专利汇可以提供System, apparatus and method for performing a trailing stop investment transaction专利检索,专利查询,专利分析的服务。并且The present invention provides a system, apparatus and method for performing a buy/sell side trailing stop transaction by: (a) receiving a transaction request for an investment containing a target price, a stop price and a trail amount for an investment, (b) obtaining an ask/bid/last price for the investment, (c) determining whether the ask/bid/last price is less/greater than or equal to the target price, (d) whenever the ask/bid/last price is less/greater than or equal to the target price, setting the stop price equal to the ask/bid/last price plus/minus the trail amount and repeating steps (b)-(e), and (e) whenever the ask/bid/last price is greater/less than the target price, determining whether the ask/bid/last price is greater/less than or equal to the stop price, repeating steps (b)-(e) whenever the ask/bid/last price is less/greater than the stop price, submitting a buy/sell order whenever the ask/bid/last price is greater/less than or equal to the stop price.,下面是System, apparatus and method for performing a trailing stop investment transaction专利的具体信息内容。
The present invention relates in general to the field of computer software and more particularly to a system, apparatus and method for performing a trailing stop investment transaction.
With the advent of electronic trading, it is more critical than ever to make appropriate entry and exit decisions quickly to maximize profits while minimizing losses. This is especially true with day trading. Yet with the many technological advances in investment analysis tools, investment orders or trades have remained relatively unchanged. In fact, a number of investor trading methods require the investor to submit and cancel numerous orders as they ride an investment trend. Moreover, current trade execution systems prevent the investor from being “creative” in their trades or implementing any type of complex trading strategy. As a result, an investor must constantly monitor the market and/or investment after an order has been placed to guard against a turn in the market or cancel the order to take advantage of an opportunity.
Attempts have been made to solve these problems. For example, U.S. Patent Publication 20020004776 proposes an automated trading system that requires a user to input trigger criteria and account information into sophisticated market analysis software, which in turn monitors changes in market data and outputs a trade decision. The trade decision is then sent to an on-line trading account, which in turn submits a trade order. This system requires both the market analysis software and the on-line trading software. Moreover, the user must be well versed in the filtering criteria of the market analysis software in order to set up the user's trading plan. For most investors, even sophisticated investors, the complexity of such a system and the idea of having a computer automatically executing a trading plan are far too risky. In addition, a good investor relies on more than just a preprogrammed plan to make money in a market. As a result, such an automated trading system does not provide an investor with an easy to use system that will interface with current systems and does not require the use sophisticated market analysis software to interface with an on-line trading account.
There is, therefore, a need for a system, apparatus and method for performing a trailing stop investment transaction, which reduces the risk and loss for the investor, saves the investor time and can be managed without investor control.
The present invention provides a system, apparatus and method for performing a trailing stop investment transaction. Using the present invention, anyone interested in investments, such as individual investors or investment brokers, can create, customize and submit complex investment orders having multiple conditions from their home, office or location of their choice without having to constantly monitor the status of such orders. As a result, the present invention reduces the risk and loss for the investor and saves the investor time.
In one embodiment, the present invention provides a system, apparatus and method for initiation of investment transactions based upon the value of a security held by the investor or trader reaching a predetermined amount (set value, change or percentage change), followed by the unattended execution of the transaction determined by transitions in the value of the security. The trader of the security transmits the order to an intermediary system and identifies the order transmitted as being unique from standard security transactions by specifying an order type indicating that the order should not be processed for execution until one or more non-time-based conditions related to a security are met. The conditions are typically based on the value of the security, such as a current ask price, current bid price, current last price, target price, etc. The conditions may also include changes in the value of the security, such as a currency amount change or percentage change, etc.
In addition, the present invention provides a method for performing a multiple condition investment transaction by: (a) receiving a transaction request for an investment containing two or more non-time-based conditions, each non-time-based condition having an action to be performed whenever the non-time-based condition is satisfied, (b) obtaining market information for the investment, (c) determining whether any of the two or more non-time-based conditions are satisfied based on the market information, (d) repeating steps (b) through (e) whenever none of the two or more non-time-based conditions are satisfied, and (e) performing the action associated with each non-time-based condition that is satisfied whenever any of the non-time-based conditions are satisfied.
The transaction request may include a buy-side trailing stop order, a sell-side trailing stop order or other user customized multiple condition order. The investment can be a stock, a bond, a mutual fund, a commodity, an option, a foreign currency pair or other investment traded electronically in a market. Typically, the non-time-based condition will include a target price, a stop price, a price change, a trading volume or a trailing amount. The action associated with the non-time-based condition can be an instruction to cancel the request, submit an order for the investment, or modify one or more of the non-time-based conditions. The transaction request may also include one or more time-based conditions having an associated action to cancel the request or submit an order.
The present invention also provides a method for performing a sell-side trailing stop transaction by: (a) receiving a transaction request for an investment containing a target price, a stop price and a trail amount for an investment, (b) obtaining a current bid price for the investment, (c) determining whether the current bid price is greater than or equal to the target price, (d) whenever the current bid price is greater than or equal to the target price, setting the stop price equal to the current bid price minus the trail amount and repeating steps (b) through (e), and (e) whenever the current bid price is less than the target price, determining whether the current bid price is less than or equal to the stop price, repeating steps (b) through (e) whenever the current bid price is greater than the stop price, and submitting a market or limit sell order whenever the current bid price is less than or equal to the stop price. In one embodiment, the stop price is not set equal to the current bid price minus the trail amount when the current bid price minus the trail amount is greater than the stop price. Alternatively, the present invention can use a last price instead of the current bid price.
Similarly, the present invention provides a method for performing a buy-side trailing stop transaction by: (a) receiving a transaction request for an investment containing a target price, a stop price and a trail amount for an investment, (b) obtaining a current ask price for the investment, (c) determining whether the current ask price is less than or equal to the target price, (d) whenever the current ask price is less than or equal to the target price, setting the stop price equal to the current ask price plus the trail amount and repeating steps (b) through (e), and (e) whenever the current ask price is greater than the target price, determining whether the current ask price is greater than or equal to the stop price, repeating steps (b) through (e) whenever the current ask price is less than the stop price, and submitting a market or limit buy order whenever the current ask price is greater than or equal to the stop price. In one embodiment, the stop price is not set equal to the current ask price plus the trail amount when the current ask price plus the trail amount is less than the stop price. Alternatively, the present invention can use a last price instead of the current ask price.
Moreover, the present invention provides an apparatus for performing a multiple condition investment transaction that includes one or more market communication interfaces and a processor communicably coupled to the one or more market communication interfaces. The processor performs the following steps: (a) receiving a transaction request for an investment containing two or more non-time-based conditions, each non-time-based condition having an action to be performed whenever the non-time-based condition is satisfied, (b) obtaining market information for the investment from a market via the one or more market communication interfaces, (c) determining whether any of the two or more non-time-based conditions are satisfied based on the market information, (d) repeating steps (b) through (e) whenever none of the two or more non-time-based conditions are satisfied, and (e) performing the action associated with each non-time-based condition that is satisfied whenever any of the non-time-based conditions are satisfied. The apparatus may also include one or more client communication interfaces communicably coupled to the processor.
In addition, the present invention provides an apparatus for performing a sell-side trailing stop transaction that includes one or more market communication interfaces communicably coupled to one or more markets and a processor communicably coupled to the one or more market communication interfaces. The processor performs the following steps: (a) receiving a transaction request for an investment containing a target price, a stop price and a trail amount for an investment, (b) obtaining a current bid price for the investment, (c) determining whether the current bid price is greater than or equal to the target price, (d) whenever the current bid price is greater than or equal to the target price, setting the stop price equal to the current bid price minus the trail amount and repeating steps (b) through (e), and (e) whenever the current bid price is less than the target price, determining whether the current bid price is less than or equal to the stop price, repeating steps (b) through (e) whenever the current bid price is greater than the stop price, and submitting a market or limit sell order whenever the current bid price is less than or equal to the stop price. In one embodiment, the stop price is not set equal to the current bid price minus the trail amount when the current bid price minus the trail amount is greater than the stop price. Alternatively, the present invention can use a last price instead of the current bid price.
Similarly, the present invention provides an apparatus for performing a buy-side trailing stop transaction that includes one or more market communication interfaces and a processor communicably coupled to the one or more market communication interfaces. The processor performs the following steps: (a) receiving a transaction request for an investment containing a target price, a stop price and a trail amount for an investment, (b) obtaining a current ask price for the investment, (c) determining whether the current ask price is less than or equal to the target price, (d) whenever the current ask price is less than or equal to the target price, setting the stop price equal to the current ask price plus the trail amount and repeating steps (b) through (e), and (e) whenever the current ask price is greater than the target price, determining whether the current ask price is greater than or equal to the stop price, repeating steps (b) through (e) whenever the current ask price is less than the stop price, and submitting a market or limit buy order whenever the current ask price is greater than or equal to the stop price. In one embodiment, the stop price is not set equal to the current ask price plus the trail amount when the current ask price plus the trail amount is less than the stop price. Alternatively, the present invention can use a last price instead of the current ask price.
Moreover, the present invention provides a system for performing a multiple condition investment transaction that includes one or more markets, one or more networks, a one or more market communication interfaces communicably coupled to one or more markets via the one or more networks and a processor communicably coupled to the first communications interface. The processor performs the following steps: (a) receiving a transaction request for an investment containing two or more non-time-based conditions, each non-time-based condition having an action to be performed whenever the non-time-based condition is satisfied, (b) obtaining market information for the investment from the market via the one or more market communication interfaces, (c) determining whether any of the two or more non-time-based conditions are satisfied based on the market information, (d) repeating steps (b) through (e) whenever none of the two or more non-time-based conditions are satisfied, and (e) performing the action associated with each non-time-based condition that is satisfied whenever any of the non-time-based conditions are satisfied.
In addition, the present invention provides a system for performing a multiple condition investment transaction that includes one or more markets, one or more networks, one or more market communication interfaces communicably coupled to one or more markets via the one or more networks and a processor communicably coupled to the one or more market communications interfaces. The processor performs the following steps: (a) receiving a transaction request for an investment containing a target price, a stop price and a trail amount for an investment, (b) obtaining a current bid price for the investment, (c) determining whether the current bid price is greater than or equal to the target price, (d) whenever the current bid price is greater than or equal to the target price, setting the stop price equal to the current bid price minus the trail amount and repeating steps (b) through (e), and (e) whenever the current bid price is less than the target price, determining whether the current bid price is less than or equal to the stop price, repeating steps (b) through (e) whenever the current bid price is greater than the stop price, and submitting a market or limit sell order whenever the current bid price is less than or equal to the stop price. In one embodiment, the stop price is not set equal to the current bid price minus the trail amount when the current bid price minus the trail amount is greater than the stop price. Alternatively, the present invention can use a last price instead of the current bid price.
Similarly, the present invention provides a system for performing a multiple condition investment transaction that includes one or more markets, one or more networks, one or more market communication interfaces communicably coupled to one or more markets via the one or more networks and a processor communicably coupled to the one or more market communication interfaces. The processor performs the following steps: (a) receiving a transaction request for an investment containing a target price, a stop price and a trail amount for an investment, (b) obtaining a current ask price for the investment, (c) determining whether the current ask price is less than or equal to the target price, (d) whenever the current ask price is less than or equal to the target price, setting the stop price equal to the current ask price plus the trail amount and repeating steps (b) through (e), and (e) whenever the current ask price is greater than the target price, determining whether the current ask price is greater than or equal to the stop price, repeating steps (b) through (e) whenever the current ask price is less than the stop price, and submitting a market or limit buy order whenever the current ask price is greater than or equal to the stop price. In one embodiment, the stop price is not set equal to the current ask price plus the trail amount when the current ask price plus the trail amount is less than the stop price. Alternatively, the present invention can use a last price instead of the current ask price.
Other features and advantages of the present invention will be apparent to those of ordinary skill in the art upon reference to the following detailed description taken in conjunction with the accompanying drawings.
For a more complete understanding of the features and advantages of the present invention, reference is now made to the detailed description of the invention along with the accompanying figures in which corresponding numerals in the different figures refer to corresponding parts in which:
It should be understood that the principles and applications disclosed herein can be applied to a wide range of investment trading scenarios, such as stocks, bonds, mutual funds, commodities, options, foreign exchange currency pairs, etc. For purposes of explanation and illustration, the present invention is hereafter described in reference to the initiation, processing and submission of investment orders. The present invention allows anyone interested in investments, such as individual investors or investment brokers, to create, customize and submit complex investment orders having multiple conditions from their home, office or location of their choice without having to constantly monitor the status of such orders. As a result, the present invention reduces the risk and loss for the investor, saves the investor time, and can be managed without investor control.
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Typically, the non-time-based condition will include a target price, a stop price, a price change (currency amount per unit or percentage of value), a trading volume or a trailing amount. Each non-time-based condition has a corresponding action to be performed whenever the non-time-based condition is satisfied. The action associated with the non-time-based condition can be an instruction to cancel the request, submit an order for the investment, or modify one or more of the non-time-based conditions. For example, the non-time-based condition can be a current price for the investment crosses a target price and the associated action sets a stop price based on the current price and a trail amount. The current price can be set by the client or the server to be an asking price, a bid price, a last price, an opening price or a closing price. Similarly, the non-time-based condition can be a current price for the investment crossing a stop price and the associated action submits a market order or a limit order for the investment. The two or more non-time-based conditions can be formatted or entered to represent a Boolean formula. Moreover, the non-time-based conditions and their associated actions can be formatted or entered as one or more logical expressions. Note that the transaction request may also include one or more time-based conditions having an associated action to cancel the request or submit an order within a specified time period, such as time certain, time from order, time before market close, market close, days, weeks, etc.
Market information for the investment is then obtained from a source of market information in block 304. The market information may include an asking price, a bid price, a price change, an opening price, a closing price, a trading volume, etc. A determination is then made whether or not any of the two or more non-time-based conditions are satisfied based on the market information in block 306. If none of the two or more non-time-based conditions are satisfied, as determined in decision block 308, the process loops back to block 304 and obtains market information for the investment and again determines whether or not any of the non-time-based conditions are satisfied in block 306. If, however, any of the non-time-based conditions are satisfied, as determined in decision block 308, the action associated with each non-time-based condition that is satisfied is performed in block 310. Depending on the implementation of the present invention, the process may then loop back to block 304 after completion of block 310 if the actions performed do not cancel the transaction request or submit an order for the investment, or the actions performed modifies one or more of the non-time-based conditions. Other optional steps may include validating the transaction request, sending an acknowledgment that the transaction request has been successfully received, requesting confirmation of the transaction request, sending a notification of the action taken to an originator of the transaction request, or waiting for a specified period of time before performing obtaining the market information in block 304. The present invention, therefore, provides unattended execution of a multiple condition investment transaction.
Referring now to
Typically, the non-time-based condition will include a target price, a stop price, a price change (currency amount per unit or percentage of value), a trading volume or a trailing amount. Each non-time-based condition has a corresponding action to be performed whenever the non-time-based condition is satisfied. In this embodiment, the action associated with the non-time-based condition can be an instruction to cancel the request, submit an order for the investment, or modify one or more of the non-time-based conditions. For example, the non-time-based condition can be a current price for the investment crosses a target price and the associated action sets a stop price based on the current price and a trail amount. The current price can be set by the client or the server to be an asking price, a bid price, a last price, an opening price or a closing price. Similarly, the non-time-based condition can be a current price for the investment crossing a stop price and the associated action submits a market order or limit order for the investment. The two or more non-time-based conditions can formatted or entered to represent a Boolean formula. Moreover, the non-time-based conditions and their associated actions can be formatted or entered as one or more logical expressions. Note that the multiple condition order may also include one or more time-based conditions having an associated action to cancel the request or submit an order within a specified time period, such as time certain, time from order, time before market close, market close, days, weeks, etc.
If the multiple condition order is not valid, as determined in decision block 404, an error message is sent to the client application in block 406. If, however, the multiple condition order is valid, as determined in decision block 404, market information for the investment is then obtained from a source of market information in block 408. The market information is typically obtained through a request/response process, a data query or an automatic update process. The market information may include an asking price, a bid price, a last price, a price change, an opening price, a closing price, a trading volume, etc. A determination is then made whether or not any of the two or more non-time-based conditions are satisfied based on the market information. If order condition one is satisfied, as determined in decision block 410, the action or result associated with condition one is performed. If the action or result is to modify the order, as determined in decision block 412, the order is modified based on the market information in block 414, the client is notified of the order modification in block 416 and the process loops back to block 408 to obtain current market information. Alternatively, the process can continue to check the other conditions before looping back to obtain current market information. If the action or result is to submit an order, as determined in decision block 412, the order is submitted or executed in block 418, an order execution confirmation is received in block 420 and the client is notified of the order execution in block 422. If the action or result is to cancel the order, as determined in decision block 412, the order is cancelled in block 424 and the client is notified of the order cancellation in block 426.
If, however, order condition one is not satisfied, as determined in decision block 410, and order condition two is satisfied, as determined in decision block 430, the action or result associated with condition two is performed. If the action or result is to modify the order, as determined in decision block 432, the order is modified based on the market information in block 434, the client is notified Of the order modification in block 436 and the process loops back to block 408 to obtain current market information. Alternatively, the process can continue to check the other conditions before looping back to obtain current market information. If the action or result is to submit an order, as determined in decision block 432, the order is submitted or executed in block 438, an order execution confirmation is received in block 440 and the client is notified of the order execution in block 442. If the action or result is to cancel the order, as determined in decision block 432, the order is cancelled in block 444 and the client is notified of the order cancellation in block 446.
If, however, order condition two is not satisfied, as determined in decision block 430, and order condition N (indicating that there can be N number of conditions) is satisfied, as determined in decision block 450, the action or result associated with condition N is performed. If the action or result is to modify the order, as determined in decision block 452, the order is modified based on the market information in block 454, the client is notified of the order modification in block 456 and the process loops back to block 408 to obtain current market information. Alternatively, the process can continue to check the other conditions before looping back to obtain current market information. If the action or result is to submit an order, as determined in decision block 452, the order is submitted or executed in block 458, an order execution confirmation is received in block 460 and the client is notified of the order execution in block 462. If the action or result is to cancel the order, as determined in decision block 452, the order is cancelled in block 464 and the client is notified of the order cancellation in block 466. If, however, order condition N is not satisfied as determined in decision block 450 and the order has not been cancelled by the client, as determined in decision block 470, the process loops back to block 408 to obtain current market information. If, however, order condition N is not satisfied as determined in decision block 450 and the order has been cancelled by the client, as determined in decision block 470, the order is cancelled in block 464 and the client is notified of the order cancellation in block 466. The present invention, therefore, provides unattended execution of a multiple condition investment transaction.
Now referring to
In the Sell Side example (
In the Buy Side example (
The present invention can be implemented using existing trading protocols. No new tags are required to support this feature; all required values are specified using minor variations to existing FIX protocol specifications. Even though trailing stops aren't supported in FIX prior to version 4.4, the proposed implementation can be easily implemented with version 4.1 or later. The trailing stop implementation follows the FIX 4.4 specification for trailing stop orders with the exception of the use of the PegDifference tag (Tag 211). The following defines the FIX tags and values for implementing stop loss with targeted trailing stop:
The following pseudo code describes an algorithm that is one possible method for implementing a stop loss with targeted trailing stop orders in accordance with the present invention. The following logic is performed for each change in bid or ask price for the investment. Note that a current ask price or bid price can be used instead of the last price.
If the order is buy side (‘1’) then
Referring now to
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If, however, the order is a sell-side trailing stop transaction, as determined in decision block 904 a current bid price for the investment is obtained in block 926. The current bid price is typically obtained through a request/response process, a data query or an automatic update process. Note that a last price can be used instead of the current bid price. If the current bid price is less than the target price, as determined in decision block 928, and the current bid price is less than or equal to the stop price, as determined in decision block 930, a market sell order is submitted in block 932. If, however, the current bid price is greater than or equal to the target price, as determined in decision block 928, and the current bid price minus the trail amount is greater than the stop price, as determined in decision block 934, the stop price is set equal to the current bid price minus the trail amount in block 936. Thereafter, or if the current bid price minus the tail amount is not greater than the stop price, as determined in decision block 934, or the current bid price is greater than the stop price, as determined in decision block 930, the process returns to block 926 where the current bid price is obtained and the process continues as previously described.
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The apparatus 1000 can be operated in a stand alone configuration 1102 (
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Although particular embodiments of the present invention have been described in detail, it will be understood by those skilled in the art that various modifications can be made therein without departing from the spirit and scope of the invention as set forth in the appended claims. Moreover, other programs or systems can be created or modified to implement the methods of the present invention. As a result, it is not intended that the present invention be limited to the particular system, apparatus and methods shown in
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