METHOD, LANGUAGE, AND SYSTEM FOR PARALLEL ALGORITHMIC TRADING AND OVERSEEING TRADING ACTIVITY

• US 20110320335A1
• Filed: 06/29/2010
• Published: 12/29/2011
• Est. Priority Date: 06/29/2010
• Status: Active Grant

• Current Assignee: Alexander Fursenko, Natalia V. Gorelik, Victor Gorelik
• Original Assignee: Alexander Fursenko, Natalia V. Gorelik, Victor Gorelik
• Inventors: Gorelik, Victor, Gorelik, Natalia V., Fursenko, Alexander
• Granted Patent: US 9,547,874 B2
• Time in Patent Office: Days
• US Class Current: 705/37
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• 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 invention provides: methods, languages, and systems for parallel algorithmic trading of financial instruments. Each instrument of interest is included in a parallel list, in a reference list, or in both lists. Market data messages are decoded by parallel threads and converted into data series. The number of the threads is preferably equal to the number of the messages in a set of messages. A trader/market regulator selects or creates a trading/overseeing algorithm consisting of expressions based on data series extracted from the messages and on predefined functions. Some of the expressions have outputs representing buy/sell/cancel orders or have outputs aimed for overseeing trading activity. The algorithm is executed by parallel threads. The number of the threads is preferably equal to the number of the instruments in the parallel list.

Claims

1. A method for parallel algorithmic trading comprising:

1.1) identifying a list of financial instruments for parallel calculations;

1.2) identifying a list of financial instruments for reference calculations;

1.3) determining a union of the list (1.1) and the list (1.2);

1.4) receiving a set of market data messages;

1.5) extracting trading and quote information from the set (1.4) into data series corresponding to the financial instruments of the union (1.3);

1.6) formulating an algorithm for processing the data series (1.5);

1.7) generating buy/sell/cancel orders according to the algorithm (1.6);

1.8) sending the orders (1.7) to order entry gateways;

1.9) receiving signals confirming an execution or a cancellation of the orders (1.7);

1.10) using the signals (1.9) along with the data series (1.5) as inputs for the algorithm (1.6).

2. The method of claim 1 further comprising:

2.1) executing the step (1.5) using a number of parallel threads (or processes) preferably equal to the number of the messages in the set (1.4);

2.2) executing the step (1.7) using preferably as many parallel threads (or processes), as there are the financial instruments in the list (1.1);

2.3) updating the results of calculations of the steps (2.1) and (2.2) on receiving every new set of the messages (1.4).

3. A language for parallel algorithmic trading comprising a set of predefined functions and the algorithm (1.6), which consists of expressions based on the predefined functions where inputs of the predefined functions can include

3.1) outputs of the expressions;

3.2) the data series (1.5);

3.3) the data series (1.5) specific for particular market maker,

and where outputs of some of the expressions can represent the orders (1.7).

4. A system for parallel algorithmic trading comprising:

4.1) means for identifying the list (1.1) and the list (1.2);

4.2) means for identifying the algorithm (1.6);

4.3) means for receiving the sets of market data messages (1.4);

4.4) means for extracting trading and quote information from the set (1.4) into the data series (1.5);

4.5) means for calculating outputs of the algorithm (1.6) as chains of the expressions—

one chain for each instrument in the list (1.1);

4.6) means for updating the results of the steps (4.4) and (4.5) on receiving every new set of the messages (1.4);

4.7) means for sending buy/sell/cancel orders calculated at the steps (4.5) and (4.6) to order entry gateways;

4.8) means for receiving signals confirming an execution or a cancellation of the orders (4.7);

5. A machine readable program on a computer readable medium containing instructions for parallel algorithmic trading comprising:

5.1) a first computer code segment for identifying the list (1.1) and the list (1.2);

5.2) a second computer code segment for identifying the algorithm (1.6);

5.3) a third computer code segment for extracting the data series (1.5);

5.4) a fourth computer code segment for calculating and updating outputs of the algorithm (1.6);

6. A graphical user interface and a visual presentation of system for parallel algorithmic trading comprising:

6.1) a first dialog for identifying the list (1.1) and visual properties of the presentation of financial instruments in the list;

6.2) a second dialog for identifying the list (1.2) and visual properties of the presentation of financial instruments in the list;

6.3) a third dialog for identifying the expressions of the algorithm (1.6) and the corresponding visual properties;

6.4) charts/tables for illustrating the results of the calculations and the executions.