TRADE IMPLEMENTATION AND ANALYTICS SYSTEM

• US 20120150713A1
• Filed: 11/08/2011
• Published: 06/14/2012
• Est. Priority Date: 11/08/2010
• Status: Abandoned Application

• Current Assignee: Blockcross Holdings LLC
• Original Assignee: Blockcross Holdings LLC
• Inventors: RUSSEL, Robert, Ford, Carter B., Adams, Neil, FORD, Preston
• Application Number:
  US13/291,863
• Publication Number:
  US 20120150713A1
• 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

Systems and methods for normalizing the control parameters associated with trading algorithms, providing analytic data to traders in discrete time intervals to assist in the analysis of trading performance, and providing crossing opportunities to orders that have been committed to a trading algorithm but have not yet been executed, are provided. A dashboard to allow a trading professional more effective use of multiple algorithms can be created. Parameters associated with multiple algorithms can be normalized and tuned rapidly from a single user interface. Trading performance can be reviewed in discrete time intervals and execution venues. Traders can review a performance score for a trading algorithm and select an algorithm based in part on their commission budget. Block trading opportunities can be available with a crossing engine or external ATS.

Claims

1. A computerized method for adjusting the performance of a plurality of trading algorithms, comprising:

storing algorithm tuning parameters;

receiving a change request to adjust the tuning parameters of one or more algorithms;

determining new tuning parameters for the one or more algorithms based at least on the change request and the stored algorithm tuning parameters; and

transmitting the new tuning parameters.

2. The computerized method of claim 1 wherein the change request includes a name of a strategy to be employed by the algorithm.

3. The computerized method of claim 2 wherein the name of the strategy is selected from the group consisting of VWAP, TWAP, Go Along, Arrival Price, Sniper, Guerilla, and Stealth.

4. The computerized method of claim 1 wherein the change request includes a speed parameter.

5. The computerized method of claim 1 wherein the change request includes a tracking parameter.

6. The computerized method of claim 1 wherein transmitting the new tuning parameters includes transmitting the new parameters to one or more algorithm servers via a FIX message.

7. The computerized method of claim 1 wherein transmitting the new tuning parameters includes transmitting the new parameters to an OMS via a FIX message.

8. A computerized method for providing subscription based analytic data to a trader, comprising:

storing trader subscription information including a security of interest;

monitoring a market feed for executions involving the security of interest;

storing execution information including a timestamp, price, quantity and venue for each of the executions involving the trader and the security of interest;

determining a market data information for the security of interest including a last trade information, a next trade information, and a market volume for a timeframe around the timestamp in the stored execution information; and

sending the execution information and the market data information to a data source that can be accessed by the trader.

9. The computerized method of claim 8 wherein the market data information for the security of interest includes best offer quantity and price and best bid quantity and price in the execution venue for the timeframe around the timestamp in the stored execution information.

10. The computerized method of claim 8 wherein the market data information for the security of interest includes best offer quantity and price and best bid quantity and price in a plurality of venues for the timeframe around the timestamp in the stored execution information.

11. The computerized method of claim 8 wherein the market data information for the security of interest includes the next best offer quantity and price and the next best bid quantity and price for a timeframe around the timestamp in the stored execution information.

12. The computerized method of claim 8 wherein the market data information includes a price, a quantity and a venue of the previous and subsequent trades of the security of interest.

13. The computerized method of claim 8 wherein the timeframe around the timestamp in the stored execution information includes two updates before the execution and 5 updates after the execution.

14. The computerized method of claim 8 wherein an OMS is a data source that can be accessed by the trader.

15. The computerized method of claim 8 wherein a networked relational database system is a data source that can be accessed by the trader.

16. The computerized method of claim 8 comprising sending an alert to the trader based on the execution information and the market data information.

17. A computerized method for providing a crossing opportunity for an order for a security that is committed to a trading venue, comprising:

receiving a working order information comprising an order for a security that is committed to a trading venue but not yet executed;

identifying a contra order based on at least on a portion of the working order information;

transmitting a stop working message comprising instructions to cancel at least a portion of the order previously committed to the trading venue;

receiving information regarding the execution of all, some or none of the order; and

transmitting a continue working message configured to commit at least part of the remainder of the order to the trading venue, if a part of the order was not executed.

18. The computerized method of claim 17 wherein identifying a contra order comprises:

providing at least a portion of the working order information to a crossing system; and

receiving an indication of interest for a contra order from the crossing system.

19. The computerized method of claim 17 comprising:

sending an alert to a trader to inform them of the contra order; and

receiving an indication from the trader to attempt to execute a trade based on the contra order.

20. The computerized method of claim 17 wherein the continue work message is sent to an OMS.