Algorithmic trading system and method for automated trading of financial instruments
First Claim
10. An algorithmic trading system for testing automated trading of financial instruments, the algorithmic trading system comprising:
- a server computer adapted to;
store a rule for automated trading, the rule based on a trading strategy idea and including at least one parameter and at least one of an order agent and a quote agent, store a trading strategy name and a parameter value for each of the at least one parameter, store a created trading strategy, the created trading strategy including the rule, the parameter value for each of the at least one parameter and a trading strategy name, compile the created trading strategy to form a generated trading strategy, and process the generated trading strategy to form an executing trading strategy adapted to automatically cause a trading output;
a data player; and
at least one exchange simulator operatively coupled to the data player and the server computer.
1 Assignment
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Accused Products
Abstract
Provided is an algorithmic trading system and method for automated trading of financial instruments. Also provided is an algorithmic trading system and method for testing automated trading of financial instruments, or for “back-testing” an executing trading strategy of the algorithmic trading system. An executing trading strategy is formed by processing a generated trading strategy. The generated trading strategy is formed by compiling a created trading strategy. The created trading strategy includes a rule for automated trading, a parameter value for each of at least one parameter and a trading strategy name. The rule includes the at least one parameter and at least one of an order agent and a quote agent.
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Citations
49 Claims
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10. An algorithmic trading system for testing automated trading of financial instruments, the algorithmic trading system comprising:
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a server computer adapted to;
store a rule for automated trading, the rule based on a trading strategy idea and including at least one parameter and at least one of an order agent and a quote agent, store a trading strategy name and a parameter value for each of the at least one parameter, store a created trading strategy, the created trading strategy including the rule, the parameter value for each of the at least one parameter and a trading strategy name, compile the created trading strategy to form a generated trading strategy, and process the generated trading strategy to form an executing trading strategy adapted to automatically cause a trading output;
a data player; and
at least one exchange simulator operatively coupled to the data player and the server computer. - View Dependent Claims (1, 2, 3, 4, 5, 6, 7, 8, 9, 11, 12, 13, 14, 15, 16, 17, 18, 20, 21, 22, 23, 24, 25, 26, 27, 28)
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18-1. The system of claim 17, wherein the data player is configured to provide the data to the at least one exchange simulator at a simulator speed that is slower than a speed at which the incremental market data changes are collected.
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29. An algorithmic trading method for automated trading of financial instruments, the algorithmic trading method comprising:
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storing a rule for automated trading, the rule based on a trading strategy idea and including at least one parameter and at least one of an order agent, a quote agent, a variable definition, an event script and an off condition;
storing a trading strategy name and a parameter value for each of the at least one parameter;
storing a created trading strategy, the created trading strategy including the rule, the parameter value for each of the at least one parameter and a trading strategy name;
compiling the created trading strategy to form a generated trading strategy, the generated trading strategy associated with one instantiation of the rule; and
processing the generated trading strategy to form an executing trading strategy, the executing trading strategy automatically causing a trading output to be generated in response to receipt of data from an electronic market place. - View Dependent Claims (30, 31, 32, 33, 34)
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35. An algorithmic trading method for testing automated trading of financial instruments, the method comprising:
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providing an executing trading strategy formed by processing a generated trading strategy, the generated trading strategy formed by compiling a created trading strategy, the created trading strategy including a rule for automated trading, a parameter value for each of at least one parameter and a trading strategy name, the rule based on a trading strategy idea and including the at least one parameter and at least one of an order agent and a quote agent; and
providing an exchange simulator output to the executing trading strategy, the exchange simulator output generated in response to receipt of data, wherein the executing trading strategy is adapted to automatically cause a trading output in response to receipt of the exchange simulator output. - View Dependent Claims (36, 37, 38, 39, 40, 41, 42, 43, 44, 45, 46, 47, 48, 49)
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Specification