Execution Optimizer

• US 20110208670A1
• Filed: 02/19/2010
• Published: 08/25/2011
• Est. Priority Date: 02/19/2010
• Status: Abandoned Application

• 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: Joseph, Neil S., West, Kristian
• Application Number:
  US12/708,975
• Publication Number:
  US 20110208670A1
• 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

Exemplary embodiments of the present invention provide systems and methods for optimizing the automatic execution of trade orders and picking an optimal trading algorithm for said execution. An order may be received and processed using a set of pre-determined screening rules. When at least one of the screening rules is violated, a meta-algorithm may be applied to the order. The meta-algorithm may select an algorithm to automatically execute the order based price slippage to determine if the algorithm is “optimal.”

Claims

1. A computer-implemented method for optimizing the automatic execution of an order for securities using a meta-algorithm comprising:

receiving, by a computer processor, an order for specified securities;

determining, by a computer processor, screening rules to apply to the order;

applying, by a computer processor, the screening rules to the order;

determining, by a computer processor, that at least one screening rule is violated;

applying, by a computer processor, a meta-algorithm to the order in response to the determination that at least one screening rule is violated;

selecting, by the meta-algorithm, an algorithm for processing the order based on the at least one violated screening rule wherein the meta-algorithm selects the algorithm based on a historical assessment of price slippage;

executing, by a computer processor, the order using the algorithm; and

recording electronically, by a computer processor, a price slippage as measured at the time of the order execution for inclusion in the historical assessment.

2. The method of claim 1, wherein the screening rules are applied to the order to determine whether the order is autoroutable.

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

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

5. The method of claim 1, wherein the algorithm is configured to address a characteristic of the order causing the violation of the at least one screening rule.

6. The method of claim 1, wherein the price slippage comprises a price change measured between the order at arrival and the order at a time of order execution.

7. The method of claim 1, wherein the screening rules are pre-determined and configured prior to receiving the order.

8. The method of claim 1, wherein the algorithm selected by the meta-algorithm is optimized based on the historical assessment of price slippage such that the algorithm is selected to the reduce price slippage relative to at least a second algorithm.

9. The method of claim 1, further comprising:

receiving, by a computer processor, instructions regarding the execution of the order, wherein the instructions comprise a selection of an alpha for the order.

10. The method of claim 1, wherein the screening rules are ordered in a tree structure comprising a rule hierarchy.

11. A computer based system for optimizing the automatic execution of an order for securities using a meta-algorithm comprising:

a network comprising one or more servers;

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

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

receiving an order for specified securities;

determining screening rules to apply to the order;

applying the screening rules to the order;

determining that at least one screening rule is violated;

applying a meta-algorithm to the order based on the determination that at least one screening rule is violated;

selecting, by the meta-algorithm, an algorithm for processing the order based on the at least one violated screening rule wherein the meta-algorithm selects the algorithm based on a historical assessment of price slippage;

recording electronically a price slippage as measured at the order execution for inclusion in the historical assessment; and

a database, communicatively coupled to the algorithm module, the database comprising the meta-algorithm and the algorithm.

12. The system of claim 11, wherein the screening rules are applied to the order to determine whether the order is autoroutable.

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 algorithm is configured to address a characteristic that caused the order to violated the at least one screening rule.

16. The system of claim 11, wherein the price slippage is measured at the order execution and comprises a price change between the order at arrival and the order at execution.

17. The system of claim 11, wherein the screening rules are pre-determined and configured prior to receiving the order.

18. The system of claim 11, wherein the algorithm selected by the meta-algorithm is optimized based on the historical assessment of price slippage such that the algorithm is selected to reduce the price slippage relative to at least a second algorithm.

19. The system of claim 11, the algorithm module being further configured to:

receive instructions regarding the execution of the order, wherein the instructions comprise a selection of an alpha for the order.

20. The system of claim 11, wherein the screening rules are ordered in a tree structure comprising a rule hierarchy.