`Kemp, II et al.
`
`(10) Patent No.:
`( 45) Date of Patent:
`
`US 6,766,304 B2
`Jul. 20, 2004
`
`111111111111111111111111111111111111111111111111111111111111111111111111111
`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 al.
`8/1998 Patterson, Jr. et al.
`
`(75)
`
`Inventors: Gary Allan Kemp, II, Winnetka, IL
`(US); Jens-Uwe Schluetter, Evanston,
`IL (US); Harris Brumfield, Chicago,
`IL (US)
`
`(73) Assignee: Trading Technologies International,
`Inc., Chicago, IL (US)
`
`( *) Notice:
`
`Subject to any disclaimer, the term of this
`patent is extended or adjusted under 35
`U .S.C. 154(b) by 544 days.
`
`(21) Appl. No.: 09/894,637
`
`(22)
`
`Filed:
`
`Jun. 27, 2001
`
`(65)
`
`Prior Publication Data
`
`US 2002/0059129 A1 May 16, 2002
`
`Related U.S. Application Data
`
`(62)
`
`(60)
`
`Division of application No. 09/590,692, filed on Jun. 9,
`2000.
`Provisional application No. 60/186,322, filed on Mar. 2,
`2000.
`
`Int. Cl? ................................................ 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
`
`U.S. PATENT DOCUMENTS
`
`4,674,044 A
`4,750,135 A
`5,038,284 A
`5,077,665 A
`5,136,501 A
`5,270,922 A
`5,297,031 A
`5,297,032 A
`5,689,651 A
`
`............. 364/408
`6/1987 Kalmus et al.
`6/ 1988 Boilen .. ........... ... ........ 364/514
`8/ 1991 Kramer
`12/1991 Silverman et al. .......... 364/408
`8/1992 Silverman et al. .......... 364/408
`12/1993 Higgins ...................... 364/408
`3/ 1994 Gutterman et al.
`3/1994 Trojan et al.
`11/1997 Lozman
`
`(List continued on next page.)
`
`FOREIGN PATENT DOCUMENTS
`wo 98/49639
`wo 99/19821
`wo 99/30259
`wo 99/53424
`wo 00/52619
`wo 00/62187
`wo 00/65510
`wo 01/16830
`wo 01/16852
`wo 01/22315
`wo 01/88808
`
`11/1998
`4/1999
`6/1999
`10/1999
`9/2000
`10/2000
`11/2000
`3/2001
`3/2001
`3/2001
`11/2001
`
`OTHER PUBLICXfiONS
`
`wo
`wo
`wo
`wo
`wo
`wo
`wo
`wo
`wo
`wo
`wo
`
`Patsystems News Release, Patsystems Launches 1 Trader,
`Nov. 6, 2001.*
`www.tradingtechnologies.com/products/xtrade _ full.html
`(viewed May 22, 2001) <Jun. 9, 2000.
`Kharouf, A trading room with a view, Fututes, 27, 11-Nov.
`1998.
`USPTO Presentation, NASDAQ, Nov. 8, 2001, enclosed pp.
`1-13.
`
`Primary Examiner-Richard Weisberger
`(74) Attorney, Agent, or Firm-Foley & Lardner
`
`(57)
`
`ABSTRACT
`
`A method and system for reducing the time it takes for a
`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(cid:173)
`tion ensure fast and accurate execution of trades by display(cid:173)
`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
`quickly and efficiently.
`
`40 Claims, 6 Drawing Sheets
`
`Elll::ll0
`SYCOMFGBLDEC99
`EfW
`10:46:44 BidQ AskQ Pre LTQ
`10----- ====~ 104
`a-::::-
`11----- =720
`24
`98
`33
`97
`2-----=~ 11596
`i10TIH
`. -
`13----- =
`0
`95
`32
`4· ~~~~27+~~~1
`007 ~ 024
`~07
`1015....-=- x l 1o
`
`99
`
`1K1 sH
`CLA
`
`26
`
`91
`
`90
`17 lv
`20
`10
`1016 _.--- -
`1
`M ~~~1~8r-+.B~9~
`7 / ~~~--.:---: ~+.:~: --11
`V ~ f===-f--:4;;;-3 ~+.B:::-16 --II
`~~ ,NETREALI-;1 ;;:-10 ~+.8:::-15 --II
`h2;o3 r-+.6,.-14 --11
`g/ =---
`
`1002
`
`1003 10041005 1006
`
`Page 1 of 22
`
`TRADING TECH EXHIBIT 2111
`TRADESTATION ET AL. v. TRADING TECH
` CBM2016-00051
`
`
`
`US 6,766,304 B2
`Page 2
`
`U.S. 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 al.
`12/1998 Lupien et al.
`6/1999 Patterson, Jr. et al.
`7/ 1999 Silverman et al.
`7/1999 Silverman et al. ............ 705/37
`10/1999 Garber ........................ 705/37
`1/2000 Lupien et al.
`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
`* cited by examiner
`
`10/2000 Luke et al.
`10/2000 Belzberg
`2/2001 Martyn et al.
`8/2001 Garcia
`8/2001 Korhammer et al.
`8/2001 Howorka
`6/2002 Buist
`2/2002 Fritsch et al.
`5!2002 Williams
`
`Page 2 of 22
`
`
`
`U.S. Patent
`
`Jul. 20, 2004
`
`Sheet 1 of 6
`
`US 6,766,304 B2
`
`FIG. 1
`
`CONNECTION TO MULTIPLE EXCHANGES
`
`HOSTEXCHANGE
`HOSTEXCHANGE
`B FACILITIES
`102--.
`A FACILITIES
`101 ~-.
`':~-------------------------,
`':···-----------------------~\
`
`103~, .
`
`HOST EXCHANGE
`C FACILITIES
`'7--------------------------~,
`
`HOST EXCHANGE
`
`I
`I
`I
`I
`I
`I
`
`HOST EXCHANGE B :
`' I
`'
`
`I
`
`HOST EXCHANGE
`
`', _____________ ------------~'
`
`'------------- ____________ ,'
`~------------ _____________ ,,
`.-------------- --------------------------------- -------M-EM-BEFfFiRM-----------
`----------- -~,
`104 \c:::Jo
`105 \c:::Jo
`FACILITIES
`1 06\cJo
`ROUTER
`ROUTER
`ROUTER
`
`109
`108
`107
`,~------~------------------------~----------------------------~------,
`{
`GAT
`Y
`GATEWAY
`GATEWAY
`':
`
`I
`
`I
`
`I
`
`:
`
`I
`
`' I
`' '
`
`CLIENT CLIENT
`110
`111
`
`CLIENT CLIENT
`112
`113
`
`CLIENT
`114
`
`CLIENT CLIENT
`115
`116
`
`~-------------------------------------------------------~---------------------------------- - ------~'
`
`Page 3 of 22
`
`
`
`FIG. 2
`
`0 •
`00
`•
`
`205
`204
`203
`202
`201
`1
`)
`)
`)
`)
`Contract Depth BidQ~ Bid Pre Ask Pre AskQty Last Pre LastQty Total
`1--~ COHO
`•
`
`7627
`
`489
`
`8230
`
`785
`
`7626
`
`7627
`
`21
`
`2--~
`3--~
`4--r---
`5--~
`
`626
`500
`500
`200
`
`7625
`7624
`7623
`7622
`
`815
`7629
`600
`7630
`7631 2456
`7632 800
`
`Page 4 of 22
`
`
`
`U.S. Patent
`
`Jul. 20, 2004
`
`Sheet 3 of 6
`
`US 6,766,304 B2
`
`FIG. 3
`
`1009
`101 0
`
`
`
`1 101
`
`2
`101
`101
`3
`101 4,--
`
`10 071
`
`/
`
`1015
`101 6
`
`10 081
`
`----- X
`
`-
`
`10
`
`lv
`
`17
`8 0
`CXL
`w 15
`/~ []
`B 0
`w 13/
`V NETO
`c-
`1017
`~
`~
`101 8~
`8 0
`w 17
`NET REAL
`J
`~
`101 9~
`
`23
`l!
`~ 31
`1021 ~
`125
`
`EJ[Cj]!K]
`
`BidQ AskQ Pre LTQ
`104
`99
`
`SYCOM FGBL DEC99
`J 10:48:44
`E/W
`L
`3
`5
`
`-- R
`-
`
`720
`
`X
`
`10
`
`0
`
`;-....
`
`10
`1H
`~ 50
`3H
`s 0
`w 24
`5H
`1K
`s 0
`V CLR
`w 7
`
`/
`
`24
`
`33
`115
`
`32
`27
`
`63
`45
`
`28
`
`20
`
`98
`
`97
`96
`
`95
`94
`
`93
`
`92
`
`91
`90
`
`89
`
`88
`
`87
`
`86
`85
`
`84
`
`83
`
`82
`
`81
`
`10 (
`
`1020
`
`18
`
`97
`30
`
`43
`
`110
`
`21
`
`y
`1 001
`
`y
`
`1 002
`
`-y y - -y-- -y -
`1 003 1 004 1 005 1 006
`
`Page 5 of 22
`
`
`
`U.S. Patent
`
`Jul. 20, 2004
`
`Sheet 4 of 6
`
`US 6,766,304 B2
`
`E][Cj][R]
`
`BidQ AskQ Pre LTQ
`
`FIG. 4
`SYCOM FGBL DEC99
`10:48:44
`L
`3
`R
`5
`
`E/W
`
`720
`
`X
`
`10
`
`0
`
`10
`50
`
`1H
`3H
`1K
`5H
`CLR
`
`X
`
`10
`jv
`
`17
`CXL
`[!][]
`NETO
`
`NET REAL
`
`s 10
`w 14
`
`B 0
`w 15
`B 0
`w 13
`
`8 0
`w 17
`
`43
`
`125
`97
`18
`
`97
`
`30
`
`43
`
`110
`
`23
`
`31
`
`125
`
`21
`
`1101
`
`10 ~
`
`104
`
`24
`
`33
`115
`
`32
`27
`
`63
`
`99
`
`98
`
`97
`96
`
`95
`94
`
`93
`92
`
`91
`90
`
`89
`
`88
`
`87
`
`86
`
`85
`
`84
`
`83
`
`82
`
`81
`
`Page 6 of 22
`
`
`
`U.S. Patent
`
`Jul. 20, 2004
`
`Sheet 5 of 6
`
`US 6,766,304 B2
`
`FIG. 5
`SYCOM FGBL DEC99
`E][bj][8J
`10:48:44
`BidQ AskQ Pre LTQ
`E/W
`vl
`3
`-----
`1206
`~ vR
`5
`-----
`1205
`~
`720
`
`104
`
`24
`
`33
`
`99
`
`98
`
`97
`
`X
`
`10
`0
`
`10
`1H
`50
`3H
`1K
`5H
`CLR
`X
`/17
`CXL
`
`NETO
`
`s 0
`w 24
`s 0
`W7
`
`1204
`
`~ B 0
`
`..-
`
`10
`jv
`w 15 CBD
`B 0
`w 13
`
`10
`
`115
`
`32
`
`27
`
`63
`
`45
`
`28
`
`20
`
`96
`
`95
`
`94
`
`93
`
`92
`
`91
`
`90
`
`89
`
`88
`
`87
`
`86
`
`85
`
`84
`
`83
`
`82
`
`18
`
`97
`
`30
`
`43
`
`110
`
`23
`
`31
`
`125
`
`B 0
`w 17
`
`NET REAL
`
`21
`81
`\.__~ ~ 1208
`
`Page 7 of 22
`
`
`
`FIG. 6
`
`1315
`
`END
`SEND BUY ORDER TO
`MARKET FOR PREDEFINED
`QUANTITY AT THE PRICE
`OF THE ROW CLICKED
`
`ALL QUANTITIES IN
`THE MARKET FOR
`PRICES BETTER
`THAN OR EQUAL TO
`THE PRICE IN THE~
`ROW CLICKED
`
`1310
`QUANTI OF
`ORDER= VALUE
`IN L FIELD
`
`1309
`
`QUANTITY OF
`ORDER= VALUE
`IN R FIELD
`
`BidQ
`
`1311
`
`QUANTITY OF NUMBER
`>-t----+----1 ORDER=
`CURRENT
`QUANTITY
`
`START
`
`TRADER HAS MARKET
`DISPLAYED ON HIS
`COMPUTER SCREEN
`
`0 •
`00.
`•
`
`1301
`
`1302
`
`1303
`
`AskQ
`
`1314
`
`SEND SELL ORDER TO
`MARKET FOR DEFINED
`QUANTITY AT THE PRICE
`OF THE ROW CLICKED
`
`END
`
`1312
`
`NetPos
`
`QUANTITY
`OF ORDER=
`CURRENT NetPos
`
`NO ORDER SENT (MAY
`ADJUST QUANTITIES OR
`OTHER RESTRICTIONS
`DEPENDING ON CELL
`SELECTED)
`END
`
`TRADING WITH MERCURY
`
`Page 8 of 22
`
`
`
`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 5
`60/186,322, filed Mar. 2, 2000.
`
`2
`screens varies according to the specific software application
`being run. The installation of open interfaces in the devel(cid:173)
`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.
`10 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
`15 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
`20 to trade can receive this information if the exchange pro(cid:173)
`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.
`25 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
`30 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
`35 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,
`40 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(cid:173)
`tage during the slowest portion of the trading cycle-while
`the trader manually enters his order. Traders recognize that
`45 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-
`50 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
`55 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
`60 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
`65 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.
`
`PRIORITY
`
`The present application claims priority to a U.S. Provi(cid:173)
`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(cid:173)
`tronic trading in varying degrees to trade stocks, bonds,
`futures, options and other products. These electronic
`exchanges are based on three components: mainframe com(cid:173)
`puters (host), communications servers, and the exchange
`participants' computers (client). The host forms the elec(cid:173)
`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(cid:173)
`rupted online contact to quote vendors and other price
`information systems.
`Traders can link to the host through three types of
`structures: high speed data lines, high speed communica(cid:173)
`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(cid:173)
`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
`
`Page 9 of 22
`
`
`
`3
`SUMMARY OF THE INVENTION
`
`US 6,766,304 B2
`
`BRIEF DESCRIPTION OF THE DRAWINGS
`
`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(cid:173)
`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(cid:173)
`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(cid:173)
`tion. It should be understood, however, that the detailed
`description and specific examples, while indicating pre(cid:173)
`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.
`
`4
`In the preferred embodiment, the present invention is
`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
`5 and transmit market, commodity, and trading order infor(cid:173)
`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
`10 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
`15 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
`20 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
`25 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
`30 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
`35 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
`40 anywhere in the network, for example, at the gateway server,
`FIG. 1 illustrates the network connections between mul(cid:173)
`at the individual workstations or at both. In addition, the
`tiple exchanges and client sites;
`storage at gateway servers and at the client workstations,
`and/or other external storage cache historical data such as
`FIG. 2 illustrates screen display showing the inside mar(cid:173)
`order books which list the client's active orders in the
`ket and the market depth of a given commodity being traded;
`FIG. 3 illustrates the Mercury display of the present 45 market; that is, those orders that have neither been filled nor
`cancelled. Information from different exchanges can be
`invention;
`displayed at one or in multiple windows at the client
`FIG. 4 illustrates the Mercury display at a later time
`workstation. Accordingly, 'while reference is made through
`showing the movement of values when compared to FIG. 3;
`the remainder of the specification to a single exchange to
`FIG. 5 illustrates a Mercury display with parameters set in
`which a trading terminal is connected, the scope of the
`order to exemplify the Mercury trading method; and
`invention includes the ability to trade, in accordance with the
`FIG. 6 is a flowchart illustrating the process for Mercury
`trading methods described herein, in multiple exchanges
`display and trading.
`using a single trading terminal.
`The preferred embodiments of the present invention
`55 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.
`60 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
`
`50
`
`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(cid:173)
`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 65
`increase the likelihood that the trader will be able to execute
`orders at desirable prices and quantities.
`
`Page 10 of 22
`
`
`
`US 6,766,304 B2
`
`5
`algorithms and mapping tables to positions in a theoretical
`grid program or any other comparable mapping technique
`for mapping data to a screen. The physical mapping of such
`information to a screen grid can be done by any technique
`known to those skilled in the art. The present invention is not 5
`limited by the method used to map the data to the screen
`display.
`How far into the market depth the present invention can
`display depends on how much of the market depth the
`exchange provides. Some exchanges supply an infinite mar- 10
`ket depth, while others provide no market depth or only a
`few orders away from the inside market. The user of the
`present invention can also chose how far into the market
`depth to display on his screen. FIG. 2 illustrates a screen
`display of an invention described in a commonly owned
`co-pending application entitled "Click Based Trading with 15
`Market Depth Display" Ser. No. 09/589,751, filed on Jun. 9,
`2000, the contents of which are incorporated herein by
`reference. This display shows the inside market and the
`market depth of a given commodity being traded. Row 1
`represents the "inside market" for the commodity being 20
`traded which is the best (highest) bid price and quantity and
`the best (lowest) ask price and quantity. Rows 2-5 represent
`the "market depth" for the commodity being traded. In the
`preferred embodiment of the present invention, the display
`of market depth (rows 2-5) lists the available next-best bids, 25
`in column 203, and asks, in column 204. The working bid
`and ask quantity for each price level is also displayed in
`columns 202 and 205 respectively (inside market-row 1).
`Prices and quantities for the inside market and market depth
`update dynamically on a real time basis as such information 30
`is relayed from the market.
`In the screen display shown in FIG. 2, the commodity
`(contract) being traded is represented in row 1 by the
`character string "CDHO". The Depth column 208 will
`inform the trader of a status by displaying different colors.
`Yellow indicates that the program application is waiting for
`data. Red indicates that the Market Depth has failed to
`
`35
`
`6
`receive the data from the server and has "timed out." Green
`indicates that the data has just been updated. The other
`column headings in this and all of the other figures, are
`defined as follows . BidQty (Bid Quantity): the quantity for
`each working bid, BidPrc (Bid Price): the price for each
`working bid, AskPrc (Ask Price): the price for each working
`ask, AskQty (Ask Quantity): the quantity for each working
`ask, LastPrc (Last Price): the price for the last bid and ask
`that were matched in the market and LastQty (Last
`Quantity): the quantity added at the last price. Total repre(cid:173)
`sents the total quantity traded of the given commodity.
`
`The configuration of the screen display itself informs the
`user in a more convenient and efficient manner than existing
`systems. Traders gain a significant advantage by seeing the
`market depth because they can see trends in the orders in the
`market. The market depth display shows the trader the
`interest the market has in a given commodity at different
`price levels. If a large amount of bids or asks are in the
`market near the trader's position, he may feel he should sell
`or buy before the inside market reaches the morass of orders.
`A lack of orders above or below the inside market might
`prompt a trader to enter orders near the inside market.
`Without seeing the market depth, no such strategies could be
`utilized. Having the dynamic market depth, including the bid
`and ask quantities and prices of a traded commodity aligned
`with and displayed below the current inside market of the
`commodity conveys the information to the user in a more
`intuitive and easily understandable manner. Trends in the
`trading of, the commodity and other relevant characteristics
`are more easily identifiable by the user through the use of the
`present invention.
`
`Various abbreviations are used in the screen displays, and
`specifically, in the column headings of the screen displays
`reproduced herein. Some abbreviations have been discussed
`above. A list of common abbreviations and their meanings is
`provided in Table 1.
`
`TABLE I
`
`Abbreviations.
`
`COLUMN
`
`DESCRIPTION
`
`COLUMN
`
`DESCRIPTION
`
`Month
`Bid Mbr(1)
`WrkBuys(2)
`
`TheoBid
`Expiration Month/Year
`TheoAsk
`Bid Member ID
`Working Buys for entire Group ID Qact
`
`Bid Quantity
`BidQty
`Threshold Bid Price
`ThrshBid(6)
`BidPrc
`Bid Price
`Bid Qty Accurn Accumulated Bid Quantity
`BidPrc Avg
`Bid Price Average
`
`BQQ
`BQP
`MktBQQ
`Mkt BQP
`Quote
`
`AskPrc Avg
`AskQty Accurn
`AskPrc
`ThrshAsk( 6)
`AskQty
`WrkSells(2)
`Ask Mbr(1)
`NetPos
`FFNetPos
`
`Ask Price Average
`Accumulated Ask Quantity
`Ask Price
`Threshold Ask Price
`Ask Quantity
`Working Sells for entire Group ID
`Ask Member ID
`Net Position
`Fast Fill Net Position
`
`MktAQQ
`MktAQP
`AQP
`AQQ
`Imp BidQty(5)
`Imp BidPrc(5)
`Imp AskQty( 5)
`Imp AskPrc( 5)
`Gamma(3)
`
`LastPrc
`
`Last Price
`
`LastQty
`Total
`
`Last Quantity
`Total Traded Quantity
`
`High
`
`High Price
`
`Delta (3)
`
`Vola (3)
`Vega (3)
`
`Rhop (3)
`
`Theoretical Bid Price
`Theoretical Ask Price
`Quote Action (Sends
`individual quotes)
`Test Bid Quote Quantity
`Test Bid Quote Price
`Market Bid Quote Quantity
`Market Bid Quote Price
`Checkbox activates/
`deactivates contract for quoting
`Market Ask Quote Quantity
`Market Ask Quote Price
`Ask Quote Price
`Ask Quote Quantity
`Implied Bid Quantity
`Implied Bid Price
`Implied Ask Quantity
`Implied 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
`
`Page 11 of 22
`
`
`
`US 6,766,304 B2
`
`7
`
`TABLE I -continued
`
`Abbreviations.
`
`8
`
`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
`
`15
`
`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(cid:173)
`ered counterintuitive and difficult to follow by some traders.
`The Mercury display overcomes this problem in an inno(cid:173)
`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(cid:173)
`cury displays market depth in a logical, vertical fashion or
`horizontally or at some other convenient angle or configu(cid:173)
`ration. A vertical 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(cid:173)
`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 65
`not normally change positions unless a re-centering com(cid:173)
`mand is received (discussed in detail later). The values in the
`
`Bid and Ask columns however, are dynamic; that is, they
`move up and down (in the vertical example) to reflect the
`market depth for the