Methods and systems for conditional auto trading

• US 20070038550A1
• Filed: 03/22/2006
• Published: 02/15/2007
• Est. Priority Date: 03/22/2005
• Status: Abandoned Application

• Current Assignee: Barclays Capital Incorporated (Barclays PLC)
• Original Assignee: Lehman Brothers Incorporated (Barclays PLC)
• Inventors: Bok, Tomas, Cushing, David, Eckert, Mike, Corcoran, Joe, Loftus, Joe, Caille, Barthelemy, Ayzerov, Art, Schneider, Gregoire, Saffer, Robert
• Application Number:
  US11/387,994
• Publication Number:
  US 20070038550A1
• 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

In at one aspect, the invention comprises an interactive software toolkit for creating custom trading strategies. Traders are provided with the ability to easily construct hybrid strategies using automated trading and event building blocks: (a) trading algorithms (for example, so-called “percentage of volume” algorithms and algorithms designed to minimize the difference between average executed price and standardized benchmarks such as volume-weighted average price (“VWAP”)); (b) intelligent “sweeps” (automated trading actions designed to rapidly execute a specified number of shares); and (c) event triggers (time-, price-, spread-, depth-based, or based on other real-time market data or on current order status). Traders can create and store a set of custom strategies tailored to specific order types or trading styles.

Claims

1. A computer system operable to display a graphical user interface comprising a time horizon component, a base action component, a condition component, and a conditional action component, wherein

said time horizon component is operable to display a start time and an end time for a trading order for a security;

said base action component is operable to display information identifying one or more automated trading strategies to be initially used to execute said order;

said condition component is operable to display one or more market conditions for triggering one or more triggered strategies; and

said conditional action component is operable to display information identifying said one or more triggered strategies to be used to execute said order when triggered by said one or more market conditions.

2. The system of claim 1, wherein said time horizon component comprises a time configuration tab display.

3. The system of claim 2, wherein a default start time is immediately.

4. The system of claim 2, wherein a default end time is time of market closing.

5. The system of claim 1, further comprising a one shot component that allows a user to specify that a transition from an action to a conditional action occurs only once.

6. The system of claim 1, further comprising a rest period component that displays at least a time period that an order must spend in an action after an action shift.

7. The system of claim 1, further comprising a rest period component that displays at least a time period that must elapse following completion of an action before that action can occur again.

8. The system of claim 1, wherein said base action component comprises an action tab.

9. The system of claim 1, wherein said base action component is operable to display trading strategies comprising one or more of:

VWAP, With Volume, Target Strike, TWAP, and Idle.

10. The system of claim 1, wherein said one or more market conditions comprise passage of time.

11. The system of claim 9, wherein said base action component is further operable to display one or more sets of parameter options operable to set one or more constraints and tailor execution style for at least one of said trading strategies.

12. The system of claim 1, wherein said condition component comprises a condition tab.

13. The system of claim 1, wherein said condition component is operable to display conditions comprising one or more of:

price condition, time condition, size on opposite side condition, and bid/ask spread condition.

14. The system of claim 13, wherein said condition component is further operable to display one or more parameters for at least one of said conditions.

15. The system of claim 13, wherein said price condition is operable to trigger a conditional action when said security'"'"'s price reaches a threshold level.

16. The system of claim 13, wherein said time condition is operable to trigger a conditional action at a specified time.

17. The system of claim 13, wherein said size on opposite side condition is operable to trigger a conditional action when at least a specified number of shares is available within a specified range of a midpoint of a bid/ask spread.

18. The system of claim 13, wherein said bid/ask condition is operable to trigger a conditional action when a bid/ask spread is wider or narrower than a specified threshold level.

19. The system of claim 1, wherein said conditional action component comprises a conditional action tab.

20. The system of claim 1, wherein said conditional action component is operable to display conditional actions comprising one or more of:

VWAP, With Volume, Target Strike, TWAP, Idle, and Fast Exec.

21. The system of claim 20, wherein said conditional action component is further operable to display one or more parameters for at least one of said conditional actions.

22. The system of claim 20, wherein said Fast Exec condition comprises one or more of:

a Limit Sweep condition and a 2 Minutes VWAP condition.

23. A system for building and executing a hybrid trading strategy, the system comprising:

a user interface configured to build the hybrid trading strategy based on input provided by a user through the user interface;

an interpreter configured to convert a representation of the hybrid strategy into one or more machine instructions defining a set of actions and conditions for an order; and

a state machine configured to route the order to an underlying trading strategy based on the set of actions and conditions.

24. A method of executing a hybrid trading strategy comprising:

building a hybrid strategy, the hybrid strategy including a base action, a trigger condition, and a conditional action;

executing the base action; and

executing the conditional action when the trigger condition occurs.

25. The method of claim 24 wherein the base action is an automated trading strategy.

26. The method of claim 24 wherein the trigger condition is an external market event.

27. A method comprising:

selecting a base action from one or more automated trading strategies;

setting a trigger condition; and

selecting a conditional action from one or more automated trading strategies,

wherein the base action is executed until the trigger condition is met whereupon the conditional action is executed.

28. A method comprising:

providing one or more automated trading strategies for selection by a user as a base action;

providing one or more events for selection by a user as a trigger condition; and

providing one or more automated trading strategies for selection by the user as a conditional action,

executing the base action; and

executing the conditional action after the trigger condition is met.