicago, IL (US);
`Fred Monroe, Silver Springs, MD (US)
`_
`_
`_
`_
`(73) Assigiicc: Trading Technologies International,
`Inc-, Chicago, IL (US)
`
`( * ) Notice:
`
`Subject to any disclaimer, the term ofthis
`patent is extended or adjusted under 35
`U~S-C- 154(1)) by 1131 day5-
`
`(21) Appl. No.: 10/800,295
`
`6,938,011 B1
`7,127,424 B2
`7,212,999 B2
`2002/0099644 A1*
`
`8/2005 Kemp, II
`10/2006 Kemp, ll
`5/2007 Friesen et a1,
`7/2002 Kemp et al. ................. .. 705/37
`
`1/2003 Burns ........................ .. 705/37
`2003/:0004852 A1”‘
`1/2003 Ramet al.
`200370004853 Al
`OTHER PUBLICATIONS
`Star Research Inc, “Profit Loss vs Price," Apr. 19, 2001, pp. 1-24.*
`QBL Software! «Radar ScI.eenq»Ap1._ 13‘ 2000, pp‘ 1_4'¢
`Co-Pending U.S. Appl. No. 11/415,884, filed May 2, 2006.
`
`* cited by examiner
`Primary Examine,-_Thu-Tha0 Havan
`Assistant Examiner—Chia-Yi Liu
`(74) Attorney, Agent, or Firm—McD0n.nell Boehnen Hulbert
`& Be1.gh0ffLLp
`
`(22) Filed:
`
`Mar. 12, 2004
`
`(57)
`
`ABSTRACT
`
`(51)
`
`[]11;_ CL
`(2006.01)
`G06Q 40/00
`705/37
`(52) U.S. Cl.
`..................................... ..
`(58) Field of Classification Search ............ .. 705/39—41
`See application file for Complete Search history.
`
`
`
`(56)
`
`References Cited
`U.S. PATENT DOCUMENTS
`
`............ .. 705/14
`4,885,685 A * 12/1989 Wolfberg etal.
`6,317,728 131* 11/2001 Kane ...................... .. 705/36R
`6,772,132 B1
`8/2004 Kemp,lI
`6,850,555 B1 *
`2/2005 Barclay .................... .. 375/141
`
`Market data,.suc‘l1 as order information, is displayed in rela-
`tion to a derivative of price. A derivative of price refers to
`amfthinfé that bears Some re1aFi0nShiP to Price eXamP1e_S_0f
`Whlchs m‘~‘1“‘_1e {let Change Y1e1d= Pmfi‘ a“d,1°SSa V°1a“_1“Y»
`momentum indicators, and more. According to various
`aspects ofthe preferred embodiments, market data is received
`from one or more electronic exchanges and a Value axis is
`generated based on a user’s preferences. Then, market data
`can be displayed in relation to the Value axis to provide a user
`interface that allows a trader to View the market from a more
`_
`_
`deS1I’ab1ePerSPeCt1Ve-
`
`22 Claims, 10 Drawing Sheets
`
`E] ENE 13 3,0
`IWIIIIflI“fimm
`23
`Axis
`IIEEEE
`flfiifll
`Baum:
`uanml
`lanml
`Efiifil
`wflnfil
`
`I2
`I I I I I III
`
`_;
`
`_L ID0
`
` 7
`
`30 +105
`—
`4
`229 +10
`— Z
`228
`+10
`-IE I
`227 +102
`-I 2
`226 +101
`EEI -
`IMII :
`
`808
`
`IBG
`
`m
`
`IIIIIIIIIIIIIKI
`
`IBG LLC ET AL. - EXHIBIT 1001
`
`

`
`U.S. Patent
`
`Aug. 24, 2010
`
`Sheet 1 of 10
`
`US 7,783,556 B1
`
`N2
`
`X:
`
`BEGHmmmm
`
`2:
`
`
`
`flgaofim2n___mwEaopme3m_v_.>>5930msmgmfi
`
`
`
`IEEEEI:s._8
`
`
`
`IEEI%.,.._8
`
`
`
`o:0:.v_._\NE.0:9:2:
`
`t<._o_._n_V.O_n_
`
`

`
`U.S. Patent
`
`US 7,783,556 B1
`
`wowwowmom
`
`nllnliifl
`
`I i
`
`II.
`
`nn
`
`fifl
`
`
`
`mIHEImIn.-IIM_llil
`
`“MIa.
`
`E.mmi.NEll
`i.
`
`IEEI
`
`
`
`.255IIIN0:IEI
`
`EEGHm_m._ME
`
`SN
`
`
`
`

`
`U.S. Patent
`
`Aug. 24, 2010
`
`Sheet 3 of 10
`
`US 7,783,556 B1
`
`306
`
`Exchange
`
`“§IlI:’32B 318
`
`2 3
`
`00Exchan-e
`
`

`
`U.S. Patent
`
`Aug. 24, 2010
`
`Sheet 4 of 10
`
`US 7,783,556 B1
`
`wow
`
`
`
`
`
`2..o_u:_>>>m_n_m_n_mo_.._n_n._o
`
`v.0_u_
`
`«on
`
`
`
`._3m._o:m0m_x<o:_m>
`
`
`
`“Eon.:.__on_
`
`wowwow
`
`
`
`:._.u._.=..opmSun.wuceaom33.3
`
`Be
`
`
`

`
`U.S. Patent
`
`Aug. 24, 2010
`
`Sheet 5 of 10
`
`US 7,783,556 B1
`
`
`
`EEO!m__m_E_W_
`
`
`
`EmEw_ummw:o_>m:n__||.._
`
`092062Ewo:n_Dm>_.m>_.oDmorn.
`
`
`
`‘Sam.m_:E._ou__.||._
`
`E:EmEo_>_
`
`

`
`U.S. Patent
`
`Aug. 24, 2010
`
`Sheet 6 of 10
`
`US 7,783,556 B1
`
`602
`
`Price
`
`1
`
`
`ComputeaNetChangeValuebased
`I|IIIIIlII!!liIi! I
`
`6'E °
`
`C
`
`FIG.6
`
`

`
`U.S. Patent
`
`Aug. 24, 2010
`
`Sheet 7 of 10
`
`US 7,783,556 B1
`
`Bfimcmw
`
`m_x<m:_m>
`
`IEIIEHII
`
`IEII!
`
`fig.
`
`iIEIIII
`
`\..O_n_
`
`
`

`
`U.S. Patent
`
`Aug. 24, 2010
`
`Sheet 8 of 10
`
`US 7,783,556 B1
`
`E
`
`OHm_m_
`
`«meIumv_.._m_2nmS_
`mIm:_m>.
`Sm5+mmm
`IfllfliIIInowIIEEIHI.E
`lug
`_|
`81mmm
`.IEI
`IIIIIIIIIIIIIIIIIIIfl
`
`._ I
`
`K
`
` -D
`
`mom
`
`mGE
`
`N8
`
`
`
`
`
`
`

`
`U.S. Patent
`
`Aug. 24, 2010
`
`Sheet 9 of 10
`
`US 7,783,556 B1
`
`
`
`
`
`
`CO
`
`30')
`
`I"-
`
`F F F F F F F F F F F ? V 1—\—+++
`+++++++++++++++
`
`IO 0
`Cs]
`\-
`
`+105
`
`5
`
`elAl
`
`pdat
`
`FIG.9
`
`asBEEQflfl
`
`
`
`
`
`
`
`IIIIIIIIIIIIII
`O O
`
`

`
`U.S. Patent
`
`Aug. 24, 2010
`
`Sheet 10 of 10
`
`US 7,783,556 B1
`
`FIG.10
`
`E C
`
`D
`_~.:
`
`E >
`
`-0-’
`
`F)
`CD
`
`0S-
`
`EU
`
`) oL Q E
`
`3'
`
`IEEIEEIH@368
`
`O Em a
`
`n
`:>
`
`: X E 8 .
`
`°_’.
`.0
`
`.
`
`O 2_
`
`Q
`as
`an-
`'0
`cu&
`
`I-
`
`

`
`US 7,783,556 B1
`
`1
`SYSTEM AND METHOD FOR DISPLAYING
`ORDER INFORMATION IN RELATION TO A
`DERIVATIVE OF PRICE
`
`l"Il",l.l) ()l" INV|".N'l'l()N
`
`The present invention relates to electronic trading. More
`specifically, the present invention relates to displaying market
`information on a screen.
`
`BACKGROUND
`
`An electronic exchange provides an automatic matching
`process between buyers and sellers, also referred to herein as
`traders.
`In particular,
`traders connect
`to an electronic
`exchange over a communication link. If neces sary, a gateway
`is sometimes used to connect the trader with the electronic
`
`exchange. Once a trader is connected, the electronic exchange
`can broadcast its data feed to the traders over the communi-
`
`cation link. Subsequently, the traders receive the data feed, in
`one form or another, and their computers process the infor-
`mation. Traders may respond by sending orders to buy or sell
`the tradeable object. When the electronic exchange receives
`an order, it may check the limits of the order, for example
`price and quantity, and prioritize the order. When buy and sell
`orders match, a trade occurs and information relating to the
`trade is relayed back to the traders’ computers.
`The kinds of information that are present in an electronic
`exchange’s data feed are relatively dependent on the
`exchange itself. However, mo st electronic exchanges provide
`the same key pieces of information. For instance, they typi-
`cally provide the best prices. This might include the best bid
`price, which represents the highest price that someone is
`willing to pay for the tradeable object, and the best offer price,
`which represents the lowest price that someone is willing to
`sell the tradeable object. A data feed might also include one or
`more levels ofthe next best prices such as the next highest bid
`price(s) or the next lowest ask price(s). Along with price
`information, an electronic exchange will likely provide the
`bid and offer quantities available at those prices. More
`advanced electronic exchanges may even provide things like
`the last traded price (“LTP”), the last traded quantity (“LTQ”),
`the previous day’s settlement price, the open price, the close
`price and other information.
`The data feed’s content can be displayed to a trader using a
`variety of different formats, any of which would be lmown to
`one of ordinary skill m the art. To provide the reader with a
`general background,
`two examples are provided directly
`below, with the understanding that many different formats
`and variations of the example screens shown in FIG. 1 and
`FIG. 2 exist and could also be used.
`
`In one example, FIG. 1 illustrates a typical display 100
`used in electronic trading. A trading screen similar to that
`shown in FIG. 1 is commercially available, as the Market
`window in the X_Trader® product offered by Trading Tech-
`nologies International, Inc. ofChicago, Ill. In general, display
`100 has an order entry scelion 102 and a market grid section
`104. The order entry section 102 may have pre-set fields,
`properties, and buttons that can help someone trade quickly
`and efficiently. The market grid section 104 displays trade-
`able object information such as the tradeable objects name
`106, number of Working buy orders 108, bid quantities 110,
`bid prices 112, sell prices 114, sell quantities 11 6 andworking
`sell orders 110. For instance, “object I” is a tradeable object
`that has an inside market with a best bid price of “230” and a
`best offer price of “232.” The quantity available at the inside
`market
`is “l5” at “230” and “I0” at “232.” In another
`
`10
`
`15
`
`25
`
`30
`
`35
`
`40
`
`45
`
`50
`
`55
`
`60
`
`65
`
`2
`
`instance, “object 2” is another tradeable object that has an
`inside market with a best bid price of “I90” and a best offer
`price of “192.” The quantity available at the inside market is
`“45” at “l 90” and “90” at “l 92.”
`
`In another example, FIG. 2 illustrates an evolved and more
`intuitive trading screen 200. A trading screen similar to that
`shown in FIG. 2 is also commercially available, as MD
`TraderTM, from Trading Technologies International, Inc. of
`Chicago, Ill. Trading screen 200 displays the same type of
`information as trading screen 100 in FIG. 1, except that it
`displays, among other things, bids 202 and offers 204 m
`association with price values along axis 206. Thus, a trader
`may view the market as it moves relative to price values on
`axis 206. Moreover, traders may enter orders quickly through
`trading screen 200 by simply clicking, with a mouse or some
`other input device, on specific areas on the screen associated
`with the price values.
`In addition to viewing traditional-style trading screens,
`traders are often interested in analyzing other pieces ofhighly
`relevant information that are not normally provided in an
`electronic exchange’s data feed nor displayed by a trading
`screen. For instance, they might make quick mental calcula-
`tions, use charting software, or look to other sources to pro-
`vide additional insight beyond what is normally provided by
`an exchange or a typical trading screen. Some even trade
`directly off this information. Regardless of what source or
`sources a trader might use, it may be too diflicult for the trader
`to quickly assimilate this highly relevant information from
`diverse and often unrelated sources or even effectively pro-
`cess all of the information to make informed trades. In doing
`so, the trader must attempt to determine various trends in the
`buying or selling of the tradeable object to favorably charac-
`terize the market.
`
`In the following detailed description, a system and method
`for displaying, on a trading screen, order information in rela-
`tion to a derivative of price, and in particular, for displaying
`the derivative of price along an axis, are described. These
`tools provide advantages, as describedbelow, to a trader in an
`electronic trading environment.
`
`BRIEF DESCRIPTION OF THE DRAWINGS
`
`Many aspects of the preferred embodiments may be better
`understood with reference to the following drawings. The
`components in the drawings are not necessarily to scale,
`emphasis instead being placed upon illustrating example
`embodiments.
`
`FIG. 1 illustrates one example format used to convey mar-
`ket information received from an electronic exchange to a
`trader;
`FIG. 2 illustrates a second example format used to convey
`market information received from an electronic exchange to a
`trader along an axis;
`FIG. 3 illustrates an overview of an example system con-
`figuration, in accordance with the preferred embodiments,
`used to relay market inforrnalion to a variet.y of trading l.er-
`minals;
`FIG. 4 illustrates a flow diagram of an example process for
`generating a derivative of price axis and displaying order
`information in association with derivative of price values on
`the axis;
`FIG. 5 illustrates an example graphical user interface that
`can be used to select price derivative types for use in gener-
`ating price derivative values;
`FIGS. 6-9 illustrate an example screen in accordance with
`an aspect of the preferred embodiments; and
`
`

`
`US 7,783,556 B1
`
`3
`FIG. 10 illustrates an example screen in accordance with
`another aspect of the preferred embodiments.
`
`DETAILED DESCRIPTION
`
`1. Overview
`
`4
`
`As indicated above, the preferred embodiments are not
`limited to any particular trading system configuration. For
`instance, networks 322, 324, 326 could represent the same
`network, network 320 could represent the same network as
`networks 322, 324, 326, or client devices 308, 310, 312 could
`connect directly to gateways 314, 316, 318. In addition, it is
`understood that the preferred embodiments may be imple-
`mented with systems that have only one electronic exchange
`(e.g., any of electronic exchanges 302, 304, 306) that lists one
`or more tradeable objects.
`A. Electronic Exchange
`In one embodiment, electronic exchanges 302, 304, 306
`represent electronic trading platforms that preferably support
`electromc transactions of various kinds of tradeable objects.
`Examples ofmore sophisticated electronic trading platforms
`include the London International Financial Futures and
`
`Options Exchange (L-IFFE), the Chicago Board of Trade
`(CBOT),
`the Chicago Mercantile Exchange (CME),
`the
`Exchange Electronic Trading (“Xetra,” a German stock
`exchange), and the European Exchange (“Eurex”).
`In another embodiment, electronic exchanges 302, 304,
`306 might refer to other facilities, which include more basic
`systems that automatically match incoming orders. Accord-
`ing to this embodiment, for instance, an electronic exchange
`302, 304, 306 might simply refer to an online trading place
`where sports fans go to buy or scll seats for an cvcnt.
`Each of the electronic exchanges 302, 304, 306 may host
`one or more computer-based electronic markets. Traders may
`connect to the one or more electronic markets to trade trade-
`
`able objects. As used herein, the term “tradeable objects,”
`refers simply to anything that can be traded with a quantity
`and/or price. It includes, but is not limited to, all types of
`tradeable objects such events, goods and financial products,
`which can include, for example, stocks, options, bonds,
`futures, currency, and warrants, as well as funds, derivatives
`and collections of the foregoing, and all types of commodi-
`ties, such as grains, energy, and metals. The tradeable object
`may be “real,” such as products that are listed by an exchange
`for trading, or “synthetic,” such as a combination of real
`products that is created by the user. A tradeable object could
`actually be a combination ofother tradeable object, such as a
`class of tradeable objects.
`An electronic market can implement any of the numerous
`types of order execution algorithms; sometimes the type of
`algorithm depends on the tradeable object being traded. By
`way of illustration only, some example order execution algo-
`rithms include price/time priority (also referred to as first-in-
`first-out or “l"ll"O”) and pro rata-style algorithms. Tl1e l"ll"O
`algorithm, for instance, attempts to give priority to the first
`person to place an order. The pro rata algorithm, for instance,
`splits all (or most) orders for the same price at a particular
`point in time. The system and method ofthe present invention
`are not limited to any particular type of order execution algo-
`rithm.
`
`It is further understood that an clcclronic market might
`include other software and/or hardware components to per-
`form other tasks beyond matching orders or part of orders.
`These software and/or hardware components may be local or
`remote to the physical location of an electromc exchange. Ir1
`other words, the components canbe operated at the electronic
`exchange or at locations outside of the electronic exchange
`such as points of access. Points of access may include gate-
`ways or other fast computing devices that are nearby the
`electronic exchange and have access to other points of access
`near other electronic exchanges.
`
`10
`
`15
`
`The system and method of the present invention are appro-
`priate for use in any electronic trading screen, and work
`particularly well with a trading screen similar to that shown in
`FIG. 2, which displays market data in association with a price
`scale or axis. A trading screen like that shown in FIG. 2 is
`dcscribcd in U.S. patent application Ser. No. 09/5 90,692,
`filed on Jun. 9, 2000, and entitled, “Click Based Trading With
`Intuitive Grid Display of Market Depth,” the contents of
`which are incorporated herein by reference. The system and
`method may also work with a trading screen like that shown
`in FIG. 1, which is described in U.S. patent application Ser.
`No. 09/589,751, filed on Jun. 9, 2000, and entitled, “Click
`Based Trading with Market Depth Display,” the contents of _
`which are incorporated herein by reference.
`In the description that follows, in the interest of clarity,
`aspects of the preferred embodiments will focus primarily on
`generating values that are derivatives of price and then dis-
`playing these values along an axis on a screen. Thereon,
`market information is displayed in relation to the value axis.
`Though, it is understood that the system and method of the
`present invention may be applied to any trading screen and are
`not limited to those with use ofan axis. It is further understood
`
`25
`
`that the generated values do not actually need to be displayed
`to a trader so long as market information is displayed in
`relation to the derivative of price Values on the value axis.
`As used herein, a derivative of price is anything that has
`some dependence on or relationship to price. For instance, a
`derivative of price (or “price derivative”) might result from a
`formula or other logical relation. There are many different
`possible price derivatives and they are readily apparent to one
`of ordinary skill in the art. Accordingly, an example embodi-
`ment using net change as the derivative of price is primarily
`described with the understanding that there are numerous
`other price derivative types. For further illustration, however,
`some additional examples are also included.
`Other systems, methods, features, and advantages of the
`present invention will be or become apparent to one with skill
`in the art upon examination of the following drawings and
`description. It is intended that all such additional systems,
`methods, features, and advantages be within the scope of the
`present invention, and be protected by the accompanying
`claims.
`
`II. Example Trading System
`
`The system and method of the preferred embodiments are
`appropriate for use in any electronic trading environment.
`The example electronic trading system, comprising various
`elements, is described with the understanding that there are
`numerous equivalent elements and systems, all of which will
`be apparent to one of ordinary skill in the art.
`FIG. 3 is a block diagram that illustrates an example elec-
`tronic trading system 300. The electronic trading system 300
`includes one or more electronic exchanges generally indi-
`cated as 302, 304, 306 and one or more client devices gener-
`ally indicated as 308, 310, 312. Intermediate devices such as
`gateways 314, 31 6, 318, routers (not shown), and other such
`types ofnetwork devices may be used to connect network 320
`to networks 322, 324, 326 so that client devices 308, 310, 312
`and exchanges 302, 304, 306 can communicate.
`
`30
`
`35
`
`40
`
`45
`
`50
`
`55
`
`60
`
`65
`
`

`
`US 7,783,556 B1
`
`5
`
`B. Gateway
`In one embodiment, gateways 314, 316, 318 function as
`portals to a particular electronic exchange. Gateways 314,
`316, 318 may include any computing device such as a main-
`frame, super minicomputer, minicomputer, workstation, or
`personal computerthat connect network 320 to networks 322,
`324, 326 so that market information may be successfully
`passed between client devices 308, 310, 312 and exchanges
`302,304,306.
`According to one aspect, gateways 314, 316, 318 prefer-
`ably receive market data from exchanges 302, 304, 306 and
`convert it to a form compatible with the protocols used by
`client devices 308, 310, 312 using conversion techniques
`known in the art. Also, as known by those skilled in the art,
`gateways 314, 316, 318 may have one or more servers to
`support the data feeds, such as a price server for processing
`price information, an order server for processing order infor-
`mation, and a fill server for processing fill information. A
`trader at one of client devices 308, 310, 312 can preferably
`subscribe to price information, order infomiation, and [ill
`information for a particular electronic market hosted at
`exchanges 302, 304, 306. According to another aspect, gate-
`ways 314, 316, 318 preferably receive transaction infonna-
`tion, such as orders, order changes, queries, etc. from client
`devices 308, 310, 312 and forward that information to corre-
`sponding exchanges 302, 304, 306.
`In another embodiment, client devices 308, 310, 31 2 might
`connect to electronic exchanges 302, 304, 306 without the
`need for protocol translation. For instance, a client device
`might have computer software that recognizes a particular
`exchange’s protocol, and therefore, may have a direct con-
`nection to the electronic exchange.
`It is fiirther understood that gateways or similar types of
`computer-based devices may be used as points of access.
`Accordingly, client devices 308, 310, 312 may access an
`electronic exchange through a gateway, especially ifthe gate-
`way(s) is used as a point of access in a network and/or at an
`electronic exchange.
`C. Client Device
`In one embodiment, client devices 308, 310, 312 function
`as an interface to trade at one or more electronic exchanges
`302, 304, 306. Itxamples of client devices include a personal
`computer,
`laptop computer, hand-held computer, and so
`forth. Client devices 308, 310, 312, according to one aspect of
`the preferred embodiments, include at least a display, proces-
`sor and memory. The processor and memory, which are both
`Well-known computer components, are not shown in the Fig-
`ure for sake of clarity.
`It is understood that a display includes any visual output
`device of a client device. For sake of illustration to the reader
`only, examples include a CRT-based display, LCD-based dis-
`play, a gas plasma-based display, or any other type of display
`device. For instance, the display device might be physically
`set on a desk top for a user to view, projected on a wall by a
`projector, or head mounted in special goggles.
`It is further understoodthat a processor includes any device
`that, among other things, interprets and executes instructions.
`In other words, the processor functions as the “brains” of the
`computer device. Processor may also encompass any compo-
`nents that make up the computers main console to perform the
`functions described herein.
`
`It is further understood that memory includes a device
`Where information can be stored (temporarily or otherwise)
`on any computer readable medium and retrieved. The term
`computer readable medium, as used herein, refers to any
`medium that participates in providing instructions to proces-
`sor for execution. Such a medium may take many forms,
`
`l0
`
`15
`
`25
`
`30
`
`35
`
`40
`
`45
`
`50
`
`55
`
`60
`
`65
`
`6
`including but not limited to, non-volatile media, volatile
`media, and transmission media. Non-volatile media includes,
`for example, optical or magnetic disks, such as storage
`device. Volatile media includes dynamic memory, such as
`main memory or RAM (sometimes referred to as “random
`access memory”). Common forms of computer-readable
`media include, for example, a floppy disk, a flexible disk, hard
`disk, magnetic tape, or any other magnetic medium, a CD-
`ROM, any other optical medium, punch cards, paper tape, any
`other physical medium with patterns of holes, a RAM, a
`PROM, and EPROM, a FLASH-EPROM, and any other
`memory chip or cartridge, or any other medium from which a
`computer can read.
`In one embodiment, depending on what tradeable objects
`are being traded, each of client devices 308, 310, 312 receive
`market information from one or more electronic markets
`
`hosted at any of electronic exchanges 302, 304, 306. Accord-
`ingly, market information is displayed to the trader(s) in a
`trading screen, in accordance with the preferred embodi-
`ments, on a visual output device or display device. A trader
`may also receive news to aid him in analyzing information
`received from the exchange.
`Upon viewing the market information or a portion thereof,
`a trader may wish to send orders to an exchange, cancel orders
`in a market, change orders in a market, query an exchange,
`and so on. To do so, the trader may input various commands
`or signals into the client device 304, for example, by using one
`or more conventional means for inputting infonnation such as
`typing into a keyboard,
`inputting commands through a
`mouse, or inputting commands or signals through some other
`input device.
`Upon receiving one or more commands or signals, client
`devices 308, 310, 312 preferably generate transaction infor-
`mation. In addition to or in place of manual entry, a trader
`might use automated trading software that automatically or
`semi-automatically generates transaction information. Of
`course, there are many different types of messages and/or
`order types that can be submitted to an electronic exchange,
`all of which may be considered various types of transaction
`information. Once generated, for instance, transaction infor-
`mation is sent from client device 308 to exchange 302 over
`network(s) 320 and 322.
`
`III. System Function and Operation
`
`As will be appreciated by one of ordinary skill in the art,
`various aspects of the preferred embodiments may be oper-
`ated in an entirely software embodiment, in an entirely hard-
`ware embodiment, or m a combination thereof. In the interest
`of clarity, the preferred embodiments are described in a soft-
`ware embodiment based on a C or C++ language, or any other
`suitable programming language, which is executed on a com-
`puter device. As such, the preferred embodiments take the
`form of a computer program product that is stored on a com-
`puter readable medium and is executed by a suitable instruc-
`tion execution system or processor in the computer device.
`lixamples of computer readable medium were provided
`above.
`
`It is understood that the description contained herein is
`considered as illustrative only of the various aspects of the
`preferred embodiments. Further, since numerous modifica-
`tions and changes will readily occur to those skilled in the art,
`it is not desired to limit the present invention to the construc-
`tion and operation shown and described, and accordingly, all
`suitable modifications and equivalents may be resorted to.
`In one embodiment, the system and method of the pre-
`ferred embodiments may be operated at a client device. For
`
`

`
`US 7,783,556 B1
`
`7
`instance, referring to FIG. 3, one of, some of, or all of client
`devices 308, 310, 312 may rtm program software to imple-
`ment the various functions described herein. As shown in
`
`FIG. 3, each client dwice 308, 310, 312 is electronically
`linked to each of electronic exchanges 302, 304, 306 through
`gateways 314, 316, 318 to receive a data feed. Preferably,
`each client device 308, 310, 312 may receive data feeds from
`multiple electronic exchanges. A client device may use the
`data feed to generate derivative of price values.
`In another embodiment, the system and method of the
`preferred embodiments may be operated at other computing
`devices besides client devices 308, 310, 312. For instance,
`referring again to FIG. 3, any of gateways 314, 316, 318 may
`nm program software to implement the functions described
`herein. Each gateway 314, 316, 318 is electronically linked to
`electronic exchanges 302, 304, 306 to receive one or more
`data feeds. A gateway may generate derivative ofprice values
`for display and disseminate the values across one or more
`networks to client devices 308, 310, 312. In addition, gate-
`ways (not shown in FIG. 3) might be used to electronically
`interconnect communication between exchanges 302, 304,
`306. Other types of computer devices like gateways may be
`used to run the program software to implement aspects of the
`preferred embodiments.
`In yet another embodiment, the system and method of the
`preferred embodiments may be operated by other computing
`devices at an electronic exchange. According to this embodi-
`ment, an electronic exchange could provide one or more
`various data feeds that include market information corre-
`sponding to a price derivative. For instance, referring again to
`FIG. 3, any of electronic exchanges 302, 304, 306 may run
`program software to implement the functions described
`herein. One or more data feeds with derivative of price values
`may be disseminated from an electronic exchange to gate-
`ways 314, 316, 318 and/or client devices 308, 310, 312.
`FIG. 4 shows a flow diagram for illustrating an example
`method of operation, and more specifically shows the func-
`tionality and operation of a possible implementation of the
`preferred embodiments. In this regard, each block may rep-
`resent a module, segment, or portion of code, which includes
`one or more executable instructions for implementing spe-
`cific logical functions or steps in the process. Alternate imple-
`mentations are included within the scope of the preferred
`embodiment of the present invention in which functions may
`be executed out oforder from that shown or discussed, includ-
`ing substantially concurrently or in reverse order, depending
`on the functionality involved, as would be understood by
`those reasonable skilled in the art of the present invention.
`In the interest ofclarity, net change will be used to describe
`the flow diagram of FIG. 4, with the understanding that there
`are numerous other price derivatives. As used herein, net
`change represents a difference in value(s) between two points
`in time. Examples of other price derivatives include yield,
`profit/loss (P&L), volatility and momentum, just to name a
`few, and are described later in the application. It is understood
`that net change may also include the net change of price,
`yield, P&L, volatility, momentum, or a change in any other
`measurement.
`
`Turning to FIG. 4, various signals may be input into value
`axis generator 402. The various signals may depend on the
`actual price derivative. With respect to net change, reference
`point 404 represents one or more values at an earlier point in
`time. Current point 406 represents one or more values at the
`current time (or some other designated time that occurs after
`reference point 404). Value axis generator 402 receives the
`inputs at each point in time and computes the price derivative
`values based on some predefined relationship or formula,
`
`l0
`
`15
`
`25
`
`30
`
`35
`
`40
`
`45
`
`50
`
`55
`
`60
`
`65
`
`8
`which in this instance, is the change in values at reference
`point 404 and current point 406. Then, value axis generator
`402 generates an axis of values, which may be subsequently
`used and updated in graphical display window 408. The axis
`may also be displayed. An example relationship for net
`change is provided to the reader in the examples section of
`this application.
`It is understood that ifthe price derivative is displayed, the
`price derivative values may be represented in numerical form
`and/or graphical form. If they are represented in graphical
`form, then shapes, colors, or any other graphic may be used in
`addition to the number values or in place ofthe number values
`to represent the various price derivative values. For instance,
`ifprofit and loss (P&L) was the price derivative, then the color
`green might be used to represent a positive P&L whereas the
`color red might be used to represent a negative P&L.
`In one aspect, a data feed is received from an electronic
`exchange as described above. Information pertaining to the
`value type is parsed out ofthe data feed by value axis genera-
`tor 402 and held. The information might be held in buffer
`storage or on some other computer readable medium. The
`length oftime that the information is heldmost likely depends
`on the time difference between reference point 404 and cur-
`rent point 406. For instance, ifthe time difference is one-hour,
`then the relevant infomiation is preferably held for approxi-
`mately one-hour.
`In another aspect, a data feed is received from another
`software application. According to this aspect, information
`from another software application such as a computer-based
`spreadsheet or an automated trading tool, for instance, may
`generate values based on various pieces of market infom1a-
`tion received from an exchange and some user defined algo-
`rithm. Accordingly, the information received from the soft-
`ware application pertaining to the value type may be parsed
`and held, similarly to the way information is received from an
`electronic exchange.
`In one embodiment, the trader can set parameters that are
`used in determining the price derivative through a graphical
`user interface. FIG. 5 shows an example embodiment of a
`graphical user
`interface. Graphical user
`interface 500
`(“GUI”) is a visual environment that preferably represents
`options with graphical images, such as icons, menus, and
`dialog boxes on a screen. The user may select and activate
`these options by pointing and clicking with a mouse, selecting
`them with a keyboard, or by setting them with some other
`input device. It is also possible to set such parameters through
`something other than a graphical user interface, such as
`through command-line entry, which is not shown in