LIST EXECUTION AND CASH BALANCING

• US 20100094775A1
• Filed: 10/07/2009
• Published: 04/15/2010
• Est. Priority Date: 10/08/2008
• Status: Active Application

• Current Assignee: Portware LLC (FactSet Research Systems Incorporated)
• Original Assignee: Alpha Vision Services LLC
• Inventors: GOMES, Carla, GAMSE, Brent, WAELBROECK, Henri
• Application Number:
  US12/575,116
• Publication Number:
  US 20100094775A1
• Time in Patent Office: Days
• US Class Current: 705/36.00R
• 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

The present invention maintains a list of potential buy and sell opportunities tracking available liquidity at the best price displayed on the market in real time. When a block opportunity arises that would violate the constraints (e.g., cash balancing constraints), the subject system will consider if there are enough opportunities to trade on the market on the opposite side to bring the cash position back within the specified constraints. If cash balance can potentially be re-established by accessing displayed liquidity at the current best prices, the block execution is accepted and orders are automatically sent out to access this liquidity.

Claims

1. A method, implemented in a computing system or network, for trading items, the method comprising:

(a) receiving, from a market participant, a plurality of orders and at least one constraint on execution of said orders;

(b) initiating an automated process to execute said orders using algorithms and/or block markets;

(c) automatically identifying buy/sell opportunities on the computing system or network or on systems in communication with the computing system or network, wherein said buy/sell opportunities are either at a point in time or aggregated over a period of time; and

(d) initiating opportunistic strikes to capture said buy/sell opportunities as needed to enforce said constraints.

2. The method of claim 1, wherein each of the orders is executed only if it is possible to enforce the at least one constraint through the opportunistic strikes on the buy/sell opportunities.

3. The method of claim 2, wherein step (c) comprises assigning opportunity scores to the buy/sell opportunities, and wherein step (d) comprises selecting the buy/sell opportunities in accordance with the opportunity scores.

4. The method of claim 3, further comprising:

(e) automatically determining whether the opportunistic strikes in step (g) have satisfied the at least one constraint; and

(f) if the at least one constraint has not been satisfied, automatically executing additional opportunistic strikes using additional ones of the buy/sell opportunities to satisfy the at least one constraint.

5. The method of claim 4, wherein step (f) is performed iteratively.

6. The method of claim 5, wherein step (f) is performed iteratively at a rate selected to minimize execution costs.

7. The method of claim 4, further comprising:

(g) automatically trading additional ones of the block trade opportunities; and

(h) automatically trading additional ones of the buy/sell opportunities to cause closer compliance with the at least one constraint.

8. The method of claim 1, wherein the at least one constraint comprises a hard constraint.

9. The method of claim 8, wherein the hard constraint comprises a cash balancing constraint.

10. The method of claim 9, further comprising automatically determining periodically whether the cash balancing constraint is met.

11. The method of claim 8, wherein the at least one constraint further comprises a soft constraint.

12. The method of claim 11, wherein the soft constraint comprises an optimization objective.

13. The method of claim 12, wherein the optimization objective is based on a cost function.

14. The method of claim 13, wherein the cost function is implemented through a look-ahead.

15. The method of claim 2, wherein each of the buy/sell opportunities is given the opportunity score in accordance with whether the buy/sell opportunity meets a plurality of criteria.

16. The method of claim 15, wherein the plurality of criteria comprise a price criterion.

17. The method of claim 15, wherein the plurality of criteria comprise a participation rate criterion.

18. The method of claim 1, further comprising providing a graphical user interface to the market participant, wherein step (a) is performed through the graphical user interface.

19. The method of claim 18, wherein the graphical user interface allows the market participant to specify the at least one constraint.

20. The method of claim 19, wherein the graphical user interface provides a default option for the at least one constraint.

21. The method of claim 18, wherein the graphical user interface allows the market participant to control a speed of trading.

22. The method of claim 18, wherein the graphical user interface provides a graphical display regarding whether the at least one constraint is met.

23. The method of claim 1, further comprising automatically determining periodically whether the at least one constraint is met.

24. A system for trading items, the system comprising:

a communication device for communicating over a computer network; and

a processor, in communication with the computer network, configured for;

(a) receiving, from a market participant, a plurality of orders and at least one constraint on execution of said orders;

(b) initiating an automated process to execute said orders using algorithms and/or block markets;

(c) automatically identifying buy/sell opportunities on the system or on other systems in communication with the system over the computer network, wherein said buy/sell opportunities are either at a point in time or aggregated over a period of time; and

(d) initiating opportunistic strikes to capture said buy/sell opportunities as needed to enforce said constraints.

25. The system of claim 24, wherein the processor is configured such that each of the orders is executed only if it is possible to enforce the at least one constraint through the opportunistic strikes on the buy/sell opportunities.

26. The system of claim 25, wherein the processor is configured perform step (c) by assigning opportunity scores to the buy/sell opportunities, and to perform step (d) by selecting the buy/sell opportunities in accordance with the opportunity scores.

27. The system of claim 26, wherein the processor is further configured to perform:

(e) automatically determining whether the opportunistic strikes in step (g) have satisfied the at least one constraint; and

(f) if the at least one constraint has not been satisfied, automatically executing additional opportunistic strikes using additional ones of the buy/sell opportunities to satisfy the at least one constraint.

28. The system of claim 27, wherein the processor is configured to perform step (f) iteratively.

29. The system of claim 28, wherein the processor is configured to perform step (f) iteratively at a rate selected to minimize execution costs.

30. The system of claim 27, wherein the processor is further configured to perform:

(g) automatically trading additional ones of the block trade opportunities; and

(h) automatically trading additional ones of the buy/sell opportunities to cause closer compliance with the at least one constraint.

31. The system of claim 24, wherein the processor is configured to allow the at least one constraint to comprise a hard constraint.

32. The system of claim 31, wherein the processor is configured to allow the hard constraint to comprise a cash balancing constraint.

33. The system of claim 32, wherein the processor is configured to automatically determine periodically whether the cash balancing constraint is met.

34. The system of claim 31, wherein the processor is configured to allow the at least one constraint to further comprise a soft constraint.

35. The system of claim 34, wherein the processor is configured to allow the soft constraint to comprise an optimization objective.

36. The system of claim 35, wherein the processor is configured such that the optimization objective is based on a cost function.

37. The system of claim 36, wherein the processor is configured such that the cost function is implemented through a look-ahead.

38. The system of claim 25, wherein the processor is configured to give each of the buy/sell opportunities the opportunity score in accordance with whether the buy/sell opportunity meets a plurality of criteria.

39. The system of claim 38, wherein the processor is configured such that the plurality of criteria comprise a price criterion.

40. The system of claim 38, wherein the processor is configured such that the plurality of criteria comprise a participation rate criterion.

41. The system of claim 24, further wherein the processor is configured to provide a graphical user interface to the market participant and is configured to perform step (a) through the graphical user interface.

42. The system of claim 41, wherein the processor is configured such that the graphical user interface allows the market participant to specify the at least one constraint.

43. The system of claim 42, wherein the processor is configured such that the graphical user interface provides a default option for the at least one constraint.

44. The system of claim 42, wherein the processor is configured such that the graphical user interface allows the market participant to control a speed of trading.

45. The system of claim 41, wherein the processor is configured such that the graphical user interface provides a graphical display regarding whether the at least one constraint is met.

46. The system of claim 24, wherein the processor is configured to automatically determine periodically whether the at least one constraint is met.

47. An article of manufacture for trading items, the article of manufacture comprising:

a computer-readable storage medium; and

code stored on the computer-readable storage medium, the code, when executed on a computer system or on a plurality of computer systems on a network, controlling the computer system or systems for;

(a) receiving, from a market participant, a plurality of orders and at least one constraint on execution of said orders;

(b) initiating an automated process to execute said orders using algorithms and/or block markets;

(c) automatically identifying buy/sell opportunities on the computing system or network or on systems in communication with the computing system or network, wherein said buy/sell opportunities are either at a point in time or aggregated over a period of time; and

(d) initiating opportunistic strikes to capture said buy/sell opportunities as needed to enforce said constraints.