System and method for algorithmic trading strategies
First Claim
1. A method implemented by a programmed computer system for use in executing an order directed to a security traded in a market, comprising:
- obtaining, with the computer system, a value x representing a percentage of market volume associated with the security;
calculating, with the computer system, a plurality of expected market impacts associated with execution of the order over a plurality of different time periods;
calculating, with the computer system, a plurality of expected price risks associated with execution of the order over the plurality of different time periods;
calculating, with the computer system, a plurality of expected total costs associated with execution of the order over the plurality of different time periods, wherein the plurality of expected total costs are calculated using the plurality of expected market impacts and the plurality of expected price risks; and
trading the security via execution of the order by at least a first component and a second component in tandem over a time period at which the calculated expected total cost is minimized for the value x,wherein the first component adjusts trade parameters to maximize spread capture, and the second component determines pockets of liquidity at optimal price points.
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Abstract
Various embodiments of the present invention are directed to systems and methods for algorithmic trading strategies and/or systems and methods for use in executing an order directed to a security traded in a market. More particularly, one embodiment of the present invention relates to a method implemented by a programmed computer system for use in executing an order directed to a security traded in a market, comprising: calculating a plurality of expected market impacts associated with execution of the order over a plurality of different time periods; calculating a plurality of expected price risks associated with execution of the order over the plurality of different time periods; calculating a plurality of expected total costs associated with execution of the order over the plurality of different time periods, wherein the plurality of expected total costs are calculated using the plurality of expected market impacts and the plurality of expected price risks; and trading the security via execution of the order over a time period at which the expected total cost is optimal (e.g., minimized).
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Citations
10 Claims
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1. A method implemented by a programmed computer system for use in executing an order directed to a security traded in a market, comprising:
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obtaining, with the computer system, a value x representing a percentage of market volume associated with the security; calculating, with the computer system, a plurality of expected market impacts associated with execution of the order over a plurality of different time periods; calculating, with the computer system, a plurality of expected price risks associated with execution of the order over the plurality of different time periods; calculating, with the computer system, a plurality of expected total costs associated with execution of the order over the plurality of different time periods, wherein the plurality of expected total costs are calculated using the plurality of expected market impacts and the plurality of expected price risks; and trading the security via execution of the order by at least a first component and a second component in tandem over a time period at which the calculated expected total cost is minimized for the value x, wherein the first component adjusts trade parameters to maximize spread capture, and the second component determines pockets of liquidity at optimal price points. - View Dependent Claims (2, 3, 4, 5)
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6. A system for executing an order directed to a security traded in a market, comprising:
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a memory; a processor disposed in communication with said memory, and configured to issue a plurality of processing instructions stored in the memory, wherein the processor issues instructions to; obtain a value x representing a percentage of market volume associated with the security; calculate a plurality of expected market impacts associated with execution of the order over a plurality of different time periods; calculate a plurality of expected price risks associated with execution of the order over the plurality of different time periods; calculate a plurality of expected total costs associated with execution of the order over the plurality of different time periods, wherein the plurality of expected total costs are calculated using the plurality of expected market impacts and the plurality of expected price risks; and trade the security via execution of the order by at least a first component and a second component in tandem over a time period at which the calculated expected total cost is minimized for the value x, wherein the first component adjusts trade parameters to maximize spread capture, and the second component determines pockets of liquidity at optimal price points. - View Dependent Claims (7, 8, 9, 10)
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Specification