Systems and methods for order analysis, enrichment, and execution

• US 20060259394A1
• Filed: 04/05/2006
• Published: 11/16/2006
• Est. Priority Date: 04/05/2005
• Status: Active Grant

• Current Assignee: Barclays Capital Incorporated (Barclays PLC)
• Original Assignee: Lehman Brothers Incorporated (Barclays PLC)
• Inventors: Bok, Tomas, Mancini, Mark Francis, Cushing, David Charles, Manwani, Amit
• Granted Patent: US 7,818,246 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
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis

Abstract

A preferred embodiment of the invention provides an interface providing a model-driven projection of various order execution statistics based on the exact strategy (channel, algorithm, and parameters) that is selected by a user. In at least one embodiment, the interface is linked to at least order execution system and comprises an order execution display. In one embodiment, the invention comprises a computer system operable to display a graphical user interface comprising (a) a pre-trade analysis component for displaying market intelligence information regarding one or more specified securities; and (b) a strategy selection component for displaying order execution strategies for selection by a user and that comprises (i) an order execution component for routing a selected order execution strategy to an order execution system; (ii) an interface for enabling a user to specify trading strategies and strategy requirements; and (iii) a display for displaying projected order completion information.

Claims

1. A computer system operable to display a graphical user interface comprising a pre-trade analysis component and an strategy selection component, wherein

said pre-trade analysis component is operable to display market intelligence information regarding one or more securities;

and

said strategy selection component is operable to display one or more order execution strategies for selection by a user, and comprises an order execution component operable to route a selected order execution strategy to an order execution system;

wherein said strategy selection component further comprises an interface for enabling a user to specify one or more trading strategies and strategy requirements; and

wherein said strategy selection component further comprises a display operable to display projected order completion information based on said user-specified one or more trading strategies and strategy requirements.

2. A system as in claim 1, wherein said pre-trade analysis component is operable to receive from an order management system data identifying said one or more securities.

3. A system as in claim 1, wherein said pre-trade analysis component is operable to display liquidity information regarding said one or more securities.

4. A system as in claim 1, wherein said pre-trade analysis component is operable to display performance information regarding said one or more securities.

5. A system as in claim 1, wherein said pre-trade analysis component is operable to display execution risk information regarding said one or more securities.

6. A system as in claim 1, wherein said strategy selection component is operable to display order execution strategy information for said one or more securities.

7. A system as in claim 1, wherein said strategy selection component comprises an interface for enabling a user to specify one or more order timing requirements.

8. A system as in claim 1, wherein said strategy selection component comprises an interface for enabling a user to specify one or more order execution channels.

9. A system as in claim 1, wherein said strategy selection component comprises an interface for enabling a user to send an order directly to an order execution system.

10. A system as in claim 1, wherein said strategy selection component comprises a basic order information display.

11. A system as in claim 1, wherein said strategy selection component comprises an interface for enabling a user to edit at least one of:

order size and price limit.

12. A system as in claim 1, wherein said interface for enabling a user to specify one or more trading strategy requirements is operable to enable a user to choose one or more trading strategies comprising one or more VWAP and TWAP strategies.

13. A system as in claim 12, wherein said interface for enabling a user to specify one or more trading strategy requirements is further operable to allow said user to specify one or more trading horizons for said user-chosen VWAP and TWAP strategies.

14. A system as in claim 1, wherein said interface for enabling a user to specify one or more trading strategy requirements is operable to enable said user to choose one or more trading strategies comprising one or more With Volume strategies.

15. A system as in claim 14, wherein said interface for enabling a user to specify one or more trading strategy requirements is further operable to allow said user to specify one or more volume participation target rates for said user-chosen With Volume strategies.

16. A system as in claim 1, wherein said interface for enabling a user to specify one or more trading strategy requirements is operable to enable said user to choose one or more trading strategies comprising one or more Target Strike strategies.

17. A system as in claim 16, wherein said interface for enabling a user to specify one or more trading strategy requirements is further operable to allow said user to specify one or more urgency levels for said user-chosen Target Strike strategies.

18. A system as in claim 1, wherein said interface for enabling a user to specify one or more trading strategy requirements is operable to enable a user to specify a participation ceiling.

19. A system as in claim 1, wherein said projected order completion information comprises one or more of:

completion percent, execution cost, execution risk, duration, completion time, and consumption rate.

20. A system as in claim 1, wherein said projected order completion information comprises residual order information.

21. A system as in claim 20, wherein said residual order information comprises at least one of:

residual percent, residual cost, residual risk, and total risk.

22. A system as in claim 1, wherein said projected order completion information comprises impact versus execution risk tradeoff information.

23. A system as in claim 22, wherein said impact versus execution risk tradeoff information is displayed as a chart.

24. A system as in claim 1, wherein said projected order completion information comprises impact cost information.

25. A system as in claim 24, wherein said impact cost information is displayed as a chart.

26. A system as in claim 1, further comprising a monitoring component operable to display order progress and performance information.

27. A system as in claim 26, wherein said monitoring component is operable to display order and slice information comprising symbol, side, slice size, and strategy.

28. A system as in claim 26, wherein said monitoring component is operable to display quote information and VWAP.

29. A system as in claim 26, wherein said monitoring component is operable to display real time order progress data.

30. A system as in claim 29, wherein said real time order progress data comprises at least one of:

percent filled, average price, unrealized average price, and percent consumption.

31. A system as in claim 26, wherein said monitoring component is operable to display a trading conditions summary.

32. A system as in claim 31, wherein said trading conditions summary comprises information regarding at least one of:

volume, volatility, and spread over horizon.

33. A system as in claim 26, wherein said monitoring component is operable to display a chart showing price versus VWAP.

34. A system as in claim 26, wherein said monitoring component is operable to display a chart showing actual versus expected volume.

35. A system as in claim 1, further comprising a view all orders component operable to display order progress and performance information for a plurality of orders.