WO2004070565A2

WO2004070565A2 - System and method for displaying information and using a plurality of profit levels for money management in an alectronic trading environment

Info

Publication number: WO2004070565A2
Application number: PCT/US2004/002843
Authority: WO
Inventors: Michael J. Burns; Robert A. West; Harris Brumfield; Peter F. Ziemkiewicz; Ryan J. Highland
Original assignee: Trading Technologies International, Inc.
Priority date: 2003-01-31
Filing date: 2004-01-30
Publication date: 2004-08-19
Also published as: CA2514787A1; EP1588240A2; WO2004070565A3; CA2514787C; EP1588240A4

Abstract

A system and method for displaying a plurality of profit and risk related indicators are described (404). A graphical interface displays and dynamically updates a plurality of profit/loss (P/L) indicators including a realized, net, and open indicators, (404). The net and open indicators are based on trader's net position and a current market level, (410) while the realized indicator is based on trader's buys and sell associated with tradeable objects (416). In one embodiment, plurality of indicators (404) are displayed in relation to a plurality of money management regions defining a maximum order quantity and a maximum net position controlling the trader's trade. The graphical interface may also display a plurality of potential risk/gain indicators in relation to a realized profit indicator so that a trader before entering an order having a predetermined order quantity.

Description

TITLE: SYSTEM AND METHOD FOR DISPLAYING INFORMATION

AND USING A PLURALITY OF PROFIT LEVELS FOR MONEY

MANAGEMENT IN AN ELECTRONIC TRADING ENVIRONMENT

FIELD OF INVENTION

The present invention is directed towards electronic trading. More specifically, the present invention is directed to tools for controlling trading, assisting a trader in risk analysis, and making profitable trades in an electronic trading environment.

BACKGROUND

Trading methods have evolved from a manually intensive process to a technology enabled, electronic platform. With the advent of electronic trading, a user or trader can be in virtually direct contact with the market, from practically anywhere in the world, performing near real-time transactions, and without the need to make personal contact with a broker.

Electronic trading is generally based on a host exchange, one or more computer networks, and client devices. In general, the host exchange includes one or more centralized computers to form the electronic heart. Its operations typically include order matching, maintaining order books and positions, price information, and managing and updating a database that records such information. The host exchange is also equipped with an external interface that maintains uninterrupted contact to the client devices and possibly other trading-related systems.

Using client devices, market participants or traders link to the host exchange through one or more networks. A network is a group of two or more computers or devices linked together. There are many types of wired and wireless networks such as local area networks and wide area networks. Networks can also be characterized by topology, protocol, and architecture. For example, some market participants may link to the host through a direct connection such as a Tl or ISDN. Some participants may link to the host exchange through direct connections and through other common network components such as high-speed servers, routers, and gateways. The Internet, a well- known collection of networks and gateways, can be used to establish a connection between the client device and the host exchange. There are many different types of networks and combinations of network types known in the art that can link traders to the host exchange.

Regardless of the way in which a connection is established, software running on the client devices allows market participants to log onto one or more exchanges and participate in at least one market. A client device is a computer such as a personal computer, laptop computer, hand-held computer, and so forth that has network access. In general, client devices run software that creates specialized interactive trading screens. Trading screens enable market participants to obtain market quotes, monitor positions, and submit orders to the host. Generally, when an order is submitted to a host exchange, the host checks the conditions associated with the order, for example price and quantity, and prioritizes the order with other orders of the same price. When the order conditions are satisfied in the market, a trade occurs and trade information is then relayed in some fashion to one or more client devices. In fact, the host exchanges typically publish a data feed to the client devices so that the traders can have access to the most current market information.

Market information commonly includes information regarding the inside market and market depth. The inside market is the lowest sell price in the market and the highest buy price in the market at a particular point in time. Market depth refers to quantities available at the inside market and may also refer to quantities available at other prices away from the inside market. The quantity available at a given price level is usually provided by the host exchange in aggregate sums. In other words, a host exchange usually provides the total buy or the total sell quantity available in the market at a particular price level in its data feed. The extent of the market depth available to a trader usually depends on the host exchange. For instance, some host exchanges provide market depth for all price levels, while some provide only quantities associated with the inside market, and others may provide no market depth at all. Additionally, host exchanges can offer other types of market information such as the last traded price (LTP), the last traded quantity (LTQ), and order fill information.

To profit in electronic markets, market participants must be able to assimilate large amounts of data, including market information provided by an exchange, and, accordingly, react quicker than other competing market participants to take advantage of profitable market conditions. Further, because electronic trading offers tools that enable traders to react to the market so much faster than in the traditional pit environment, a trader risks and may lose a lot of money so much quicker. It is therefore desirable to offer tools that can assist a market participant in adapting his or her trading strategy to an electronic marketplace, help the participant to make desirable trades, as well as provide means for money management and risk analysis.

BRIEF DESCRIPTION OF THE DRAWINGS

Example embodiments of the present invention are described herein with reference to the following drawings, in which:

Figure 1 is an example network configuration for a communication system utilized to access one or more exchanges;

Figure 2 is a block diagram illustrating an example money management module according to one embodiment;

Figure 3 is a flow chart illustrating an example method for money management in an electronic trading environment according to one embodiment;

Figure 4 is a block diagram illustrating an example graphical interface for displaying profit/loss ("P/L") information related to a tradeable object;

Figure 5 is a block diagram illustrating an example graphical interface for displaying P/L indicators for working orders associated with a tradeable object;

Figure 6 is a block diagram illustrating an example graphical interface for displaying P/L levels for a plurality of working orders that a trader may enter to exit the trader's position;

Figure 7 illustrates one example embodiment for displaying a plurality of working order indicators in combination with a Net P/L indicator and a Realized P/L indicator. Figure 8 is a block diagram illustrating an example graphical interface for displaying a plurality of potential profit levels determined based on potential market movements;

Figure 9 is a block diagram illustrating an example money management interface for defining filter criteria and filter conditions;

Figure 10 is a block diagram illustrating an example monitoring interface that allows a trader to view market conditions and limitations imposed on each tradeable object or a group of the tradeable objects associated with the created filters;

Figure 11 is a block diagram illustrating an example graphical interface for displaying trader related P/L information and money management filter related data; and

Figure 12 is a block diagram illustrating an example graphical interface using which a trader can configure a plurality of filters for each P/L trigger level;

Figure 13 is a block diagram illustrating an example graphical interface for displaying a money management filter band in combination with P/L indicators and time- based filter indicators.

Figure 14 is a block diagram illustrating an example graphical interface that may be used for verifying and changing filter conditions configured by a trader or a system administrator based on a plurality of drop off loss conditions; and

Figure 15 is a block diagram illustrating an example interface that displays potential profit drop off indicators in relation to a trader's realized profit indicator. DETAILED DESCRIPTION

I. Overview

In one aspect, preferred embodiments provide a graphical user interface that displays and dynamically updates a plurality of profit/loss ("P/L") level indicators including a realized P/L indicator, and one or more P/L indicators that are determined based on the trader's net position and current market conditions, such as the last traded price, the embodiments of which will be described in greater detail below. Because the profit indicators reflect the current market conditions and trader's net position, the trader may view potential profit levels at any time during a trading day and close his position when the market moves in a direction favorable to the trader. Also, using the profit indicators determined based on the trader's net position, the trader can easily control his open positions and take advantage of market movements that he or she would have otherwise missed.

In one embodiment, the plurality of P/L indicators may be displayed in relation to a plurality of money management regions defining money management parameters designed to control trader's trading so that, based on the positions of the P/L indicators, a trader may quickly determine his current as well as potential money management parameters. In addition to P/L indicators, a trader may also view a number of potential risk indicators that may aid a trader in viewing his potential losses or gains before the trader enters any order having a predetermined order quantity. The potential risk or gain indicators may also be displayed in relation to the money management regions so that a trader can quickly determine his potential P/L level as well as a set of money management parameters which will control the trader's trading when a trader enters an order having a predetermined order quantity and when the market moves a predetermined number of ticks up or down, as defined by one or more risk/gain indicators. II. Money Management Overview

The preferred embodiments provide a method and a system that preferably operates as a money management tool by dynamically modifying an order parameter such as an order quantity to prevent or reduce losses or increase trader's profits. That is, it preferably operates as a frader' s conscience or an automatic trading tool that prevents a trader from losing money by restricting certain orders from being sent to the exchange and/or by modifying the orders before they are sent to the exchange. By reducing potential losses that might have been caused by such unchanged orders, a frader or trading house can benefit with increased profits. Additionally, the system can be programmed to dynamically loosen the restrictions set on certain orders when the frader or automatic trading tool is making money. Advantages, including those described directly above, will become readily apparent to one skilled in the art upon reading the description herein.

Generally, according to a preferred embodiment, a frader or some automatic trading tool sends an order to buy or sell a tradeable object to an exchange. Preferably, the system intercepts the order and attempts to match it to one or more specific filters, which have been set by a trader or system administrator. The one or more filters may be based on a plurality of filter criteria such as dynamically computed trader's P/L levels. In one embodiment, a filter criterion may be based on a realized, net, or open P/L level, the embodiments of which will be described below. When a frader enters an order, and one of the trader's P/L levels matches one of the filters, a filter condition corresponding to that filter is applied to the order. The order can match one or more filters, and if there is a conflict between the filters, the most conservative condition may control. This preferred process may result in sending a modified order to the exchange, preventing the order from reaching the exchange, or sending the order to the exchange without any modifications, the embodiments of which will be described further below. III. Hardware and Software Overview

Figure 1 is a block diagram that illusfrates an electronic trading system 100 in accordance with the preferred embodiments. The system 100 includes one or more exchanges 102, 104, 106 and one or more client devices 108, 110, 112. Intermediate devices such as gateways 114, 116, 118, routers, and other such types of client devices may be used to connect network 120 to networks 122, 124, 126 so that client devices 108, 110 and 112 and exchanges 102, 104, and 106 can communicate market information. It should be understood that the present invention is not limited to any particular system configuration. For example, networks 122, 124, and 126, or client devices 108, 110, 112 could connect separately to gateways 114, 116, 118. Of course, there are many other system configurations on which the preferred embodiments may be implemented. A. Host Exchange

Host exchanges 102, 104, and 106 may represent electronic exchanges such as, for example, the London International Financial Futures and Options Exchange ("LIFFE"), the Chicago Board of Trade ("CBOT"), the New York Stock Exchange ("NYSE"), the Chicago Mercantile Exchange ("CME"), the German stock exchange- Exchange Electronic Trading ("Xetra"), or the European Exchange ("Eurex"), or any other exchange, which may include basic to more complex systems that automatically and electronically match incoming orders. These example exchanges and other exchanges are well known in the art. Communication protocols required for connectivity to one of these exchanges are also well known in the art.

Exchanges 102, 104, 106 allow traders to log onto a market to trade tradeable 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 as financial products, which can include, for example, stocks, options, bonds, futures, currency, and warrants, as well as funds, derivatives 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 of other tradeable objects, such as a class of tradeable objects.

An exchange 102, 104, 106 can implement numerous types of order execution algorithms, and sometimes the type of algorithm depends on the tradeable object being fraded. The preferred embodiments may be adapted by one skilled in the art of work with any particular order execution algorithm. Some example order execution algorithms include first-in-first-out and pro rata algorithms. The first-in-first-out (FIFO) algorithm, used for some markets listed with Eurex for example, gives priority to the first person to place an order. The pro rata algorithm, used for some markets listed with LIFFE for example, splits all orders for the same price. The present invention is not limited to any particular type of order execution algorithm.

Regardless of the type of order execution algorithm used, each exchange 102, 104, and 106 preferably provides similar types of information to subscribing devices 108, 110, and 112. Market information may include data that represents the inside market, which is the lowest sell price (best ask) and the highest buy price (best bid) at a particular point in time. Market information may also include market depth. Market depth refers to quantities available at the inside market and can also refer to quantities available at other prices away from the inside market. The quantity available at a given price level is usually provided by the host exchange in aggregate sums. In other words, the exchange usually provides the total buy quantity and the total sell quantity available in the market at a particular price level in its data feed. The extent of the market depth available to a trader usually depends on the exchange. For instance, some exchanges provide market depth for all (or most) price levels, while some provide only quantities associated with the inside market, and others may provide no market depth at all. Additionally, the exchanges 102, 104, 106 can offer other types of market information such as the last fraded price (LTP), the last fraded quantity (LTQ), and order fill information. B. Gateway Gateways 114, 116, 118 are devices such as a mainframe, superminicomputer, minicomputer workstation, microcomputer that connect network 120 to networks 122, 124, 126 so that market information can be successfully passed between client devices 108, 110, 112 and exchanges 102, 104, 106. Gateways 114, 116, 118 preferably receive market information from the exchanges 102, 104, and 106 and convert it to a format compatible with the protocols used by the client devices 108, 110, 112 using conversion techniques known in the art. Also, as known by those skilled in the art, gateways 114, 116, 118 may have one or more servers to support data feeds, such as a price server for processing price information, an order server for processing order information, and a fill server for processing fill information. A frader at one of the client devices 108, 110, 112 can subscribe to price information, order information, and fill information for a particular market hosted at the exchanges 102, 104, and 106. The gateways 114, 116, and 118 also preferably receive transaction information, such as orders, order changes, queries, etc., from the client devices 108, 110, and 112 and forward that information to corresponding exchanges 102, 104, and 106. C. Client Device

The client devices 108, 110, and 112 are devices that provide an interface for traders to trade at one or more markets listed with one, some, or all of the exchanges 102, 104, and 106. Some examples of client devices include a personal computer, laptop computer, handheld computer, and so forth. The client devices 108, 110, and 112, according to one preferred embodiment, include at least a processor and memory. The processor and memory, both well known computer components, are not shown in Figure 1 for sake of clarity. Preferably, the processor has enough processing power to handle and process various types of market information. It should be understood that more market information is received and processed, the more processing power is preferred. However, any present day processor has enough capability to perform at least the most basic part of the present invention.

Memory may include a computer readable medium. The term computer readable medium, as used herein, refers to any medium that participates in providing insfructions to processor for execution. Such a medium may take many forms, including but not limited to, non-volatile media, and transmission media. Non-volatile media includes, for example, optical or magnetic disks, such as a storage device. Volatile media include dynamic memory, such as main memory or random access memory ("RAM"). Common forms of computer-readable media include, for example, a floppy disk, a flexible disk, a hard disk, a magnetic tape, or any other magnetic medium, a CD-ROM, any 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.

The client devices 108, 110, and 112 receive market information from any of the exchanges 102, 104, and 106. According to the preferred embodiments, market information is displayed to the frader(s) on the visual output device or display device of the client devices 108, 110, and 112. The output device can be any type of display. For example, the display could be a CRT-based video display, an LCD-based or a gas plasma-based flat-panel display, a display that shows three-dimensional images, or some other display type. The present invention is not limited to any particular type of display.

Upon viewing the market information or a portion thereof, a frader may wish to send orders to an exchange, cancel orders in a market, query an exchange, and so on. To do so, the frader may input various commands or signals into the client devices 108, 110, and 112, for example, by typing into a keyboard, inputting commands through a mouse, or inputting commands or signals through some other input devices. Upon receiving one or more commands or signals, the client devices 108, 110, and 112 preferably generate fransaction information. For instance, a trader may click a mouse button to initiate an order to buy a tradeable object. Then, fransaction information would include an order to buy a particular quantity of the tradeable object at a particular price. There are many different types of messages and/or order types that can be submitted, all of which may be considered various types of fransaction information. Once generated, fransaction information is sent from the client devices 108, 110, and 112 to the host exchange 102, for example, over the networks 120, 122, 124, and 126. IV. Money Management and Profit-Related Information Figure 2 shows an example overview of the money management application 200, referred hereinafter interchangeably as a money management module. The money management module 200 may be implemented on any type of computing device. In the preferred embodiment, the money management module 200 is implemented on a client device. Alternatively, the money management module 200 may be implemented on any type of computing device.

The money management module 200 preferably includes one or more filters 202. Each filter is made up of certain filter criteria that is preferably set by an individual, such as by a trader himself or by an administrator. For example, the filter criteria may include criteria that are based on the order itself, such as the name of an exchange, a tradeable object, a type of order, e.g., whether the order is a buy or a sell, a range of price levels, or a range of quantities. Additionally, the filter criteria may include criteria that are based on factors other than those related to the order, such as, for example, trader's profit and loss ("P/L") information, last fraded price, last traded quantity, theoretical values, or other variables. In such an embodiment, the money management application 200 may determine filter criteria dynamically based on trader-related data or order data, e.g., order data being sent from a client device to an exchange, or based on order-related data that is received from the exchange in a data feed, data from any outside sources such as employment numbers or interest rates, or any data coming from an exchange such as price information, for example. Dynamic filter criteria may include a trader's net position, profit levels, a total working buy/sell quantity, a total filled buy/sell quantity, or any data that is received from the exchange or outside sources such as any news. Further, the filter criteria may be time-based so that time-based filters may be used in combination with another set of filter conditions. In such an embodiment, if more than one filter applies to the order, the most conservative filter conditions will control order parameters. Alternatively, the time-based filter may suppress other filters for the time period associated with the filter.

As will be described in greater detail below, filter criteria may be based on different types of P/L levels including an open, net, or realized P/L level. Further, for example, filter criteria may be based on any user-configurable equations that may include a plurality of user-configurable factors that are based on data available from an exchange or other sources. It should be understood that many other filter criteria are possible as well, and filter criteria may be user configurable. According to an example embodiment, each filter is associated with one or more filter conditions that may be applied to an incoming order if the order matches the filter criteria. This process, as will be described in greater detail below, may result in sending a modified order to an exchange. For example, a certain condition associated with a filter, when applied to the order, may result in modifying one or more order parameters, such as increasing or decreasing order quantity. Alternatively, an application of a certain filter condition may result in preventing the order from reaching the exchange. Further, alternatively, a filter condition may result in sending the order to the exchange without modifying any of the order parameters. It should be understood that the money management module 200 may enable a frader or a risk administrator to configure filters as well as any filter conditions for each filter via a graphical user interface, the embodiments of which will be discussed in greater detail below. In such an embodiment, the graphical user interface may provide a frader with a list of filters so that when a frader selects one of the filters from the list, a second graphical user interface may be displayed, via which the frader may define any desired filter conditions for that filter. Alternatively, a single interface may be used to enable a trader to select any desired filters and define filter conditions. Further, alternatively, a frader may define filters and/or filter conditions using a spreadsheet application that may be linked to the graphical user interface or money management module 200. In such an embodiment, for example, a filter condition may be in a format of an equation, and a trader may enter the equation or change any variables in the equation using the spreadsheet.

When a trader uses a spreadsheet, it should be understood that any desirable data exchange protocol could be used to embed information from the third party software to the money management module 200 or to the graphical user interface that is used to define filters and filter conditions. For example, when the Microsoft Windows is used as the third party software, Microsoft OLE 2.0 may be used to perform these functions. In such an embodiment, Microsoft OLE 2.0 may be used to provide a link between any filter condition and a cell from a Microsoft EXCEL spreadsheet. Data exchange protocols in general, and linking as well as embedding techniques in particular, are well known to those skilled in the art. It should be understood that when an equation is used to define a filter condition, every time a value of one of the equation variables changes, the spreadsheet application or any other third party software may dynamically calculate a new value for the filter condition associated with the equation. Thus, when an order matches a certain filter associated with such an equation, the money management module 200 may apply the most recently calculated filter conditions provided by the spreadsheet application, for example.

It should be understood that an individual frader can uniquely set filters and filter conditions to suit his or her individual trading risk strategies. In one embodiment, the trader could program the money management filters and conditions in a variety of ways and at any time such as before trading begins or on the fly. Alternatively, a system administrator who oversees a number of traders may set up a number of filters and filter conditions for a group of traders or for individual traders, thus creating a money management program that controls trades of the group of traders. Then, when a frader in that group inputs a new order, the money management module 200 can execute the program by applying the pre-configured filter criteria and filter conditions to the order. Figure 3 is a flow chart illustrating an example method 300 for money management in an electronic trading environment. According to an example embodiment, the money management module 200 may perform the method 300. The example method 300 includes receiving an order at step 302, applying a first filter at step 304, determining if the filter is applicable to the order at step 306, then, if the filter is applicable, applying conditions associated with the filter at step 308, and determining if there are any other filters to be applied to the order at step 310. If there are any other applicable filters, the method 300 includes retrieving the next filter at step 314, and then repeating steps 304, 306, 308, and 310 until there are no more filters that are applicable to the order. If there are no more filters, the method 300 includes, at step 312, processing the order based on the applied conditions.

At step 302, money management module 200 detects a new order being placed by a frader. It should be understood that a trader may input a new order using many different trading applications and interfaces. In one embodiment, a trader may use a commercially available trading application, XJTRADER® from Trading Technologies International, Inc. of Chicago, Illinois, that allows the frader to frade in a system like the one shown in Figure 1. XJTRADER® also provides an electronic trading interface,

referred to as MD Trader™, in which working orders and/or bid and ask quantities are

displayed in association with a static axis of prices. Portions of the X_TRADER® and

the MD Trader™-style display are described in U.S. Patent Application Serial No. 09/590,692, entitled "Click Based Trading With Intuitive Grid Display of Market Depth," filed on June 9, 2000, U.S. Patent Application Serial No. 09/971,087, entitled "Click Based Trading With Intuitive Grid Display of Market Depth and Price Consolidation," filed on October 5, 2001, and U.S. Application Serial No. 10/125,894, entitled "Trading Tools for Electronic Trading," filed on April 19, 2002, the contents of which are incorporated herein by reference. Further, it should be understood that orders may be placed using any automatic trading application as well.

However, the preferred embodiments are not limited to any particular product that allows a frader to input orders and frade in the system like the one shown in Figure 1. Further, it should be understood that the money management module 200 and a trading application may share commonly used information so that, for example, the money management module 200 may have access to any data provided via data feeds from an exchange, such as information related to any fills related to orders submitted by a particular trader, and also to any data entered by a frader via a trading application interface.

When the new order is detected, at step 304, the money management module 200 may access a set of pre-configured filters and then may apply a first filter to the order. It should be understood that a filter may include one or more filter criteria, such as, for example, a frader' s identifier, a name of a predetermined tradable object, a type of the order, e.g., a buy or a sell, or any other trader-related filter criteria such as criteria related to trader's performance, for example. Then, at step 306, the money management module 200 determines if one or more criteria associated with the first filter apply to the received order. It should be understood that a filter may include one or more user configurable criteria. If a filter includes a plurality of filter criteria, the order preferably matches all identified filter criteria for the filter to be applicable.

If the filter applies to the order, at step 308, the money management module 200 applies one or more conditions associated with the filter to the order parameters. For example, the application of a filter condition to an order may result in decrementing or incrementing the quantity associated with the order when the order is submitted to the exchange. If the money management module 200 determines that the first filter does not apply to the order, the method 300 continues at step 310, and the money management module 200 determines if there are more filters to be applied to the order. If there are any other filters, at step 314, the money management module 200 selects a next filter from the list of filters, and the method 300 continues at steps 304, 306, 308, and 310. It should be understood that if two or more filters are associated with the same condition imposing different restrictions, such as, for example, decreasing order quantities to two different values, the most conservative (the lowest) order quantity associated with the filter criteria could be used to modify the quantity in the original order. Alternatively, a trader or system administrator may configure filter conflict rules that may be used by the money management module 200 to determine which filter condition, if any, should be applied to the order.

Referring back to step 310, if there are no more filters applicable to the order, at step 312, the money management module 200 applies conditions imposed by the filter(s) to parameters associated with the order. Once the money management module 200 applies the filters to the incoming order, the order may be sent to the exchange. As illustrated in Figure 3, at block 312, sending the order to the exchange may involve sending the original order with no conditions, e.g., the original order with its non- modified order parameters, or sending the original order with conditions, e.g., the original order having one or more of its order parameters modified based on the conditions of the applicable filter(s). Further, alternatively, the application of filter conditions may result in not sending the order to the exchange, e.g., effectively preventing the order from reaching the exchange. If the order is rejected because one of the money management filter conditions prevents the order from being sent to the exchange, a message may be displayed for a frader so that a trader is aware that the order was not sent to the exchange. Alternatively, a message may also be displayed to inform a frader of any order modifications such as order quantity modifications, for example. In addition to its money management functionality, the money management module 200 may also determine and display to a frader via one or more graphical interfaces, in combination with or separately from the money management filters, one or more P/L level indicators that may allow a trader to view his/her profit information at any time during a trading day and that may assist a trader in making profitable trades. The next few figures, Figures 4, 5, 6, 7 and 8 illustrate example graphical interfaces that display profit related indicators associated with a plurality of profit levels. Then, Figures 9, 10 and 12 illustrate example graphical interfaces that enable a frader to configure and view filters and filter conditions that may be used for automatic money management. Figures 11 and 13 displays an example graphical interface that may be used to display money management filters and profit indicators. Then, Figures 14 and 15 are example graphical interfaces that display potential loss drop-off indicators that may be used to verify filter configurations and to assist a frader in making new trades and his/her trading strategy. However, it should be understood that the graphical representations of profit related information as well as filters and filter conditions given below are only examples, and those skilled in the art will recognize that modification or changes within the scope of the present invention may be made without departing from the spirit thereof. Also, it should be understood that the present invention is not limited to the number of filters or filter conditions presented in each figure, nor is it limited to the example layouts, and the money management interface as well as profit indicators may be configured in a variety of different ways based on user preferences.

As will be illustrated in reference to the subsequent figures, a graphical interface may display to a trader a plurality of P/L indicators that may assist a frader in maldng profitable trades as well as allow a trader to view his current as well as potential P/L levels at any time during a trading day. More specifically, the P/L indicators include indicators corresponding to realized, net, and open P/L levels, the methods of calculating each of them will be described hereinafter. The realized P/L level is based on a difference between the total sell price and the total buy price associated with trader's trades related to a tradeable object. Therefore, the realized P/L level may be calculated using the following formula:

Realized P/L = Sells - Buys EQN (l)

In one embodiment, the Realized P/L is calculated when the trader's net position is zero such as, for example, when a frader buys 30 lots first and then sells 30 lots. Alternatively, the Realized P/L could be determined when a trader's net position crosses zero. In such an embodiment, for example, when a frader initially buys 30 lots at 100, and then sells 50 lots at 101, the Realized P/L may be determined based on 30 buys at 100 and 30 sells at 101, leaving the net position of 20. Further, alternatively, the Realized P/L may be determined by mapping each new fill to one of the quantities associated with the net position. For example, if the net position is 30, and a new fill of 2 associated with a sell order is detected, the quantity of 2 may be matched with one of the buy order quantities that got filled to establish the net position of 30, thus creating a new net position of 28. It should be understood that matching of the orders may be done in any manner. For example, if a frader entered a plurality of buy orders to establish the position of 30, the sell order quantity may be matched with a buy order quantity and price associated with the first buy order. Alternatively, the sell quantity may be matched with a buy order quantity and price associated with the last buy order that was entered to create the net position of 30. Further, alternatively, an average buy price may be calculated for all buy orders, and the average price of all orders may be used as a basis for determining the Realized P/L. It should be understood that a user could also define how and when the Realized P/L is calculated. According to an example embodiment, the Realized P/L level may be dynamically updated based on market updates being received from one or more exchanges so that the Realized P/L level may be updated every time one of the conditions described above is detected.

Next, the net profit level may be determined when the trader's net position is nonzero, such as when the trader holds a position on the market. Therefore, the net profit level is determined based on the trader's net position and the current market conditions, such as the last traded price being received from the exchange. Preferably, the net position is calculated based on the buy and sell orders that have been filled excluding working orders, which may be used for risk analysis, as will be described below. It should be understood that when the trader's net position or the last traded price changes, the net P/L level is dynamically recalculated to reflect each change.

The net profit level may be calculated using the following formula: Net P L= (Sells-Buys) + (Net Position x Market Price) EQN(2)

Referring to EQN(2), the first factor "(Sells - Buys)" corresponds to the cost of every buy and sell that a frader has made, and the second factor "(Net Position x Market Price)" is an adjustment factor as if the trader was to trade out of his open positions in the current market, such as based on the last fraded price corresponding to a predetermined tradeable object. Therefore, using the net P/L, the trader can easily determine the profit or loss that the trader would incur if he/she were to close the pending positions at the last traded price. Therefore, referring to the example given above of the 30 buys at 100, and then 50 sells at 101, and using EQN(2), the Net P/L would be 30, i.e., (5050-3000) + (-20 x 101) = 2050 - 2020, which is 30. It should be understood, however, that other prices other than the last fraded price could also be used to reflect the current market conditions. For example, a bid/ask price at the inside market could be used in place of the last fraded price so that when a trader's net position is negative, the bid price at the inside market is used, and when a trader's position is positive, the ask price at the inside market is used instead. It should be understood that different or equivalent prices could also be used.

The Net P/L may be used as a factor in any other equations to calculate different types of P/Ls. For example, the Open P/L could be calculated by subtracting the Realized P/L from the Net P/L. The Open P/L level may be calculated using the following formula:

Open P/L = Net P/L - Realized P/L EQN (3)

Using the Open P/L, the trader can easily view the risk that the trader is taking by keeping his positions opened at the current market level. Referring to the example above, at the time when the trader initially gets into the position of -20 by selling 50 contracts at 101 while having the open position of 30 that he/she entered at 100, the Open P/L is zero as there has been no market movement since the frader entered into the position of -20, i.e., sold 50 lots at 101. However, once the market moves and reaches the last fraded price of 100, for example, the market move is favorable to the frader since the trader has the open position of -20 that he entered by selling at 101. Therefore, the Net P/L is 50 [(5050-3000)+(-20 x 100)], and the Open P/L is 20 (50-30), indicating that the frader is making money in the current market, and would realize the P/L of 50 if he were to close at the current market level of 100, causing the Net P/L value to be added to the Realized P/L. It should be understood that the formulas in EQNs (1) and (2) are only examples, and different formulas could also be used. For example, any market fees and fransaction costs can be subtracted from the Realized P/L in EQN (1). Figure 4 is a block diagram illustrating an example graphical interface 400 for displaying P/L information related to a tradeable object being traded by a trader at one or more electronic exchanges.

As illustrated in Figure 4, the interface 400 displays a number of graphical and numerical indicators corresponding to the Realized P/L and Net P/L levels. More specifically, graphical indicators 424 and 426 correspond to the Realized and Net P/Ls, respectively, and the numerical indicators 404, 410 display actual values (120, 200) corresponding to the two P/L levels. It should be understood that the distance between the net and realized indicators corresponds to the Open P/L. Thus, in the embodiment illustrated in Figure 4, where the P/L scale (x-axis) increases to the left, the Open P/L is positive and indicates that the frader is making money in the current market. It should be understood that the x-axis could also display values increasing from left to right as well. More specifically, as illustrated in the indicator 416, the Open P/L is 80. Additionally, the height of the Net P/L indicator may correspond to the trader's Net Position. In the embodiment illustrated in Figure 4, the quantity scale, that in this and following examples is used to display the Net Position, is displayed on the y-axis of the graphical indicator window, and the height of the indicator 426 corresponds to the net position of 25. However, instead of displaying the net position in relation to the quantity axis, a numerical value corresponding to the net position could be displayed in relation to the indicator 426.

It should be understood that the indicator 426 is preferably color-coded to distinguish a long (positive) position from a short (negative) net position. For example, red and blue could be used where the red indicator would correspond to the short position, and the blue indicator corresponds to the long position. However, different colors could also be applied to the indicator. Additionally, it should be understood that the graphical display could be configured in any manner so that the values on the x-axis, for example, in this Figure as well as subsequent Figures could increase in a traditional manner to the right rather than to the left. Further, the axis could be displayed in any manner as well, such as at angles that can be user configurable.

Additionally, as will be explained in greater detail below, each graphical profit indicator may be mapped to and displayed in one of a plurality of money management regions that correspond to a plurality of money management filters. As mentioned in earlier paragraphs, a money management filter is defined using one or more filter criteria and is associated with a set of parameters that control trader's trading. According to one example embodiment, a filter criterion corresponds to a predetermined profit range, and the controlling parameters may define a maximum order quantity that a frader may submit with any order, and a maximum net position that the trader may hold based on the trader's profit level. Further, it should be understood that a frader or a system administrator may configure which of the P/L levels controls selection of the filters. Thus, for example, if a frader places an order that has an order quantity higher than a maximum order quantity defined by the filter associated with the trader's Net or Open P/L level, then, before the order is sent to the exchange, the order quantity is modified to the value associated with the maximum order quantity defined by the filter. It should be understood that the Net P/L level, Open P/L level, the Realized P/L level, or a combination thereof may determine the filter selection for the money management purposes, and the maximum order quantity as well as the maximum net position may be determined using an equation defined for each filter so that more than one order quantity can be associated with each filter.

Using the Open or Net P/L level as a filter criterion, the money management module may guard and limit trader's losses if the market moves in a direction that is not favorable to a frader. Then, the change in the trader's Open and Net P/Ls, which dynamically change based on the market movement, may consequently move the frader to the lower/higher filter associated with a higher/lower maximum order quantity and maximum net position. Therefore, when the market moves against the trader's position, the trader will be allowed to trade lower order quantities as compared to order quantities that a frader may frade if the market moves in a direction favorable to a frader. Additionally, when the market moves against the trader's position, the money management module may prevent the frader from further increasing his net position by preventing another order that would increase the trader's net position from being sent to the exchange. It should be understood that when a system administrator sets up a number of money management filters for one or more traders, each frader may also create his own set of filters. The trader-created filters may be based on the same or different filter criteria and associated filter conditions as the filters created by the administrator. In such an embodiment, the money management module may apply two sets of filters to an incoming order, and if two or more applicable filters conflict, the most conservative filter condition may be selected to control the orders being sent to the exchange. This embodiment may be especially useful when a frader is willing to risk less than what he is allowed to based on the filters that have been set up by the system administrator.

As mentioned in earlier paragraphs, the filter conditions may include a maximum order quantity and a maximum net position. Referring back to Figure 4, according to one example embodiment, in addition to displaying P/L graphical indicators, the graphical interface 400 may also display filter conditions determined for each P/L level. As shown in Figure 4, the trader's Realized P/L 404 corresponds to a money management filter associated with a maximum order quantity 406 of 24 and a maximum net position 408 of 40. Further, as shown in Figure 4, the Net P/L 410 corresponds to a different money management filter associated with a maximum order quantity 412 of 44 and a maximum net position 414 of 88. Then, the Open P/L 416 is associated with the filter conditions including a maximum order quantity 418 of 30, and a maximum net position 420 of 50.

The graphical interface 400 may also display numerical profit levels including the trader's maximum, minimum, and current realized profit levels of 414, -249, and 120, as shown at 422. It should be understood that the P/L levels do not necessarily have to reflect the P/L levels determined for the entire trading day interval. Alternatively, a frader may select a shorter time interval, such as the last hour, for which the maximum, minimum, and current realized P/L levels may be determined, and the values of which may be dynamically displayed via the graphical interface. Additionally, it should be understood that the graphical interface 400 may also display numerical values for maximum, minimum, and current profit levels related to other P/L levels, such as the Net P/L and/or Open P/L levels.

According to an example embodiment, positions of profit indicators on the graphical interface may be dynamically updated every time a new P/L level is recalculated based on market condition changes, such as last traded price changes, or based on changes in the trader's net position. Preferably, the re-calculation is done dynamically based on information being provided from the exchange, and every time a new net position or last traded price is detected, the P/L levels are recalculated. Once the P/Ls are recalculated, the respective P/L indicators, the Net and Open P/L indicators in this example, may be repositioned to the new level to reflect the change. Similar updates may occur when a changed in the trader's net position is detected.

It should be understood that the example embodiments for displaying trader's profit related information are not limited to the display illustrated in Figure 4. For example, if a trader simultaneously trades a plurality of tradeable objects, the graphical interface could be divided into a plurality of windows or areas, and each window may display graphical and/or numerical profit level indicators associated with one of the plurality of tradeable objects being traded by the trader.

Further, in addition to calculating P/L levels for each tradeable object, the P/L levels could be determined for all or a selected group of tradeable objects being fraded by the frader at one or more exchanges. In such an embodiment, the frader may view, in addition to or instead of P/L levels determined for a specific tradeable object, his/her overall and dynamically updated P/L levels. However, if the tradeable objects are being fraded at different denominations, the money management module or the trading application may convert the P/L levels corresponding to each tradeable object to the common tick or currency value that is then used to calculate a cumulative P/L level. Further, alternatively, once a frader or a system administrator selects which of the P/L levels controls the money management filter selection, the graphical interface may display only filter conditions, e.g., the maximum order quantity and the maximum net position, corresponding to that filter.

Alternatively, instead of displaying indicators associated with P/L levels determined throughout the trading day, a frader could instead reset P/L levels to a zero level at any time during a trading day. In such an embodiment, the displayed P/L level is based on a P/L calculated from the zero level starting from the time when a resetting input was detected. The resetting input may be received via many means including, for example, any graphical selection input, or any key-combination input. In one example embodiment, once the reset input is detected, only the reset P/Ls are displayed, and a frader may switch back to the cumulative P/L by selecting the same resetting selection input. Alternatively, when the frader selects the reset input, the cumulative and reset P/L values may be displayed using different indicators. Further, as will be described below, since the P/L values control the filter selection, once the P/L is reset, the most conservative filter may control the trader's trading since the trader starts trading from the zero P/L level. Alternatively, the cumulative P/L may still control filter selection, while the graphical interface displays the reset P/L levels. Further, a frader may select which of the P/L levels is reset. For example, a frader may reset only the Realized P/L or only a Net P/L. It should be understood that the graphical indicators that are used to display P/L levels are not limited to any specific format, and the indicators could have any format and could be user-configurable. For example, the open, realized, and net P/L indicators may be distinguished using different colors or different indicator types. The indicators could also be displayed in any manner, such as horizontally, vertically, or at any angle, and in association with any trader-related or market-related information.

In addition to displaying profit level indicators, the graphical user interface 400 could also be used for sending orders to one or more elecfronic exchange. For example, the net P/L indicator 426 may be associated with an order-sending component for receiving a command to send an order to an elecfronic exchange as a result of a selection of an area in relation to the indicator 426 and detecting a predetermined key combination input. Alternatively, a graphical selection order input indicator could be displayed in relation to the indicators via the graphical user interface 400 so that once the graphical selection order input indicator is enabled, a frader may simply select an area in relation to the indicator 426 to send the order to the exchange. In a preferred embodiment, an order may be sent to the exchange upon selecting the indicator 426, and an order quantity may be based on a trader's net position and may be set to a quantity lower than, higher than, or equal to the trader's net position. Then, the price of the order may be determined based on a current net P/L, so that the price of the order may be based on a current market level. Alternatively, another P/L level in association with the indicator 426 may be selected, and the price of the order may be determined based on the selected P/L level and based on the price level associated with orders associated with the net position level. In addition to displaying current Open and Net P/L levels, the graphical interface may also display one or more profit levels that are based on potential future market movements. For example, the graphical interface may display profit levels that are based on potential market movements when the market goes against the trader's position, thus, providing to a frader a graphical representation of potential risk.

Figure 5 is a block diagram illustrating a graphical interface 500 for displaying a plurality of profit level indicators including the indicators associated with working orders that a trader may place on the market to completely trade-out of his net position.

The graphical interface 500 displays profit related indicators determined for the fradeable object XS 502, and includes a realized profit indicator 504 at the P/L of 110, a net profit indicator 506 at the P/L of 220, and two additional profit indicators 508 and

510 determined based on two working orders that a trader has placed in the market to offset his current net position of -50. For example, the indicator 508 may be associated with a working buy order having a predetermined order quantity equal to the current net position, placed at the price level of (LTP-X), where X corresponds to a number of ticks away from the current LTP. Thus, the profit level associated with the indicator 508 illustrates a Realized P/L if the working order gets filled. Then, the indicator 510 may correspond to a stop/limit order that a trader has placed on the market at a price level higher than the last traded price (LTP + X) to minimize his losses in case his working order associated with the indicator 508 does not get filled and the market moves against his position.

It should be understood that the method of calculating the profit level corresponding to the stop working order may vary based on system configurations that are used for placing the stop orders. For example, "X" may correspond to the price that triggers placement of the order on the market, and then the price where the actual order is placed on the market may vary based on the order configuration. For example, once a trigger price (stop price) is detected, the order may turn into another order, the type of which may depend on the trader's configuration. For example, the actual order may be a limit order configured at a limit price that may be set to the stop price plus/minus an offset. The offset parameter may be statically set by a trader, or may be dynamically determined based on how fast the market moves, and in what direction the market moves at the time when the trigger price is detected. For example, a positive or negative offset may be added to X to increase the chances of the order getting filled. If such an offset is used, the money management module or the trading application may consider the offset in calculating the profit level associated with the working order. Alternatively, an offset of zero could be used so that when the market reaches the stop price, the order is placed at the stop price. Those skilled in the art will realize that many different variations are possible as well. For example, instead of placing a limit order, a market order could be used instead so that once the stop price is detected, the order is placed at the market price so that in the fast moving market, the price at which the order is placed on the market may be a few ticks away from the stop price. In an embodiment when the order is defined as a market order, the working order indicator may display the profit level as if the order was to get filled at the stop price rather than any other price.

Figure 6 is a block diagram illustrating a graphical interface 600 for displaying Net P/L levels for a plurality of working orders that a trader may enter to get out of the trader's position. In Figure 6, let's assume that a trader's buy order having an order quantity of 30 gets filled at the price of 100 so that the trader's net position is now 30. Let's then assume that before or after the first order gets filled, the frader places four sell orders to offset his current net position of 30. For example, the four sell orders include a first order having an order quantity of 20 at the price of 101 (20@101), a second order of 3@102, a third order of 5@103, and a fourth order of 2@104.

Referring to Figure 6, the x-axis corresponds to the total P/L associated with working orders, and the y-axis corresponds to the quantity. Additionally, each working order is depicted using an indicator, the length of which corresponds to the order quantity of each working order. Also, according to an example embodiment, since the worlcing orders are entered to offset the net position, the first working order is displayed at the quantity level corresponding to the net position. For example, even if only one working order has the order quantity lower than the net position, the top of such a working order indicator will be displayed at the level of the net position, and the length of the indicator will correspond to the working order quantity. Therefore, for example, an indicator 602 corresponds to the first worlcing order, where the top of the indicator is displayed at the level of the net position of 30, and the length of the indicator corresponds to the quantity associated with the first order.

Additionally, each worlcing order indicator is displayed in relation to the P/L level. The indicator 602 is plotted at the P/L level of 30 since the first working order corresponds to a price that is one tick higher than the originally filled order, and one tick movement based on the total working order quantity of 30 corresponds to the profit tick movement of 30. Then, assuming that the first working order gets filled, the total working order quantity would decrease to 10, and each one tick P/L movement would cause the P/L to move by 10 ticks, respectively. Therefore, the indicator 604 corresponding to the second order is plotted at the total quantity level of 10 and the P/L of 40, where the length of the indictor corresponds to the order quantity of 3. The indicators 606 and 608 are plotted using the same method and correspond to the third, and fourth orders. Therefore, if all worlcing orders were to get filled, the frader would realize the P/L of 49.

In the embodiment illustrated in Figure 6, the order in which the indicators are illustrated corresponds to their prices since if the market sweeps through the working orders, the first order will get filled before the second order, and the second order will get filled before the third order, etc. It should be understood, however, that if the order quantity corresponding to the working orders is higher than the filled quantity of 30, in this example, the remaining quantity represents the start of the next net position and may be graphically displayed in relation to the fourth working order indicator 610. For example, a graphical indicator with a number corresponding to the remaining working quantity could be displayed.

Additionally, it should be understood that a frader could modify, delete, or add worlcing orders using the graphical interface 600. Each working order may be associated with an order sending component such as the one described in relation to the net P/L indicator in Figure 4. For example, a trader could modify a worlcing order quantity of each worlcing order by simply clicking on each working order indicator. In such an embodiment, a selection of the indicator may enable a display of a window, via which a trader can change the order quantity and the order price. Alternatively, a frader could simply drag the length of the indicator to modify the quantity associated with the order and also drag the indicator to a desired P/L level location. A frader could also delete a working order by simply selecting the working order indicator and then entering a delete selection input, which may include a graphical identifier or any key combination input. A frader could also enter new working orders using the methods described in reference to Figure 4, where instead of selecting an area in relation to the net P/L indicator, the trader could select the area in relation to one or more working orders. For example, referring to the example given above, if a trader has a first working order having the order quantity of 20 at 101, and the second order having the order quantity of 10 at 103, a trader may input another working order between the two orders by entering a predetermined selection input, such as entering a predetermined key combination, or a mouse input, and then inputting an order quantity via a pop-up window. It should be understood that once the order is entered, the P/L level at which the order is entered may be used to determine a price level at which to enter the order. The price could be determined by reversing the method that was used to determine P/L levels for the worlcing orders. Therefore, the price level for a working order may be determined relative to the price of the filled order, i.e., 100 in this example.

In one embodiment, once a new worlcing order is entered, and the total worlcing order quantity is higher than the quantity associated with the original fill, i.e., 30 in this example, the order quantity of the original second order may be modified to 5 so that the sum of the quantities is still equal to 30. Alternatively, the order quantity of the original second order may remain the same, so that when all working orders are filled, the trader will end up with a net position of -5, since the working order is this examples are sell working orders. Therefore, a frader may input working orders when a fill quantity is detected for another order so that the working orders are used to exit the net position.

Additionally, a worlcing order frade-out mechanism may be provided so that when a predetermined selection input is detected, and then a frader selects one of the worlcing order indicators, for example, the order quantity corresponding to that order could change to a quantity that is required to get out of the net position. The predetermined selection input can correspond to a graphical indicator, a key combination input, or any other input means. For example, if the trader enables the automatic working order frade-out, the frader can select the indicator 604, which would then cause the working order quantity of 3 to be changed to the working order quantity of 10. The working order frade-out mechanism may then cause the third and fourth orders to be deleted. Alternatively, the third and fourth order may remain on the market, but the fill of the orders would result in a non-zero net position.

The working order indicators could be also displayed in combination with the Net P/L indicator and the Realized P/L indicator. Figure 7 illusfrates one example embodiment for displaying a plurality of worlcing order indicators in combination with a Net P/L indicator and a Realized P/L indicator.

The graphical interface 700 displays a Realized P/L indicator 702, a Net P/L indicator 704 that is based on a market price and the net position that a trader is holding, so that the indicator 704 moves based on the market movements. The graphical interface also includes a plurality of working order indicators 706, 708, 710, and 712. Therefore, when the market moves to the price level associated with the first worlcing order 706, and

, the order gets filled, the Net P/L indicator will move to the P/L level corresponding to the first order 706. Additionally, since the net position will be decreased as the result of the fill, the length of the Net P/L indicator will decrease as well. An example, Net P/L indicator 714 is displayed to illustrate such an embodiment. It should be understood that if the market moves to price levels associated with other working orders, the Net P/L indicator will move to the P/L positions associated with the orders, and the length of the Net P/L indicator will decrease respectively. Therefore, once all working orders get filled, and if the worlcing order quantity is equal to the net position, the Realized P/L indicator 702 will move to the P/L level corresponding to the working order indicator 712. Figure 8 is a block diagram illustrating a graphical interface 800 for displaying a plurality of net profit levels based on potential market movements. More specifically, the graphical interface displays a Net P/L level indicator 802 associated with a Net P/L level of 390 and a Net position ("NP") of 50. The graphical display interface 800 displays a number of graphical indicators associated with a plurality of potential P/L levels that may result when the market moves against the trader's position, e.g., as if the frader were to get out of or close his position at that point in time. As shown in Figure 8, three potential profit levels 804, 806, and 808 are illustrated based on the market dropping by 1, 2, and 3 ticks from the current market level, respectively. Using the potential profit indicators 804, 806, and 808, the frader can easily view potential profit levels such as if the market was to move against the trader's position. Thus, for example, if the market moves 1 tick against the trader's position, the trader's net profit, as shown at 804, will decrease to 340 (390-current Net P/L minus 50-net position multiplied by 1 tick). Similarly, as shown at 806 and 808, if the market moves 2 and 3 ticks down from the current market level, the trader's net profit will decrease to 290 and 240, respectively.

It should be understood that the potential net P/L indicators may be based on the trader's average loss. In such an embodiment, the money management module may determine a trader's average loss during a trading day based on an average number of ticks that a frader tends to lose on losing trades. For example, the money management module may dynamically update the frader' s average loss during a trading day based on the trader's performance. Alternatively, the trader's average loss may correspond to a specific time interval such as the last hour of the trader's trading. It should be understood that a frader or system adminisfrator may specify how and based on what time interval the average loss is calculated. Then, the trader's average loss may be used to determine another set of potential Net P/L indicators. It should be understood that many different embodiments are possible as well. For example, all potential net P/L loss indicators displayed via the interface 800 may be based on the trader's average loss rather than the fixed tick loss. For example, the indicator 806 could correspond to a potential Net P/L determined based on the trader's average loss, the indicator 804 may correspond to Net P/L determined based on one half of the trader's average loss, and the indicator 806 may correspond to Net P/L determined based on twice the trader's average loss.

The average loss, similarly to the realized P/L level, may be computed when the trader's net position reaches or crosses the zero level. It should be understood that different indicators associated with the trader's loss information can be displayed as well. For example, the money management module or the trading application could compute a percentage of losing orders (e.g., orders that resulted in the loss of profit), and the average cost of each loss, the values of which could be displayed via the graphical interface 800. Further, as will be described in greater detail below, trader's average loss could also be used as one of the factors in determining when the frader is moved to the lower money management filter. As mentioned in earlier paragraphs, the open, net, and realized P/L level indicators may be displayed in combination with the graphical display of money management filters so that the trader not only can view his profit levels but also can quickly and clearly view any trading constraints (controlling parameters) that he/she might have to use if the market moves in or against his/her position. According to one example embodiment, a money management filter may be defined using one or more filter criteria and filter conditions. For example, filter criteria may include one or more of the following criteria: Open P/L, Realized P/L, Net P/L, trader's net position, available credit, a number of transactions, a transaction/fill ratio, a change in net position, or a type of fradeable object, and any other trader-related or market-related data. Further, as mentioned in earlier paragraphs, it should be understood that the P/L levels associated with filter criteria may be calculated for a specific fradeable object or a combination of fradeable objects being fraded by a frader.

Figure 9 is a block diagram illustrating an example money management interface 900 that a trader or a system administrator may use to define filter criteria and filter conditions.

According to one embodiment, a frader or a system adminisfrator may define via a profile name window 902 a filter profile that may include a combination of filters. The filters in the filter profile may be based on different filter criteria, however, if two or more filters are applicable to the incoming order, and their filter conditions conflict, the most conservative filter condition will preferably be used. Alternatively, a filter may be configured so that only filter conditions associated with the filter will control order parameters even if another filter associated with a different set of filter conditions applies. Further, the profile may be created for a predeteraiined fradeable object or a group of fradeable objects being fraded by the frader, and the trader may select one or more fradeable object to be associated with the profile using a fradeable object pull down menu 904. In the embodiment illustrated in Figure 9, the filter criteria 906 are based on the Open P/L level, and each filter is associated with a P/L threshold level 908 that then maps to a number of filter conditions including a maximum order quantity 912 and a maximum net position 914. However, it should be understood that the filter criteria may be based on the Net P/L level or a combination of different P/L levels. In addition to each P/L threshold level, a frader may also define one or more refraction levels that are configured to limit trader's losses once a frader reaches a predetermined profit level. It should be understood that the profit levels and retraction levels may be defined using many methods. For example, the profit levels and retraction levels may be defined in ticks or currency, and the refraction levels could also be defined as a percentage of the maximum P/L.

Referring to the example in Figure 9, when a frader reaches the Open P/L level of 10, the frader may trade the maximum order quantity of 5 and may hold the maximum net position of 10. As mentioned earlier, the net position may be determined using different methods, and a frader or system administrator may define which orders are taken into consideration to calculate the net position. As shown in Figure 9, once the trader's open P/L reaches the value of 10 and then falls to the level of 7, as shown in the refraction level column 910, the trader's ability to trade is limited to the order quantities of 3 and the maximum net position of 6. Referring to the next refraction level under the same Open P/L threshold level, when the trader's Open P/L reaches the level of 5, the frader is limited to frade order quantities of 3 to frade down to the position of 0.

Once a trader creates a filter profile, the frader may save the profile by simply selecting a save selection input 916. Alternatively, the frader may quickly delete the profile by selecting a delete selection input 918. Further, alternatively, the trader may quickly exit the money management setup interface 900 by selecting a cancel selection input 920. Once the filter profile is saved, the frader may easily refrieve and edit the profile's filter criteria and conditions by selecting the profile's name using the pull down profile menu 902. In one embodiment, when a system administrator configures money management filters for a group of traders, the system adminisfrator may set up authorization rules defining one or more traders or system administrators who can create, edit, enable, disable, or reset limits created for the group of traders.

Filter selection may be modified based on the trader's performance such as a percentage of losing frades, or average cost of all losses incurred by a frader during a trading day. In one example embodiment, in addition to selecting a specific filter for a trader based on a trader's P/L level and other parameters described above, the money management module may monitor a number of losing frades associated with the frader when the trader is being controlled by a predetermined filter and then use that number as a filter selection overriding mechanism. For example, a frader may configure a number of losing frades that a trader may incur while being controlled by a specific filter. In such an embodiment, if a trader's P/L level drops to a level that should enable a more restricting filter, and the number of trader's losing frades while the trader's was controlled by the higher filter was lower than the configured value, then, the less restricting filter may still control the trader's trading until another losing frade is detected, for example. In one embodiment, a number of losing frades that would allow a frader to remain under the control of the less restricting filter could be user configurable.

It should be understood that other filters could also be used, and additional filters have been described in greater detail in U.S. Patent Application No. 10/355,471, filed on January 31, 2003, entitled "System and Method for Money Management in Elecfronic Trading Environment," the contents of which are fully incorporated herein by reference.

Once a trader defines one or more money management filters, the frader may view the trader-related data as well as any filter conditions being currently imposed on each fradeable object via another graphical interface. Figure 10 is a block diagram illustrating a monitoring interface that allows a trader to view market conditions and limitations imposed on each tradeable object or a group of the fradeable objects associated with the created filters. As shown in Figure 10, the money management monitoring interface 1000 displays a name of each profile 1002, a name or names of tradeable object(s) 1004 associated with each profile, "limits on" indicators 1006 that may be used to enable filters for the specific fradeable object, a quantity associated with working orders 1008, a trader's net position 1010, a maximum P/L 1012 and a minimum P/L 1014 determined for a frader during a trading day, a current P/L 1016, as well as effective current limits 1018 including a maximum net position and a maximum order quantity that are currently imposed on a trader based on the trader's current P/L level. It should be understood that when a profile is created for more than one tradeable object being fraded by a frader, the current P/L 1016 may display the P/L level associated with each fradeable object as well as the combined P/L level associated with all or some fradeable objects in the profile. It should be understood that the current P/L 1016 can be associated with any P/L specified by the frader such as an Open, Realized, Net P/L level, or the combination thereof. It should be understood that a frader may add or delete columns in the money management interface 1000 and specify which of the described or additional parameters are to be displayed via the interface.

According to an example embodiment, trader's profit related information as well as filter related information may be displayed to a frader via a single graphical interface. Figure 11 is a block diagram illustrating a graphical interface 1100 that displays frader related P/L information in combination with money management filter related data. The graphical interface 1100 displays a number of filter triggers 1126 associated with a plurality of P/L trigger levels that, in this example, are associated with Net P/L trigger levels. According to an example embodiment, each P/L trigger level maps to one or more filters defining a maximum order quantity and a maximum net position. More specifically, and as illustrated in Figure 11, when a frader' s Net P/L reaches one of the P/L triggers 1126, the trigger corresponding to the trader's Net P/L level may be highlighted so that the trader can easily tell which filter level or filter band is used to currently control the trader's trades.

When the trader reaches one of the predetermined P/L level corresponding to the triggers 1126, the graphical interface 1100 may display via a money management filter region 1104 one or more filters corresponding to that P/L trigger. As illustrated in Figure 11, the P/L trigger level of 300 corresponds to four filters including the main filter 1128, and three loss-limiting filters 1130, 1132, and.1134. The main filter 1128 controls the orders being sent by a trader to an exchange when the frader's open P/L level is between 300 and 450 profit levels. More specifically, the filter 1128 limits the order quantity that a trader may submit to the exchange to the maximum order quantity of 44, and further limits the trader's net position to the maximum net position of 88. However, if the trader's profit level does not reach the higher profit trigger, e.g., 450 in this example, and instead drops to the profit level lower than 300, then one of the loss-limiting filters corresponding to the Net P/L trigger level of 300 controls the frader's orders. For example, if the frader's Net P/L drops to a profit level between the 200 and 300 profit range, filter conditions associated with the filter 1130, e.g., a maximum order quantity of 31 and a net position of 62, may confrol the orders being sent by the frader. Similarly, when the frader's profit is in the profit range of 200 and 150, filter conditions associated with the filter 1132, including a maximum order quantity of 24 and a maximum net position of 48, control the trader's orders being sent to the exchange. Finally, when the frader's profit level reaches the profit level below 150, the frader is limited to the order quantity of 16 and a net position of 0 so that a frader is forced to frade out rather than to submit orders that increase the frader's net position.

It should be understood that once a trader is in a predetermined filter band, such as the one shown in Figure 11, the frader's frading is controlled by the filter conditions of that band. In the example embodiment of Figure 11, once a frader reaches the P/L of 450, filters 1128, 1130, 1132, and 1134 associated with the filter trigger of 450 may confrol the frader's frading. Similarly, once the frader's P/L drops to the P/L level of 180, the trader's frading will be controlled by the filter conditions associated with the filter 1132 rather than some other filter that is associated with a different band and having the same P/L level as one of its filter criteria.

Additionally, it should be understood that the present invention is not limited to the graphical interface described in reference to Figure 11. Alternatively, instead of displaying a plurality of filters within the money management region 1104, the money management region 1104 may be color-coded so that, for example, different colors or different shades of the same color correspond to different sets of money management parameters, such as different maximum order quantities and maximum net positions. Different embodiments are possible as well.

According to one embodiment, in addition to selecting applicable filters based on the profit levels, other methods may be provided to a trader to further confrol filter selection. One example method is a permanent pullback that prevents the trader from advancing to a higher filter once the frader drops to the lower one. To illustrate the permanent pullback option, lets assume that the frader's frades are being initially controlled by the filter 1130, and then the frader starts losing money and drops down to the lower filter such as the filter 1132. With the permanent pullback enabled, even when the frader advances back to the profit level associated with the filter 1130, the frader is still limited by the filter conditions associated with the filter 1132. In one embodiment, even with the permanent pullback enabled, a trader may be able to advance to a higher filter only when the trader gets to a profit level that advances the trader to another filter band, such as P/L of 450 in Figure 11. It should be understood that two indicators associated with the permanent pullback option and the band advance option may be displayed to a frader when the filter configures filter parameters via a filter configuration window. However, it should be understood that a frader may enable the permanent pullback at any time during trading as well. Additionally, it should be understood that the permanent pullback could be disabled at other times of the frader's trading, such as when the frader advances a predetermined number of filters within the filter band.

In addition to displaying a number of money management filters, the money management region 1104 also displays profit indicators that are dynamically updated during a frading day to reflect current profit levels associated with the frader. It should be understood that a frader may select which of the profit indicators are displayed via the money management filter region 1104. Figure 11 illusfrates two P/L indicators including a Net P/L indicator 1124 and a Realized P/L indicator 1122 that are dynamically updated throughout the frading day upon detecting a change in the corresponding profit levels. As shown in Figure 11, the Realized P/L is at 175, and the Net P/L is at 400. It should be understood that a trader may configure graphical representation of each profit indicator, such as the shape or color of each indicator, so that the frader can easily distinguish between the two or more indicators.

Also as shown in Figure 11, the profit indicators correspond to a predetermined tradeable object, here the fradeable object XS 1102. However, alternatively, additional profit indicators could be displayed via the money management region 1104, such as overall profit indicators determined based on P/L levels associated with all or some tradeable objects being fraded by the trader. Further, as explained in reference to Figures 6 and 7, the money management filter region 1104 could also display a plurality of P/L indicators determined based on worlcing orders that a trader has on the market. It should be understood that if a trader has a large number of worlcing orders on the market, the potential profit levels associated with those orders may be combined and displayed using a single P/L indicator. The graphical interface 1100, in addition to the graphical indicators, may also display a number of numerical indicators. As illustrated in Figure 11, the indicators include a working buy order indicator 1106 that displays a working buy quantity of 20, a working sell order indicator 1108 that displays a working sell quantity of 0, and a trader's net position 1110 that displays a trader's net position of -20. In addition to displaying P/L levels using graphical indicators, the P/L levels may be displayed using numerical P/L indicators 1112. The P/L indicators 1112 correspond to the Net P/L levels and include the maximum Net P/L level of 414 that the frader has held during the trading day, the minimum Net P/L level of -249, and the current Net P/L level of 400. It should be understood that the profit levels may be distinguished using different colors or graphical indicators.

It should be understood that the graphical interface could also display numerical indictors related to other types of P/Ls such as Realized and/or Open P/L levels. As illustrated in Figure 11 at 1114 and 1116, instead of defining one maximum order quantity, each filter may be associated with different maximum order quantities depending on whether a frader submits a buy or sell order. The graphical interface 1100 may also display numerical indicators 1118 and 1120 associated with the maximum order quantity and the maximum position that a frader may hold based on the trader's current profit level. In Figure 11, numerical values for the indicators 1118 and 1120 are determined based on the trader's net P/L level associated with the fradeable object XS 1102. However, it should be understood that the values may be determined based on any user-configurable profit level associated with one or more tradeable objects being fraded by one or more traders. A trader may also use the money management filter region 1104 for filter configuration purposes. For example, when the graphical interface 1100 is opened for the first time, the money management filter region 1104 can display a plurality of default filter/money management regions such as the regions 1128, 1130, 1132, and 1134. Then, a trader may click on each of the regions to configure the maximum order quantity, the maximum net position, and the profit range for each of the regions. In one embodiment, a frader may simply change default values being displayed in association with each filter to desired values. Alternatively, a frader may click on the filter region, and a pop-up window could be displayed via which a frader may enter filter criteria and conditions for one or more filters. In another embodiment, a frader may configure the filters using a configuration interface such as the one illusfrated in Figure 9, for example, and once the configuration is finished, the configured filters may be displayed via the money management filter region 1104. Alternatively, a trader may simply drag the boundaries of each filter region to desired locations corresponding to a predetermined profit range, as well as a maximum order quantity and a maximum net position. Alternatively, a configuration selection input may be displayed on the graphical interface 1100 that, when selected, may invoke another window via which the frader can configure a number of filters for each of the trigger levels. Figure 12 is a block diagram illustrating an example graphical interface 1200 via which a trader can configure a plurality of filters for each of the P/L trigger levels. The graphical interface 1200 may be invoked when the frader specifies P/L trigger levels via the graphical interface 1200 and then selects a configuration selection input to configure a plurality of money management filters for each of the levels, for example. The graphical interface 1200 displays only three P/L trigger levels; however, it should be understood that a frader could specify more or fewer trigger levels. Each profit level may be displayed in association with a plurality of default filter regions 1202, 1214, and 1224, and a frader may configure numerical values for each filter criteria and filter conditions by simply modifying default values being displayed in association with each filter to the desired values, or by dragging the edges of each filter to the desired profit, quantity and net position levels.

Figure 12 illustrates three profit trigger levels including P/L trigger levels of 150, 300, and 450, respectively. Each of these P/L trigger levels is then associated with a plurality of filters, so that, for example, the P/L trigger 450 is associated with five filters 1204, 1206, 1208, 1210, and 1212, and the P/L triggers 300 and 150 are associated with four filters each, 1216, 1218, 1220, and 1222 for the P/L trigger 300, and filters 1226, 1228, 1230, and 1232 for the P/L trigger 150. However, it should be understood that more or fewer filters could be configured for each P/L trigger level. For example, a trader may simply select an add selection input 1234, 1240, or 1246 being displayed in one of the P/L trigger regions to add another filter to that P/L trigger level. Similarly, a frader may delete one or more default filters by first selecting a default filter block in the P/L trigger region 450, and then selecting a delete selection input corresponding to that region, such as one of the delete selection inputs 1236, 1242, and 1248. Once a frader configures all filters for a P/L trigger, the frader can then save the filters by simply selecting a corresponding save selection input such as one of the save selection inputs 1238, 1244, or 1250, respectively, depending on which P/L trigger level the filters correspond to.

The money management filters are not limited to the filters described above, and more or fewer filters could be created for a fradeable object. Some of the additional filters may be time-based so that they are triggered at specific time periods. In addition to time being a trigger, the time-based filters may also have other triggers, such as triggers related to frader data, exchange data, or data from outside sources. For example, a set of time-based filters may be created to complement any other filter conditions when a predetermined time period is detected. In such an embodiment, when two or more filter conditions conflict, the more conservative one will confrol. For example, a time-based filter, such as a filter effective between 8 a.m. and 9 a.m., may be triggered upon receiving an employment number. Once the employment number is detected, the filter may prevent the trader from frading or limit the trader to trading very small order quantities. In one embodiment, time-based filters may be configured to completely overwrite any other filter conditions for the time period associated with the time-based filter. It should be understood that different outside triggers could also be used in addition to the employment numbers. For example, during the last twenty minutes of frading before the market closes, any filters that are applied to frader's orders may be overridden or supplement by filter conditions of another set of filters created for the market closing time period. Such filters may be designed so that the frader completely frades out of his positions. In one embodiment, a graphical interface, in addition to the applicable filter band and P/L indicators, could also display indicators associated with time-based filters. Figure 13 is a block diagram illustrating a graphical interface 1300 for displaying a money management filter band in combination with P/L indicators and time-based filter indicators. The graphical interface 1300 includes a time-based filter region including a plurality of time-based filter indicators 1304, 1306, and 1308. For example, the first indicator 1304 may correspond to an employment number filter, the second indicator 1306 may correspond to one or more filters that are triggered based on some news event, and the third filter 1308 may correspond to the market closing time-based filter. It should be understood that each filter may be labeled with an indicator defining the type of the filter, and the time-based filters may overlap. When the time-based filters overlap, the most conservative conditions may be confrol the order parameters. Alternatively, if there is more than one filter that controls order parameters at any given time, a frader or a system adminisfrator may confrol which one of them will be applied to orders being sent to the exchange. For example, each filter may be assigned a predetermined priority level so that when more than one filter is applicable during a predetermined time period, only filter conditions associated with filters having the same priority levels are merged. It should be understood that different methods for determining which filter conditions should apply at any given time period could also be used, and the present embodiments are not limited to labeling each filter with a priority level. Further, other filters could be created to turn all filter restrictions off for a predetermined time period so that a frader can frade any order quantities and can hold any net position that the trader desires during the time period defined by the order. It should be understood that time-based filters may be configured using the methods described above, and each time-based filter may be associated with one or more filter bands including one or more filters. Additionally, once the time-based filter is triggered, the time-based filters may be displayed via the money management window so that the trader may quickly and easily view the applicable filters. In one embodiment, the time-based filter may be superimposed over any other filters displayed via the interface such as in the embodiment illusfrated in Figure 13, where the time-based filter 1310 is displayed in combination with other applicable filters. It should be understood that different configurations are possible as well, and a frader may configure the interface so that only the most conservative of the applicable filters is displayed via the interface, or when the filters are superimposed, the overlay of the filters can be shaded so that the trader can easily view a maximum order quantity and a maximum net position for different profit ranges.

Once the filter conditions such as the maximum order quantity and the maximum net position are configured, a frader or a system administrator may verify the filter conditions by applying different drop off loss conditions to the created filter. Figure 14 is a graphical interface 1400 that may be used for verifying and changing filter conditions configured by a frader or a system adminisfrator using different potential profit loss conditions. The graphical interface 1400 includes a money management filter window that displays a plurality of money management filters 1404, 1406, 1408, and 1410 created for a trader or a group of traders trading a tradeable object XS 1402. Once the filters are displayed, a trader or a system adminisfrator may enable a display of potential profit indicators to verify if the filters have been set up according to his/her needs. For example, in Figure 14, a plurality of one-tick potential profit loss indicators 1412, 1416, 1418, and 1420 are displayed, and the slope of each indicator is determined based on a single tick loss (a number of contracts * tick loss per contract) so that, for example, referring to the first filter, a one tick profit loss for 50 contracts corresponds to 50 ticks of P/L loss, as shown on the x-axis. It should be understood that even though the slope corresponding to a one tick loss should be 1:1, the slope of the displayed potential profit loss indicators, as illustrated in Figure 14, is not a 45-degree line since the scales on the two axis corresponding to the quantity axis and the profit level axis are different.

Referring to Figure 14, the indicator 1412 corresponds to a one tick profit loss and may be used by a trader or system adminisfrator to determine if the set filter configurations are what the frader really anticipated. For example, based on the indicator, the frader may quickly determine that a loss of one tick at the net position of 50 will result in the trader's dropping out of the first filter associated with the maximum net position of 50 and the maximum order quantity of 30. If this is what a frader desires, the frader may leave the filter configuration unchanged. Alternatively, the frader may increase the profit range corresponding to the filter 1404 so that a higher loss is allowed before another filter such as the filter 1406 controls the trader's frading.

The indicator 1412 could also be used to visually and quickly determine what would happen at other net positions levels. For example, as shown in Figure 14, if the frader's Realized P/L level were at 500 and the frader then frades so that his/her net position becomes 45, the frader can easily determine that a loss of one tick (Δ 1) would keep the frader in the same filter, however, a loss of two ticks (Δ2) would move the trader to the second, more restricting, filter 1406, where the frader's maximum order quantity and net position would be lowered to 20 and 40, respectively.

Similarly, referring to the filter 1406, the indicator 1416 also corresponds to one tick loss, and as shown in Figure 14, if the trader's net position were 15, the frader would be allowed to lose about 5 ticks before his trades would be controlled by less favorable filter conditions of the filter 1408. It should be understood that the profit loss indicators are not limited to the one tick loss indicators, and the indicators could be based on any number of ticks, such as 2, 3, 4, and could be user-configurable. Alternatively, the money management application or the frading application may determine an average tick loss associated with the trader's frades, and another indicator associated with the frader's average tick loss may be displayed in addition to any other indicators. It should be understood that the indicators may be distinguished using different colors or different indicator types that could be user-configurable.

In addition to verifying filter configurations during filter set up, the profit loss indicators may be used to provide a trader with a quick indication of a potential risk before a frader enters into any position. According to one embodiment, a potential profit loss indicator may be displayed to a trader in relation to the Realized P/L indicator. Further, the indicator may be displayed when the money management application detects that the trader's net position is equal to zero, so that before the trader decides to enter any new orders, the frader can quickly view his/her potential risk based on different potential order quantities.

Figure 15 is a block diagram illustrating an interface 1500 that displays potential profit loss indicators in relation to a frader's Realized P/L indicator. The interface 1500 displays a money management window 1504 including a plurality of money management filters 1506, 1508, 1510, and 1512. Further, the money management interface 1500 displays a profit loss indicator 1514 in relation to the Realized P/L indicator 1516. In one embodiment, the indicator 1514 may be displayed to a trader when the trader's net position is flat so that before a trader enters any new orders, the trader can easily view his potential profit losses based on the order quantity that the frader is planning to trade. Further, using the indicator 1514, the frader may easily predict his potential filter drop, e.g., a filter that would confrol the frader's frades, if the market goes against his position. It should be understood that in addition to showing the potential profit loss indicators, such as the indicator 1514, the graphical interface 1500 could also display indicators related to positive market movements, e.g., indicators corresponding to the potential profit gain rather than loss. In such an embodiment, for example, a one tick potential profit gain indicator could be displayed, where the indicator's slope would be negative, rather than positive as in the indicator 1514. Referring to Figure 15, the Realized P/L indicator corresponds to a current

Realized P/L level of 460, and the profit loss indicator 1514 may be used to determine where the frader's profit would be and what filter would confrol the frader's trading if the frader were to enter into a position between 1 and 50 as defined by the first filter. For example, if a frader enters one or more orders so that a frader's net position becomes 45, a trader is risking a drop to the third filter 1510 and a loss of 90 ticks if the market were to move two ticks against the frader's position. Further, for example, the frader can easily determine that keeping the net position of 30 rather than 45 would result in a much smaller risk and much smaller profit loss. First the loss of two ticks would cause the trader's frading to be controlled by the second filter 1508 rather than the third filter 1510, and the P/L loss that the frader would incur would be much lower compared to the loss of two ticks when the trader's position is 45. However, rather than viewing potential P/L in terms of losses, a frader may view potential P/L in terms of profit gains so that the higher net position would result in much higher profit gain compared to the lower potential net position. Therefore, another set of potential gain profit indicator could be displayed in addition to potential loss indicators for a plurality of market movements.

In addition to the maximum order quantities and maximum net position associated with each filter, a trader or an adminisfrator may create a plurality of frade-out exceptions to enable a frader to exit his open positions. Such exceptions may be used when the market moves against the frader's position causing the frader's orders to be confrolled by a filter associated with a maximum net position that is significantly lower than the position being currently fraded by the frader so that the frader is forced to lower his position by selling or buying until he reaches the maximum net position, for example. To illustrate one example trade-out mechanism, let's assume that at time t₀, a frader is holding a net position of 40 and has no worlcing orders on the market, and the money management filter that controls the frader's orders based on the trader's current open P/L level, for example, is associated with a maximum net position of 50, and a maximum order quantity of 15. Then, let's assume that at time ti, the market moves against the trader position, causing the frader's orders to be controlled by a different filter associated with a maximum net position of 15, and a maximum order quantity of 7. However, because the frader's net position of 40 is much higher than the maximum net position of 15 associated with the current filter, the frader will not be able to send orders to the market quickly enough to get out of his position in case of unfavorable and fast market movements. In such an embodiment, a set of frade-out rules may be created to enable a trader to lower his position to the one specified by the controlling filter. Such overriding rules may be automatically enabled whenever a limit condition such as the one explained above is detected. Alternatively, a user selection input may be displayed to a trader when such a condition is detected, and the trader may enable the frade-out mechanism by selecting such a selection input.

According to one example embodiment, a trade-down quantity may be first calculated to enable a trader to frade down to the maximum net position associated with the current filter. The trade-down quantity may be calculated by first subtracting the current frader's position from the maximum net position associated with the filter, and then taking the absolute value of the result, which in the example presented above would be 115 - 40| = 25. Then, the frade-out quantity may be determined by talcing the maximum of the absolute value calculated above and the maximum order quantity associated with the filter, which would be 25 in the above example, i.e., max (25,7).

Therefore, using such a mechanism, the trader can submit a sell order of 25, which when filled, would cause the trader's net position to reach the maximum net position of 15.

Another rule may be created if the frader wants to frade down to zero when the frader has the worlcing order of 25 pending on the market. Once again a user selection input may be provided via the interface to enable the frader to select such an option. The maximum trade-down to zero quantity may be determined by taking the minimum of the worlcing quantity (25 in this example) and a difference between the frader's net position (40) and the worlcing quantity (25), thus, taking minimum (25,15) in this example, which is 15. It should be understood that different or equivalent trade-out mechanisms could also be used, and the present invention is not limited to the embodiment illustrated above. Further, for example, a set of rules may be created limiting price levels at which a frader can place the frade-out orders on the market. It should be understood that the above description of the preferred embodiments, alternative embodiments, and specific examples, are given by way of illustration and should not be viewed as limiting. Further, many changes and modifications within the scope of the present embodiments may be made without departing from the spirit thereof, and the present invention includes such changes and modifications. For example, the present invention is not limited to the filter configurations described hereinbefore, and those skilled in the art will understand that different configuration methods could also be used.

Further, it will be apparent to those of ordinary skill in the art that methods involved in the systems and methods described herein may be embodied in a computer program product that includes one or more computer readable media. For example, a computer readable medium can include a readable memory device, such as a hard drive device, CD-ROM, a DVD-ROM, or a computer diskette, having computer readable program code segments stored thereon. The computer readable medium can also include a communications or transmission medium, such as, a bus or a communication link, either optical, wired or wireless having program code segments carried thereon as digital or analog data signals. The claims should not be read as limited to the described order or elements unless stated to that effect. Therefore, all embodiments that come within the scope and spirit of the following claims and equivalents thereto are claimed as the invention.

Claims

CLAIMSWhat is claimed is:

1. A graphical interface for displaying money management information related to a tradeable object being fraded in an electronic frading environment, comprising: a money management region associated with a plurality of money management parameters for controlling order parameters; and a first indicator being displayed in a first location in relation to the money management region, wherein the first location corresponds to a first set of money management parameters being currently used to control trader's orders before the orders are sent to at least one elecfronic exchange.

2. The graphical interface of claim 1, further comprising: a second indicator being displayed in a second location in relation to the money management region, wherein the second location corresponds to a second set of money management parameters to be potentially used to confrol the trader's orders.

3. The graphical interface of claim 2, wherein the first indicator and the second indicator comprise profit indicators.

4. The graphical interface of claim 3, wherein the first indicator comprises a realized profit indicator associated with a realized profit level determined based on buys and sells for at least one fradeable object being fraded by a frader.

5. The graphical interface of claim 3, wherein the second indicator comprises a net profit indicator representing a net profit level and a net position, wherein the net profit level is determined at least in part based on a current market level and a trader's net position associated with at least one fradeable object.

6. The graphical interface of claim 5, wherein a length of the second indicator corresponds to the trader's net position.

7. The graphical interface of claim 3, wherein each profit indicator is dynamically updated to a new location in relation to the money management region upon detecting a change in a profit level corresponding to each profit indicator.

8. The graphical interface of claim 1, wherein the money management region is displayed along a profit level axis, and wherein the money management region corresponds to a predetermined profit range.

9. The graphical interface of claim 8, wherein the profit level axis comprises a plurality of profit levels being displayed in a decreasing order.

10. The graphical interface of claim 8, wherein the money management region is further displayed in relation to a quantity axis.

11. The graphical interface of claim 10, wherein the money management region comprises a plurality of money management regions being displayed in relation to the profit level axis and the quantity axis, each of the plurality of money management regions associated with a set of money management parameters.

12. The graphical interface of claim 11, wherein the plurality of money management regions comprise at least a less restrictive money management region and a more resfrictive money management region, wherein the more resfrictive money management region is displayed in relation to a lower profit level range than the less restrictive money management region.

13. The graphical interface of claim 11, wherein each set of money management parameters comprises a profit level range and at least one quantity for controlling order parameters.

14. The graphical interface of claim 13, wherein the at least one quantity comprises a maximum order quantity.

15. The graphical interface of claim 13, wherein the at least one quantity comprises a maximum net position.

16. The graphical interface of claim 13, wherein the at least one quantity associated with each money management region comprises at least one maximum order quantity and at least one maximum net position.

17. The graphical interface of claim 13, wherein the first location corresponds to one of the plurality of money management regions.

18. The graphical interface of claim 1, further comprising: a potential profit indicator corresponding to a plurality of potential profit levels determined based on a predetermined market movement, wherein the potential profit indicator is displayed in the money management region.

19. The graphical user interface of claim 18, wherein the plurality of potential profit levels comprises a plurality of potential profit gain levels.

20. The graphical user interface of claim 18, wherein the plurality of potential profit levels comprises a plurality of potential profit loss levels.

21. The graphical user interface of claim 1 , further comprising: a working order indicator being displayed in relation to the first indicator in the money management region, the working order indicator corresponding to a potential profit level based on a worlcing order, wherein a length of the working order indicator corresponds to a working order quantity.

22. A method for displaying money management information related to a fradeable object being fraded in an electronic frading environment, the method comprising: displaying a money management region associated with a plurality of money management parameters for controlling order parameters; and displaying a first indicator in a first location in relation to the money management region, wherein the first location corresponds to a first set of money management parameters being currently applied to frader's orders before the orders are sent to at least one elecfronic exchange.

23. A computer readeable medium having stored therein instructions to execute the method of claim 22.

24. The method of claim 22, further comprising: displaying a second indicator in a second location in relation to the money management region, wherein the second location corresponds to a second set of money management parameters to be potentially used to confrol frader's orders.

25. The method of claim 22, wherein the first indicator comprises a realized profit indicator representing a realized profit level determined at least in part based on buys and sells associated with at least one fradeable object, and wherein the second indicator comprises a net profit indicator representing a frader's net position and a net profit level, wherein the net profit level is determined at least in part based on a current market level and the frader's net position associated with at least one fradeable object.

26. The method of claim 25, further comprising: dynamically determining the net profit level and the realized profit level upon receiving market data from at least one elecfronic exchange; updating the first indicator to a new location upon detecting a change in the net profit level; and updating the second indicator to a new location upon detecting a change in the realized profit level.

27. The method of claim 22, further comprising: displaying a profit level axis; and displaying a quantity level axis, wherein the money management region is displayed in relation to the profit level axis and the quantity level axis.

28. The method of claim 27, wherein the profit level axis comprises a plurality of profit levels displayed in a decreasing order.

29. The method of claim 22, wherein the money management region comprises a first money management region associated with a set of less resfrictive money management parameters, and a second money management region associated with a set of more restrictive money management parameters, wherein the second money management region is associated with a lower profit level range than the first money management region.

30. The method of claim 22, wherein the money management parameters comprise a maximum order quantity.

31. The method of claim 22, wherein the money management parameters comprise a maximum net position.

32. The method of claim 22, further comprising: displaying a potential profit indicator corresponding to a plurality of potential profit levels determined for a predetermine market movement, wherein the potential profit indicator is displayed in the money management region.

33. The method of claim 22, further comprising: displaying a worlcing order profit indicator in relation to the money management region, wherein a length of the working order indicator corresponds to a working order quantity.

34. A graphical user interface configured to display profit information related to a tradeable object being fraded in an electronic frading environment, comprising: a first indicator representing a first profit level and a frader's net position, the first indicator being dynamically displayed in a first location corresponding to the first profit level along a profit level axis.

35. The graphical user interface of claim 34, wherein the first indicator is further displayed in relation to a quantity axis, and wherein a length of the first indicator corresponds to the frader's net position.

36. The graphical user interface of claim 35, wherein the length of the first indicator is dynamically updated to reflect changes in the trader's net position.

37. The graphical user interface of claim 34, wherein the first profit level corresponds to a net profit level determined at least in part on the frader's net position and a current market level.

38. The graphical user interface of claim 37, wherein the current market level comprises a last fraded price.

39. The graphical user interface of claim 37, wherein the first profit indicator is dynamically displayed in a second location in relation to the profit level axis upon detecting a change in the current market level.

40. The graphical user interface of claim 34, wherein the first profit indicator is dynamically displayed in a second location in relation to the profit level axis upon detecting a change in the frader's net position.

41. The graphical user interface of claim 34, wherein the graphical user interface further comprises: a second indicator being dynamically displayed in relation to the first indicator, the second indicator corresponding to a realized profit level determined based on frader's buys and sells associated with the fradeable object.

42. The graphical user interface of claim 41, wherein the second indicator is dynamically updated to reflect changes in the realized profit level.

43. The graphical user interface of claim 41, wherein the first indicator and the second indicator are dynamically updated based on data being received from at least one elecfronic exchange.

44. The graphical user interface of claim 41, wherein the first indicator and the second indicator comprise graphical indicators.

45. The graphical user interface of claim 41, wherein the graphical indicators are user configurable.

46. The graphical user interface of claim 41, further comprising: a potential profit indicator corresponding to a plurality of potential profit levels determined based on a predetermined market movement, wherein the potential profit indicator is displayed in relation to the second indicator.

47. The graphical user interface of claim 46, wherein the plurality of potential profit levels comprises a plurality of potential profit gain levels.

48. The graphical user interface of claim 46, wherein the plurality of potential profit levels comprises a plurality of potential profit loss levels.

49. The graphical user interface of claim 46, wherein the plurality of potential profit levels further correspond to a plurality of frader's potential net positions.

50. The graphical user interface of claim 34, further comprising: a third indicator being displayed in relation to the first indicator along the profit level axis, the third indicator representing a combined net profit level and a combined net position associated with a plurality of fradeable objects being fraded by the frader, wherein the combined net profit level is deteπnined at least in part based on a plurality of trader's net positions and a plurality of current market levels associated with the plurality of fradeable objects.

51. The graphical user interface of claim 34, further comprising: a fourth indicator being displayed in relation to the first indicator along the profit level axis, the fourth indicator representing a combined realized profit level associated with a plurality of fradeable objects being traded by the frader, wherein the combined realized profit level is determined based on frader's buys and sells associated with the plurality of fradeable objects.

52. The graphical user interface of claim 35, further comprising: a fifth indicator being displayed in relation to the first indicator along the profit level axis, the fifth indicator corresponding to a potential profit level based on a worlcing order and to an order quantity being displayed in relation to the quantity axis.

53. The graphical user interface of claim 52, wherein a length of the fifth indicator is based on an order quantity of the working order.

54. The graphical user interface of claim 52, wherein the fifth indicator comprises a trade order sending component for receiving a command to send a new order to an electronic exchange as a result of a selection of an area in relation to the fifth indicator by an action of an user input device, wherein the selection of the area in relation to the fifth indicator comprises selecting a new profit level at which to place the new order.

55. The graphical user interface of claim 54, wherein the selection of the area in relation to the fifth indicator comprises selecting the fifth indicator and changing one of order parameters associated with the working order.

56. The graphical user interface of claim 34, wherein the first indicator comprises a trade order sending component for receiving a command to send an order to an electronic exchange as a result of a selection of an area in relation to the first indicator by an action of a user input device.

57. The graphical user interface of claim 56, wherein the command to send the order to the elecfronic exchange comprises selecting the first indicator.

58. A method for displaying profit related information associated with a tradeable object in an elecfronic frading environment, the method comprising: determining a net profit level based on a frader's net position and a current market level associated with the tradeable object; and dynamically displaying via a graphical user interface a first indicator corresponding to the frader's net profit level and the net position, wherein the first indicator is displayed in a first location corresponding to the net profit level along a profit level axis.

59. A computer readable medium having stored therein insfructions to execute the method of claim 58.

60. The method of claim 58, further comprising: displaying the first indicator in relation to a quantity axis, wherein a length of the first indicator corresponds to the frader's net position.

61. The method of claim 58, further comprising: detecting a change in the frader's net position; dynamically updating the length of the first indicator to reflect the change in the trader' s net position; dynamically determining a new net profit level based on the change in the frader's net position; dynamically displaying the first indicator in a second location along the profit level axis to reflect the changes in the frader's net position and the new net profit level.

62. The method of claim 58, further comprising: receiving a market update comprising a new current market level; dynamically determining a new net profit level based on the new current market level; and dynamically displaying the first indicator in a second location along the profit level axis to reflect the new net profit level.

63. The method of claim 58, wherein the current market level comprises a last traded price.

64. The method of claim 58, further comprising: determining a realized profit level based on frader's sells and buys associated with the tradeable object; displaying a second indicator in relation to the first indicator along the profit level axis, wherein the second indicator corresponds to the realized profit level.

65. The method of claim 64, further comprising: dynamically updating the second indicator upon determining a new realized profit level.

66. The method of claim 58, further comprising: determining a combined net profit level based on a combined net profit level associated with a plurality of trader's net positions and a plurality of current market levels associated with a plurality of tradeable objects being traded by the trader; dynamically displaying via the graphical user interface a third indicator in relation to the first indicator, the third indicator representing the combined net profit level and the combined net profit level.

67. The method of claim 58, further comprising: determining a combined realized profit level based on frader's sells and buys associated with a plurality of fradeable objects being fraded by the frader; displaying via the graphical interface a fourth indicator in relation to the first indicator along the profit level axis, wherein the fourth indicator corresponds to the combined realized profit level.

68. The method of claim 60, further comprising: determining a potential profit level for a working order placed on the market to offset the trader's net position; displaying a fifth indicator for the working order in relation to the first indicator along the profit level axis, the fifth indicator corresponding to the potential profit level, wherein a length of the fifth indicator is based on a worlcing order quantity associated with the working order and is displayed in relation to the quantity axis.

69. The method of claim 68, further comprising: receiving a command to send an order to an elecfronic exchange, wherein the command is received via detecting an action of a user input device selecting an area in relation to the first indicator; sending the order to the electronic exchange.

70. The method of claim 69, wherein the command is received via detecting an action of the user input device in relation to the fifth indicator.

71. The method of claim 69, wherein an order quantity associated with the order is determined based on the trader's net position, and the order is configured to lower the frader's net position.

72. The method of claim 69, wherein a price of the order is based on the current market level.

73. A method for money management in an electronic trading environment, the method comprising: entering an order to be sent to an elecfronic exchange, wherein the order is associated with a tradeable object; determining a frader's net profit level based at least in part on a frader's net position associated with the fradeable object and a current market level; based on the frader's net profit level, detennining a set of money management parameters to be used to control order parameters associated with the order; and applying the set of money management parameters to the order before the order is sent to the exchange.

74. A computer readeable medium having stored therein instructions to execute the method of claim 73.

75. The method of claim 73, wherein the net profit level is determined using a following relationship :

Net profit level = (sells-buys) + (net position x market price).

76. The method of claim 75, wherein the market price comprises a last fraded price.

77. The method of claim 73, wherein the set of money management parameters to be used to confrol order parameters associated with the order comprises a maximum order quantity and a maximum net position.

78. The method of claim 77, wherein applying the set of money management parameters to the order before the order is sent to the exchange comprises: if an order quantity associated with the order is higher than the maximum order quantity, modifying the order quantity to the maximum order quantity; and sending the modified order to the electronic exchange.

79. The method of claim 77, wherein applying the set of money management parameters to the order before the order is sent to the elecfronic exchange comprises: determining a frader's net position; and if the trader's net position is higher than the maximum net position associated with the set of parameters, preventing the order from being sent to the exchange if the order were to increase the frader's net position.

80. The method of claim 73, further comprising: defining a plurality of money management filters, wherein each filter is associated with at least one filter criteria comprising at least one profit level, and wherein each filter is further associated with a set of money management parameters comprising a maximum order quantity and a maximum net position, and wherein the plurality of money management filters are applied to the order before the order is sent to the electronic exchange.

81. The method of claim 73, further comprising: determining an overall net profit level based on frader's net positions associated with a plurality of fradeable objects being fraded by a trader and further based on current market levels associated with each of the plurality of fradeable objects, wherein the overall net profit level is used to determine a set of money management parameters to be used to confrol the order parameters associated with the order.

82. The method of claim 73, further comprising: determining a realized profit level based on frader's buys and sells associated with the tradeable object; and using the realized profit level to determine the set of parameters to be used to confrol the order parameters associated with the order.

83. The method of claim 82, wherein the realized profit level is determined using a following relationship:

Realized profit level = Sells - Buys.

84. The method of claim 82, further comprising: determining an open profit level based on the realized profit level and the net profit level; and using the open profit level to determine the set of money management parameters to be used to control the order parameters associated with the order.

85. The method of claim 84, wherein the open profit level is determined using a following relationship: Open profit level = Net profit level - Realized profit level.

86. The method of claim 73, further comprising: defining a plurality of time-based money management parameter sets, wherein each time-based money management set is associated with at least a time-based frigger criteria and at least one money management condition for controlling the order parameters; determining at least one applicable time-based money management parameter set based on time of day; and applying at least one money management condition associated with the at least one applicable time-based money management parameter set to the order.

87. The method of claim 73, wherein the set of money management parameters are further determined based on data from outside sources.

88. The method of claim 73, wherein the set of money management parameters are further determined based on data being received from at least one electronic exchange.

89. The method of claim 73, further comprising: determining a profit level associated with a working order; and using the profit level associated with the working order to select the set of money management parameters to be used to confrol order parameters associated with the order.

90. A method for money management in an electronic frading environment, the method comprising: defining a first plurality of money management filters, wherein each filter is associated with at least one filter criterion and filter condition, wherein the at least one filter criterion comprises at least a net profit level, and wherein the at least one filter condition comprises at least one maximum order quantity and maximum net position that are used to control order parameters; entering an order to be sent to an elecfronic exchange, wherein the order is associated with a fradeable object; determining a net profit level for a frader based at least in part on a frader's net position and a current market level; based on the net profit level, selecting a first money management filter to confrol order parameters associated with the order; and modifying an order quantity associated with the order to a first maximum order quantity associated with the first selected money management filter if the order quantity is higher than the first maximum order quantity.

91. A computer readable medium having stored therein instructions to execute the method of claim 90.

92. The method of claim 90, wherein the first plurality of money management filters are divided into a plurality of filter bands, wherein each filter band is triggered upon detecting a band triggering net profit level, and wherein each filter band comprises a plurality of money management filters.

93. The method of claim 92, wherein each of the plurality of money management filters within the filter band triggers upon detecting a predetermined net profit level that is lower than the band triggering net profit level, and wherein orders being sent by the frader are confrolled by the plurality of money management filters within the filter band until a frader reaches a higher band triggering net profit level associated with a next filter band.

94. The method of claim 90, wherein the net profit level comprises an overall profit level determined based on a plurality of net positions associated with a plurality of fradeable objects being traded by the frader, and wherein the overall profit level is further determined based on a plurality of last traded prices associated with the plurality of fradeable objects.

95. The method of claim 90, wherein the net profit level is determined using a following relationship:

Net profit level = (sells-buys) + (net position x market price).

96. The method of claim 90, further comprising: defining a second plurality of money management filters, wherein filter criteria associated with the second plurality of money management filters are based on a plurality of realized profit levels, and filter conditions associated with each of the second plurality of money management filters are associated with at least a maximum order quantity and a maximum net position; determining a realized profit level associated with a frader based on trader's buys and sells associated with the fradeable object; based on the realized profit level, determining if a second money management filter associated with the second plurality of money management filters is applicable to the order; and applying filter conditions associated with the second filter to the order parameters, wherein if filter conditions associated with the first filter are different than the filter conditions associated with the second filter, the most conservative filter conditions are selected to confrol the order parameters.

97. The method of claim 96, wherein the realized profit level is determined using a following relationship:

Realized profit level = Sells - Buys.

98. The method of claim 96, further comprising: defining a third plurality of money management filters, wherein filter criteria associated with the third plurality of money management filters are based on a plurality of open profit levels, and filter conditions associated with each of the third plurality of money management filters are associated with at least a maximum order quantity and a maximum net position; determining an open profit level based on the realized profit level and the net profit level; based on the open profit level, determining if a third filter of the third plurality of money management filters is applicable to the order; and applying filter conditions associated with the third filter to the order parameters, wherein if the filter conditions associated with the third filter are different than filter conditions associated with the first and second filter, the most conservative filter conditions are selected to confrol the order parameters.

99. The method of claim 98, wherein the open profit level is determined using a following relationship:

Open profit level = Net profit level - Realized profit level.

100. The method of claim 90, further comprising: defining a plurality of time-based filters, each time-based filter associated with at least a time-based trigger criteria and a set of filter conditions for controlling the order parameters; and applying the plurality of time-based filters to the order before the order is sent to the exchange.

101. The method of claim 100, wherein the plurality of time-based filters are further associated with filter criteria being triggered based on data from outside sources.

102. A system for money management in an elecfronic frading environment, the system comprising: a frading application for entering an order to an elecfronic exchange, wherein the order is associated with a fradeable object; and a money management application for intercepting the order before the order is sent to the exchange and dynamically determining at least one profit level based on a frader's net position and a current market level associated with the fradeable object, and based on the at least one profit level, applying to the order a plurality of money management parameters before the order is sent to the exchange.

103. The system of claim 102, wherein the plurality of money management parameters comprises a maximum order quantity and a maximum net position.

104. The system of claim 103, wherein the money management application is further configured to lower an order quantity to the maximum order quantity if the order quantity is higher than the maximum order quantity.

105. The system of claim 102, wherein the plurality of money management parameters are associated with at least one money management filter that is selected based on the at least one profit level.

106. The system of claim 105, wherein the at least one money management filter comprises a time-based filter.

107. The system of claim 105, wherein the at least one money management filter comprises a filter that is further triggered based on data from outside sources.

108. The system of claim 102, wherein the at least one profit level comprises a net profit level determined based on the frader's net position and a current market level.

109. The system of claim 108, wherein the net profit level is determined using a following relationship: Net profit level = (sells-buys) + (net position x market price).

110. The system of claim 108, wherein the money management application is further configured to determine a realized profit level based on trader's sells and buys associated with the tradeable object, and to use the realized profit level to dynamically determine the set of money management parameters to be applied to the order.

111. The system of claim 110, wherein the realized profit level is determined using a following relationship:

Realized profit level = Sells - Buys.

112. The system of claim 110, wherein the at least one profit level comprises an open profit level determined based on the realized profit level and the net profit level.

113. The system of claim 112, wherein the open profit level is determined using a following relationship:

Open profit level = Net profit level - Realized profit level.

114. The system of claim 102, wherein the money management application is further configured to determine at least one overall profit level based on a plurality of net positions and a plurality of current market levels associated with a plurality of fradeable objects being fraded by the frader, wherein the money management application is configured to determine the set of money management parameters to be applied to the order based on the at least one overall profit level.