System, method, and computer program product for executing a buy or sell order

• US 20040254874A1
• Filed: 06/10/2003
• Published: 12/16/2004
• Est. Priority Date: 06/10/2003
• Status: Active Grant

• Current Assignee: Virtu ITG Software Solutions LLC
• Original Assignee: ITG Software Solutions, Inc. (Virtu Financial, Inc.)
• Inventors: Bok, Tomas, Cushing, David
• Granted Patent: US 8,306,900 B2
• Time in Patent Office: Days
• US Class Current: 705/37
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Abstract

An auto-trading strategy for executing an order to buy or sell a specified quantity of a certain item. The strategy utilizes urgency scores rather than time bins. In one embodiment, an urgency score is determined at a certain point in time. The urgency score is a function of a trading target associated with the point in time and the actual number of items that have been traded as of the certain point in time.

Claims

1. A method for selling X shares of a stock, where X is a number greater than zero, comprising:

submitting an initial set of orders to sell Y shares of the stock, wherein Y is less than or equal to X;

determining the total number out of the X shares that have been sold by a selected point in time that is after the point in time when the initial set of orders was submitted;

determining an urgency score, wherein the urgency score is based, at least in part, on said determined total number of shares sold by said selected point in time; and

creating a new tranche order specifying a quantity and a target price or modifying an existing tranche order, wherein the target price or modification is determined based, at least in part, on the urgency score.

2. The method of claim 1, further comprising employing a set of trading targets, wherein the urgency score is a function of, at the least, one of the trading targets within said set and said total number of shares sold.

3. The method of claim 2, wherein said one of the trading targets within said set specifies a trading target value.

4. The method of claim 3, further comprising determining the difference between said total number of shares sold and said trading target value.

5. The method of claim 4, wherein said urgency score is a function of, at the least, said difference between said total number of shares sold and said trading target value.

6. The method of claim 3, wherein the target value is associated with a point in time.

7. The method of claim 1, wherein the target price is determined using a limit order pricing algorithm, wherein at least one of the inputs to the limit order pricing algorithm is a function of, at the least, the urgency score.

8. The method of claim 1, further comprising:

employing a set of trading targets, wherein one of the trading targets is associated with said selected point in time;

employing a set of lower trading limits, each lower trading limit being associated with a different one of trading targets;

selecting said trading target associated with said selected point in time; and

determining whether said total number of shares sold is greater than a trading target value associated with said trading target, wherein

if said total number of shares sold is less than said trading target value, then the urgency score is a function of, at the least, the lower trading limit associated with said trading target.

9. The method of claim 8, further comprising employing a set of upper trading limits, each upper trading limit being associated with a different one of trading targets, wherein if said total number of shares sold is greater than said trading target value, then the urgency score is a function of, at the least, the upper trading limit associated with said trading target.

10. The method of claim 1, wherein the target price is the current market price so that the new order is a market order.

11. A system for selling X shares of a stock, where X is a number greater than zero, comprising:

means for submitting an initial set of orders to sell Y shares of the stock, wherein Y is less than or equal to X;

means for determining the total number out of the X shares that have been sold by a selected point in time that is after the initial set of orders was submitted;

means for determining an urgency score, wherein the urgency score is based, at least in part, on said total number of shares sold by said selected point in time; and

means for creating a new order specifying a quantity and a target price or means for modifying an existing tranche order, wherein the target price or modification is determined based, at least in part, on the urgency score.

12. The system of claim 11, further comprising a set of trading targets, wherein the urgency score is a function of, at the least, one of the trading targets within said set and said total number of shares sold.

13. The system of claim 12, wherein said one of the trading targets within said set specifies a trading target value.

14. The system of claim 13, further comprising means for determining the difference between said total number of shares sold and said trading target value.

15. The system of claim 14, wherein said urgency score is a function of, at the least, said difference between said total number of shares sold and said trading target value.

16. The system of claim 13, wherein the target value is associated with a point in time.

17. The system of claim 11, wherein the target price is determined using a limit order pricing algorithm, wherein at least one of the inputs to the limit order pricing algorithm is a function of, at the least, the urgency score.

18. The system of claim 11, further comprising:

a set of trading targets, wherein one of the trading targets is associated with said selected point in time;

a set of lower trading limits, each lower trading limit being associated with a different one of the trading targets;

means for determining whether said total number of shares sold is greater than a trading target value associated with said trading target associated with said selected point in time, wherein

if said total number of shares sold is less than said trading target value, then the urgency score is a function of, at the least, the lower trading limit associated with said trading target.

19. The system of claim 18, further comprising a set of upper trading limits, each upper trading limit being associated with a different one of the trading targets, wherein if said total number of shares sold is greater than said trading target value, then the urgency score is a function of, at the least, the upper trading limit associated with said trading target.

20. The system of claim 11, wherein the target price is the current market price so that the new order is a market order.

21. A computer program product including a machine readable medium having stored therein instructions for selling X shares of a stock, where X is a number greater than zero, the instructions comprising:

instructions for submitting an initial set of orders to sell Y shares of the stock, wherein Y is less than or equal to X;

instructions for determining the total number out of the X shares that have been sold by a selected point in time that is after the initial set of orders was submitted;

instructions for determining an urgency score, wherein the urgency score is based, at least in part, on said total number of shares sold by said selected point in time; and

instructions for creating a new order specifying a quantity and a target price or instructions for modifying an existing tranche order, wherein the target price or modification is determined based, at least in part, on the urgency score.

22. The computer program product of claim 21, wherein the instructions further comprise instructions for acquiring a set of trading targets, wherein the urgency score is a function of, at the least, one of the trading targets within said set and said total number of shares sold.

23. The computer program product of claim 22, wherein said one of the trading targets within said set specifies a trading target value.

24. The computer program product of claim 23, wherein the instructions further comprise instructions for determining the difference between said total number of shares sold and said trading target value.

25. The computer program product of claim 24, wherein said urgency score is a function of, at the least, said difference between said total number of shares sold and said trading target value.

26. The computer program product of claim 23, wherein the target value is associated with a point in time.

27. The computer program product of claim 21, wherein the target price is determined using a limit order pricing algorithm, wherein at least one of the inputs to the limit order pricing algorithm is a function of, at the least, the urgency score.

28. The computer program product of claim 21, wherein the instructions further comprise:

instructions for acquiring a set of trading targets, wherein one of the trading targets is associated with said selected point in time;

instructions for acquiring a set of lower trading limits, each lower trading limit being associated with a different one of trading targets;

instructions for selecting said trading target associated with said selected point in time; and

instructions for determining whether said total number of shares sold is greater than a trading target value associated with said trading target, wherein

if said total number of shares sold is less than said trading target value, then the urgency score is a function of, at the least, the lower trading limit associated with said trading target.

29. The computer program product of claim 28, wherein the instructions further comprise instructions for acquiring a set of upper trading limits, each upper trading limit being associated with a different one of trading targets, wherein if said total number of shares sold is greater than said trading target value, then the urgency score is a function of, at the least, the upper trading limit associated with said trading target.

30. The computer program product of claim 21, wherein the target price is the current market price so that the new order is a market order.