Predictive automated routing system (PARS) for securities trading

• US 20020091606A1
• Filed: 01/11/2001
• Published: 07/11/2002
• Est. Priority Date: 01/11/2001
• Status: Abandoned Application

• Current Assignee: Transaction Auditing Group, Inc. (Europe) (S&P Global Inc.)
• Original Assignee: Transaction Auditing Group, Inc. (Europe) (S&P Global Inc.)
• Inventors: Shapiro, Alan
• Application Number:
  US09/758,777
• Publication Number:
  US 20020091606A1
• Time in Patent Office: Days
• US Class Current: 705/36.00R
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis

Abstract

A predictive automated routing system provides efficient and optimized securities trading. A User creates a personalized Best Execution Profile by selecting one or more statistical measures and by assigning respective weighting values to the selected statistical measures. The profile is transmitted to the User'"'"'s broker/dealer at the time of or in advance of order placement and the broker/dealer stores the Best Execution Profile. The User-defined execution quality preferences, as indicated by the Best Execution Profile, are matched to the execution quality statistics for a plurality of market centers to determine which market center is most likely to execute the trade consistent with the User'"'"'s trade execution quality preferences. Once a predictive match has been established, the order is automatically routed to the market center most likely to execute the trade consistent with the User-defined Best Execution Profile.

Claims

1. A method of directing a securities trade order to a particular financial market, said method comprising:

receiving trade execution quality preference information supplied by a user;

receiving an order for at least one securities trade from said user;

comparing said user supplied trade execution quality preference information to at least one statistical measure for each of a plurality of market centers; and

routing said order to one of said plurality of market centers as a function of said comparison.

2. The method of claim 1 wherein said step of receiving user-supplied trade execution quality preference information includes receiving at least a selected one of a plurality of execution quality parameters.

3. The method of claim 2 wherein said comparing step includes comparing statistical measures of said at least selected one of said execution quality parameters for each of said plurality of market centers.

4. The method of claim 1 wherein said step of receiving user-supplied trade execution quality preference information includes:

receiving at least a selected two of a plurality of execution quality parameters, and receiving an assigned relative weight value for at least one of said selected execution quality parameters.

5. The method of claim 4 wherein said comparing step includes:

comparing statistical measures of said at least two selected execution quality parameters for each of said plurality of market centers;

said comparison assigning greater significance to respective ones of said selected execution quality parameters having a greater assigned relative weight value than others of said selected execution qualities.

6. The method of claim 1 wherein said comparing step includes selecting a respective one of said plurality of market centers having said at least one statistical measure that most closely matches said user-supplied trade execution quality preference information.

7. The method of claim 1 wherein said step of receiving trade execution quality preference information is carried out concurrently with said step of receiving an order for at least one securities trade.

8. The method of claim 1 wherein said step of receiving trade execution quality preference information precedes said step of receiving an order for at least one securities trade.

9. The method of claim 1 wherein said step of receiving trade execution quality preference information includes receiving said trade execution quality preference information via at least one of the Internet, an Intranet, a data network, a telephone network, a postal service and a courier service.

10. The method of claim 1 wherein said step of receiving an order includes receiving said order via at least one of the Internet, an Intranet, a data network, a telephone network, a postal service and a courier service.

11. The method of claim 1 further comprising:

transmitting a selection form to said user prior to receiving said trade execution quality preference information.

12. The method of claim 1 further comprising:

storing said trade execution quality preference information.

13. The method of claim 1 wherein said step of receiving trade execution quality preference information includes:

receiving at least a selected two of a plurality of execution quality parameters, and receiving respective assigned weight values for each of said selected execution quality parameters; and

said method further comprises;

combining said respective assigned weight values to obtain a total relative weight value, and dividing each of said respective assigned relative weight values by said total relative weight value to obtain respective relative weight values for each of said selected execution quality parameters.

14. The method of claim 13 wherein said comparing step includes:

determining a plurality of average values, each corresponding to a respective one of said selected execution quality parameters, by averaging performance data of each of said selected execution quality parameters for each of a plurality of market centers;

determining a plurality of relative strength values, each corresponding to a respective one of said selected execution quality parameters and to a respective one of said plurality of market centers, by either dividing said performance data of each of said selected execution quality parameters for each of said plurality of market centers by a respective one of said plurality of average values corresponding to said respective one of said selected execution quality parameters or by dividing said respective one of said plurality of average values corresponding to said respective one of said selected execution quality parameters by said performance data of each of said selected execution quality parameters for each of said plurality of market centers;

determining a plurality of weighted performance values, each corresponding to a respective one of said selected execution quality parameters and to a respective one of said plurality of market centers, by multiplying each of said plurality of relative strength values by corresponding ones of said respective relative weight values;

determining a plurality of market center score values, each corresponding to a respective one of said plurality of market centers, by combining respective ones of said plurality of weighted performance values that correspond to said respective one of said plurality of market centers; and

selecting said respective one of said plurality of market centers that corresponds to a highest one of said plurality of market center score values.

16. The method of claim 13 wherein said step of providing trade execution quality preference information includes providing at least a selected one of a plurality of execution quality parameters.

17. The method of claim 13 wherein said step of providing trade execution quality preference information includes:

providing at least a selected two of a plurality of execution quality parameters, and providing an relative weight value to at least one of said selected execution quality parameters.

18. The method of claim 15 wherein said step of providing trade execution quality preference information includes transmitting said trade execution quality preference information via at least one of the Internet, an Intranet, a data network, a telephone network, and a courier service.

19. The method of claim 15 further comprising the step of receiving a selection form prior to providing said trade execution quality preference information.

15. A method of placing an order to trade at least one security, said method comprising:

providing user-defined trade execution quality preference information to a broker/dealer, selecting at least one security for trading; and

transmitting an order for trading said security to a broker/dealer such that said order is carried out at a preferred one of a plurality of market centers, said preferred market center being selected as a function of a comparison of said user-defined trade execution quality preference information with at least one statistical measure for each of said plurality of market centers.

20. A system for routing orders in financial market comprising:

a computer device configured to receive trade execution quality preference information supplied by a user and further configured to receive an order for at least one securities trade from said user;

a database configured to store at least one statistical measure for each of a plurality of market centers; and

a processor device, in communication with said computer device and said database, configured to compare said user-supplied trade execution quality preference information to at least one statistical measure for each of said plurality of market centers and further configured to route said order to one of said plurality of market centers as a function of said comparison.

21. The system of claim 20 wherein said trade execution quality preference information includes at least a selected one of a plurality of execution quality parameters.

22. The system of claim 21 wherein said processor device is further configured to compare statistical measures of said at least selected one of said execution quality parameters for each of said plurality of market centers.

23. The system of claim 20 wherein said user-supplied trade execution quality preference information includes:

at least a selected two of a plurality of execution quality parameters, and an assigned relative weight value for at least one of said selected execution quality parameters.

24. The system of claim 23 wherein said processor device is further configured to compare statistical measures of said selected execution qualities at each of said plurality of market centers and further configured to assign greater significance to respective ones of said selected execution quality parameters having a greater assigned relative weight value than others of said selected execution quality parameters.

25. The system of claim 20 wherein said processor is further configured to select a respective one of said plurality of market centers having said at least one statistical measure that most closely best matches said trade execution quality preference user-supplied trade execution quality preference information.

26. The system of claim 20 wherein said computer device receives said trade execution quality preference information concurrently with said order for at least one securities trade.

27. The system of claim 20 wherein said computer device receives said trade execution quality preference information before receiving an order for at least one securities trade.

28. The system of claim 20 wherein said computer device receives said trade execution quality preference information via at least one of the Internet, an Intranet, a data network, a telephone network, and a courier service.

29. The system of claim 20 wherein said computer device receives said order via at least one of the Internet, an Intranet, a data network, a telephone network, and a courier service.

30. The system of claim 20 wherein said computer device is further configured to transmit a selection form to said User prior to receiving said trade execution quality preference information.

31. The system of claim 20 further comprising a storage medium configured to store said user-supplied trade execution quality preference information

32. The system of claim 20 wherein said trade execution quality preference information includes:

at least a selected two of a plurality of execution quality parameters, respective assigned weight values for each of said selected execution quality parameters, and respective relative weight values for each of said selected execution quality parameters obtained by dividing each of said respective assigned relative weight values by a total relative weight value;

said total relative weight value being determined by combining said respective assigned weight values.

33. The system of claim 31 wherein said processor is further configured to:

determine a plurality of average values, each corresponding to a respective one of said selected execution quality parameters, by averaging performance data of each of said selected execution quality parameters for each of a plurality of market centers;

determine a plurality of relative strength values, each corresponding to a respective one of said selected execution quality parameters and to a respective one of said plurality of market centers, by either dividing said performance data of each of said selected execution quality parameters for each of said plurality of market centers by a respective one of said plurality of average values corresponding to said respective one of said selected execution quality parameters or by dividing said respective one of said plurality of average values corresponding to said respective one of said selected execution quality parameters by said performance data of each of said selected execution quality parameters for each of said plurality of market centers;

determine a plurality of weighted performance values, each corresponding to a respective one of said selected execution quality parameters and to a respective one of said plurality of market centers, by multiplying each of said plurality of relative strength values by corresponding ones of said respective relative weight values;

determine a plurality of market center score values, each corresponding to a respective one of said plurality of market centers, by combining respective ones of said plurality of weighted performance values that correspond to said respective one of said plurality of market centers; and

select said respective one of said plurality of market centers that corresponds to a highest one of said plurality of market center score values.

35. The medium of claim 34 wherein said instructions for receiving user-supplied trade execution quality preference information includes instructions for receiving at least a selected one of a plurality of execution quality parameters.

36. The medium of claim 35 wherein said instructions for comparing includes instructions for comparing statistical measures of said at least selected one of said execution quality parameters for each of said plurality of market centers.

37. The medium of claim 34 wherein said instructions for receiving user-supplied trade execution quality preference information includes:

instructions for receiving at least a selected two of a plurality of execution quality parameters, and instructions for receiving an assigned relative weight value for at least one of said selected execution quality parameters.

38. The medium of claim 37 wherein said instructions for comparing includes:

instructions for comparing statistical measures of said at least two selected execution quality parameters for each of said plurality of market centers;

said comparison assigning greater significance to respective ones of said selected execution quality parameters having a greater assigned relative weight value than others of said selected execution qualities.

39. The medium of claim 34 wherein said instructions for comparing includes instructions for selecting a respective one of said plurality of market centers having said at least one statistical measure that most closely matches said user-supplied trade execution quality preference information.

40. The medium of claim 34 wherein said instructions for receiving trade execution quality preference information is carried out concurrently with said instructions for receiving an order for at least one securities trade.

41. The medium of claim 34 wherein said instructions for receiving trade execution quality preference information precedes said instructions for receiving an order for at least one securities trade.

42. The medium of claim 34 wherein said instructions for receiving trade execution quality preference information includes instructions for receiving said trade execution quality preference information via at least one of the Internet, an Intranet, a data network, a telephone network, a postal service and a courier service.

43. The medium of claim 34 wherein said instructions for receiving an order includes instructions for receiving said order via at least one of the Internet, an Intranet, a data network, a telephone network, a postal service and a courier service.

44. The medium of claim 34 further comprising instructions for transmitting a selection form to said user prior to receiving said trade execution quality preference information.

45. The medium of claim 34 further comprising instructions for storing said trade execution quality preference information.

46. The medium of claim 34 wherein said instructions for receiving trade execution quality preference information includes:

instructions for receiving at least a selected two of a plurality of execution quality parameters, and instructions for receiving respective assigned weight values for each of said selected execution quality parameters; and

said medium further comprises;

instructions for combining said respective assigned weight values to obtain a total relative weight value, and instructions for dividing each of said respective assigned relative weight values by said total relative weight value to obtain respective relative weight values for each of said selected execution quality parameters.

47. The medium of claim 46 wherein said instructions for comparing includes:

instructions for determining a plurality of average values, each corresponding to a respective one of said selected execution quality parameters, by averaging performance data of each of said selected execution quality parameters for each of a plurality of market centers;

instructions for determining a plurality of relative strength values, each corresponding to a respective one of said selected execution quality parameters and to a respective one of said plurality of market centers, by either dividing said performance data of each of said selected execution quality parameters for each of said plurality of market centers by a respective one of said plurality of average values corresponding to said respective one of said selected execution quality parameters or by dividing said respective one of said plurality of average values corresponding to said respective one of said selected execution quality parameters by said performance data of each of said selected execution quality parameters for each of said plurality of market centers;

instructions for determining a plurality of weighted performance values, each corresponding to a respective one of said selected execution quality parameters and to a respective one of said plurality of market centers, by multiplying each of said plurality of relative strength values by corresponding ones of said respective relative weight values;

instructions for determining a plurality of market center score values, each corresponding to a respective one of said plurality of market centers, by combining respective ones of said plurality of weighted performance values that correspond to said respective one of said plurality of market centers; and

instructions for selecting said respective one of said plurality of market centers that corresponds to a highest one of said plurality of market center score values.

34. A readable medium comprising instructions for directing a securities trade order to a particular financial market, said instructions comprising:

instructions for receiving trade execution quality preference information supplied by a user;

instructions for receiving an order for at least one securities trade from said user;

instructions for comparing said User supplied trade execution quality preference information to at least one statistical measure for each of a plurality of market centers; and

instructions for routing said order to one of said plurality of market centers as a function of said comparison.