Algorithmic trading system, a method for computer-based algorithm trading and a computer program product

• US 20090119224A1
• Filed: 11/18/2005
• Published: 05/07/2009
• Est. Priority Date: 11/18/2005
• Status: Abandoned Application

• Current Assignee: RTS Realtime Systems Software GmbH
• Original Assignee: RTS Realtime Systems Software GmbH
• Inventors: Petrino, Donato
• Application Number:
  US11/666,108
• Publication Number:
  US 20090119224A1
• Time in Patent Office: Days
• US Class Current: 705/36.R
• 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

An algorithmic trading system, comprising

• • a rule memory for storing at least one rule for algorithmic trading, wherein the at least one rule includes
    • at least one logic operation and/or arithmetic operation which uses pre-input data, and
    • at least one order/quote agent logic for an order transaction management and/or quote transaction management,
  • a parameter value memory for storing at least one parameter value that represents an strategy instance for a rule,
  • a strategy generation unit that is configured to generate at least one trading strategy using at least one stored rule and at least some of the stored parameter values, such that the generated at least one trading strategy comprises at least one order/quote agent for handling the order transaction management and/or the quote transaction management according to the at least one logic operation and/or arithmetic operation,
  • a processing unit for processing the at least one generated trading strategy by executing the at least one order/quote agent within the trading strategy.

Claims

1. An algorithmic trading system, comprising:

a rule memory for storing at least one rule for algorithmic trading, wherein the at least one stored rule includes

at least one of a logic operation and an arithmetic operation which use pre-input data, and

at least one of an order agent and a quote agent, the order agent configured for order transaction management and the quote agent configured for quote transaction management;

a parameter value memory for storing at least one parameter value that represents a strategy instance of the at least one stored rule;

a strategy generation unit configured to generate at least one trading strategy using the at least one stored rule and the at least one stored parameter value, the at least one generated trading strategy comprising the at least one of the order agent and the quote agent for correspondingly handling order transaction management and quote transaction management in accordance with the at least one of the logic operation and the arithmetic operation; and

a processing unit for processing the at least one generated trading strategy by executing the at least one of the order agent and the quote agent within the at least one generated trading strategy.

2. The algorithmic trading system as claimed in claim 1, further comprising a market data memory for storing market data, wherein the at least one stored rule includes at least one of the logic operation and the arithmetic operation which use the market data.

3. The algorithmic trading system as claimed in claim 1, wherein the quote transaction management comprises at least one selected from the group consisting of a quote addition, a quote deletion and a quote change.

4. The algorithmic trading system as claimed in claim 1, wherein the order transaction management comprises at at least one selected from the group consisting of an order addition, an order deletion, and an order change.

5. The algorithmic trading system as claimed in claim 4, wherein the order addition comprises one of an ask order addition and a bid order addition, wherein the order deletion comprises one of an ask order deletion and a bid order deletion, and wherein the order change comprises one of an ask order change and a bid order change.

6. The algorithmic trading system as claimed in claim 1, wherein the order agent is configured to generate an order, and wherein the quote agent is configured to generate a quote.

7. The algorithmic trading system as claimed in claim 1, further comprising a receiving/transmitting unit for receiving and transmitting messages from and to a connected electronic exchange.

8. The algorithmic trading system as claimed in claim 1, wherein the at least one stored rule includes a stop condition, and wherein the processing unit is configured to stop the execution of the at least one generated trading strategy if the stop condition is met.

9. The algorithmic trading system as claimed in claim 1, wherein the processing unit is configured to start execution of the at least one generated trading strategy in response to a start message received from a trader client computer, and to stop execution of the at least one generated trading strategy in response to a stop message received from the trader client computer.

10. The algorithmic trading system as claimed in claim 1, wherein the algorithmic trading system is configured to trade at least one financial instrument selected from the group consisting of a stock, a future, an option, a commodity and a bond.

13. The algorithmic trading system of claim 2, wherein the pre-input data includes the market data and other relevant financial instrument data.

11. A computer-implemented method for algorithmic trading, comprising:

storing at least one rule for algorithmic trading in a rule memory, wherein the at least one stored rule includes

at least one of a logic operation and an arithmetic operation which use pre-input data, and

at least one of an order agent and a quote agent, the order agent configured for order transaction management and the quote agent configured for quote transaction management;

storing at least one parameter value in a parameter value memory, the at least one stored parameter value representing an application instance of the at least one stored rule;

generating at least one trading strategy using the at least one stored rule and the at least one stored parameter value, such that the at least one generated trading strategy comprises the at least one of the order agent and the quote agent for correspondingly handling order transaction management and quote transaction management in accordance with the at least one of the logic operation and the arithmetic operation; and

processing the at least one generated trading strategy by executing the at least one of the order agent and the quote agent within the at least one generated trading strategy.

14. The computer-implemented method of claim 11, wherein the pre-input data includes market data and other relevant financial instrument data.

15. The computer-implemented method of claim 11, wherein the quote transaction management comprises at least one selected from the group consisting of a quote addition, a quote deletion and a quote change.

16. The computer-implemented method of claim 11, wherein the order transaction management comprises at least one selected from the group consisting of an order addition, an order deletion and an order change.

12. A computer program product that comprises the following steps when it is executed by a processor:

storing at least one rule for algorithmic trading in a rule memory, wherein the at least one stored rule includes

at least one of a logic operation and an arithmetic operation which use pre-input data, and

at least one of an order agent and a quote agent, the order agent configured for order transaction management and the quote agent configured for quote transaction management;

storing at least one parameter value in a parameter value memory, the at least one stored parameter value representing an application instance of the at least one stored rule;

generating at least one trading strategy using the at least one stored rule and the at least one stored parameter value, such that the at least one generated trading strategy comprises the at least one of the order agent and the quote agent for correspondingly handling order transaction management and quote transaction management according to the at least one of the logic operation and the arithmetic operation; and

processing the at least one generated trading strategy by executing the at least one of the order agent and the quote agent within the at least one generated trading strategy.

17. The computer product of claim 12, wherein the pre-input data includes market data and other relevant financial instrument data.

18. The computer product of claim 12, wherein the quote transaction management comprises at least one selected from the group consisting of a quote addition, a quote deletion and a quote change.

19. The computer product of claim 12, wherein the order transaction management comprises at least one selected from the group consisting of an order addition, an order deletion and an order change.