System and method for optimizing order execution

• US 20110208634A1
• Filed: 07/16/2010
• Published: 08/25/2011
• Est. Priority Date: 02/23/2010
• Status: Active Grant

• Current Assignee: JP Morgan Chase Bank, N.A. (JP Morgan Chase & Co)
• Original Assignee: JP Morgan Chase Bank, N.A. (JP Morgan Chase & Co)
• Inventors: Sylvester, Benjamin F.
• Granted Patent: US 8,352,354 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

An embodiment of the present invention provides computer-implemented methods and systems for optimizing the executing an order, such as trading orders. An order may be electronically routed to an Execution Optimizer (“EO”). The EO may apply a particular profile to the order, corresponding to a particular portfolio manager. Next, the order, with the profile, may be routed, electronically, to a third party where a prediction model may be applied to the order, indicating trading parameters for the order. The order, with the trading parameters from the prediction model, may be passed back to the EO, where a rules engine may apply rules, specific to the executing financial institution, to the order. The order may then be passed to a selected broker for market trading.

Claims

1. A computer-implemented method for optimizing automatic execution of an order for securities, comprising:

receiving, by at least one computer processor, an order for specified securities;

applying, by the at least one computer processor, a profile to the order wherein the profile comprises data pertaining to trading habits of a portfolio manager;

routing, by the at least one computer processor, the order and the profile to a prediction model;

receiving, by the at least one computer processor, results from the prediction model;

applying, by the at least one computer processor, a set of rules to the order for determining an execution strategy for the order;

routing, by the at least one computer processor, the order for execution in accordance with the set of rules and the results from the prediction model;

receiving, by the at least one computer processor, feedback on the execution of the order;

updating, by the at least one computer processor, the set of rules based on the feedback; and

forwarding, by the at least one computer processor, the feedback to the third party for updating the prediction model.

2. The method of claim 1, wherein the specified securities comprise stocks or bonds.

3. The method of claim 1, wherein the order is received at an investment bank.

4. The method of claim 1, wherein the profile is updated periodically.

5. The method of claim 1, wherein profile comprises historical information pertaining to the trading habits of the portfolio manager.

6. The method of claim 1, wherein the profile comprises metrics associated with the trading habits of the portfolio manager, the metrics comprising price slippage.

7. The method of claim 1, wherein the set of rules comprises information relating to broker selection and order size.

8. The method of claim 1, wherein the prediction model is a price prediction model that analyzes the order and determines an execution strategy for the order based on pricing predictions.

9. The method of claim 1, wherein the updating of the set of rules and the prediction model occur in real time.

10. The method of claim 1, further comprising:

processing, iteratively, by the at least one computer processor, the order based on the feedback.

11. A computer based system for optimizing automatic execution of an order for securities, comprising:

a workstation, comprising one or more computer processors, communicatively coupled to a network, wherein the workstation provides an interface to the computer based system;

an execution optimizer module, comprising one or more computer processors, communicatively coupled to the network, wherein the execution optimizer module performs the following functions;

receiving an order for specified securities;

determining a profile associated with a portfolio manager to apply to the order;

applying the profile to the order;

routing the order and the profile to a prediction engine;

receiving results associated with the order from the prediction engine;

applying a set of rules, using a rules engine module, to the order for determining the execution strategy for the order;

forwarding the order for execution based on the prediction engine results and the set of rules;

receiving feedback on the execution of the order;

applying the feedback in real time to update the set of rules; and

forwarding the feedback to the prediction engine; and

a database, communicatively coupled to the execution optimizer module, the database comprising the set of rules and the profile.

12. The system of claim 11, wherein prediction engine is managed by a third party.

13. The system of claim 11, wherein the specified securities comprise stocks or bonds.

14. The system of claim 11, wherein the order is received at an investment bank.

15. The system of claim 11, wherein the profile is updated periodically.

16. The system of claim 11, wherein profile comprises historical information pertaining to trading habits of the portfolio manager.

17. The system of claim 11, wherein the profile comprises metrics associated with the trading habits of the portfolio manager, the metrics comprising price slippage.

18. The system of claim 11, wherein the set of rules comprises rules associated for execution of the order comprising information relating to broker selection and order size.

19. The system of claim 11, wherein the prediction engine applies a model that analyzes the order and determines an execution strategy for the order.

20. The system of claim 11, further comprising the execution optimizer module iteratively processing the order based on the feedback.