Data processing system, methods and computer program for determining the transaction costs for a linked set of stock transactions

• US 20050102218A1
• Filed: 11/10/2003
• Published: 05/12/2005
• Est. Priority Date: 11/10/2003
• Status: Abandoned Application

• Current Assignee: Quantitative Services Group LLC (S&P Global Inc.)
• Original Assignee: Quantitative Services Group LLC (S&P Global Inc.)
• Inventors: Wei, Ning, Sargent, Timothy Alan, Wightkin, John Gerard
• Application Number:
  US10/704,892
• Publication Number:
  US 20050102218A1
• 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
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis

Abstract

A data processing system, methods and computer program that determine transaction costs associated with a stock trade. A first portion of the analysis is a trade identification and association portion that identifies previous related trades from a database and orders the trades by ticker identity, time, price and share volume. A second portion determines individual transaction costs, including individual liquidity charge, individual liquidity premium and individual spread charge. A third portion determines cumulative liquidity charge, cumulative liquidity premium and cumulative spread charge. The program that enables the various analyses is also disclosed.

Claims

1. A method for determining the transaction costs associated with a stock trade, said method comprising the steps of:

identifying previous trade information from information stored in a database;

determining the individual transaction costs associated with said stock trade; and

determining the cumulative transaction costs associated with said stock trade.

2. The method for determining the transaction costs associated with a stock trade in accordance with claim 1, wherein the step of identifying previous trade information includes the step of:

ordering the previous trade information by ticker identity, time, price and share volume.

3. The method for determining the transaction costs associated with a stock trade in accordance with claim 1, wherein the step of identifying previous trade information includes the step of:

searching the database with a constraint that any related trades must be for trades of larger share volume than for said stock trade.

4. The method for determining the transaction costs associated with a stock trade in accordance with claim 1, wherein the step of identifying previous trade information includes the step of:

searching the database with a constraint that any related trades must be for trades within a predetermined time of said stock trade.

5. The method for determining the transaction costs associated with a stock trade in accordance with claim 4, wherein the step of identifying previous trade information includes the step of:

subsequently searching the database again with a looser time constraint.

6. The method for determining the transaction costs associated with a stock trade in accordance with claim 1, wherein the step of determining the individual transaction costs for a stock trade includes the steps of:

determining an individual liquidity charge;

determining an individual liquidity premium; and

determining an individual spread charge.

7. The method for determining the transaction costs associated with a stock trade in accordance with claim 1, wherein the step of determining the cumulative transaction costs for a stock trade includes the steps of:

determining a cumulative liquidity charge;

determining a cumulative liquidity premium; and

determining a cumulative spread charge.

8. A data processing system for determining the transaction costs associated with a stock trade, said data processing system comprising:

a database for storing information relating to previous stock trades;

means for identifying previous trade information from information stored in a database;

means for determining the individual transaction costs associated with said stock trade; and

means for determining the cumulative transaction costs associated with said stock trade.

9. The data processing system for determining the transaction costs associated with a stock trade in accordance with claim 8, wherein the means for identifying previous trade information further comprises:

means for ordering the previous trade information by ticker identity, time, price and share volume.

10. The data processing system for determining the transaction costs associated with a stock trade in accordance with claim 8, wherein the means for identifying previous trade information further comprises:

means for searching the database with a constraint that any related trades must be for trades of larger share volume than for said stock trade.

11. The data processing system for determining the transaction costs associated with a stock trade in accordance with claim 8, wherein the means for identifying previous trade information further comprises:

means for searching the database with a constraint that any related trades must be for trades within a predetermined time of said stock trade.

12. The data processing system for determining the transaction costs associated with a stock trade in accordance with claim 11, wherein the means for identifying previous trade information further comprises:

means for subsequently searching the database again with a looser time constraint.

13. The data processing system for determining the transaction costs associated with a stock trade in accordance with claim 8, wherein the means for determining the individual transaction costs for a stock trade further comprises:

means for determining an individual liquidity charge;

means for determining an individual liquidity premium; and

means for determining an individual spread charge.

14. The data processing system for determining the transaction costs associated with a stock trade in accordance with claim 8, wherein the means for determining the cumulative transaction costs for a stock trade further comprises:

means for determining a cumulative liquidity charge;

means for determining a cumulative liquidity premium; and

means for determining a cumulative spread charge.

15. A computer program product for determining transaction costs associated with a stock trade, the computer program product comprising:

a computer readable medium; and

instructions stored on the computer readable medium to cause a data processor to;

identify previous trade information from information stored in a database;

determine the individual transaction costs associated with said stock trade; and

determine the cumulative transaction costs associated with said stock trade.

16. The computer program product for determining the transaction costs associated with a stock trade in accordance with claim 15, wherein the instructions stored on the computer readable medium cause the data processor to:

order the previous trade information by ticker identity, time, price and share volume.

17. The computer program product for determining the transaction costs associated with a stock trade in accordance with claim 15, wherein the instructions stored on the computer readable medium cause the data processor to:

search the database with a constraint that any related trades must be for trades of larger share volume than for said stock trade.

18. The computer program product for determining the transaction costs associated with a stock trade in accordance with claim 15, wherein the instructions stored on the computer readable medium cause the data processor to:

search the database with a constraint that any related trades must be for trades within a predetermined time of said stock trade.

19. The computer program product for determining the transaction costs associated with a stock trade in accordance with claim 18, wherein the instructions stored on the computer readable medium cause the data processor to:

subsequently search the database again with a looser time constraint.

20. The computer program product for determining the transaction costs associated with a stock trade in accordance with claim 15, wherein the instructions stored on the computer readable medium cause the data processor to:

determine an individual liquidity charge;

determine an individual liquidity premium; and

determine an individual spread charge.

21. The computer program product for determining the transaction costs associated with a stock trade in accordance with claim 15, wherein the instructions stored on the computer readable medium cause the data processor to:

determine a cumulative liquidity charge;

determine a cumulative liquidity premium; and

determine a cumulative spread charge.