Display of market impact in algorithmic trading engine

• US 7,882,014 B2
• Filed: 04/06/2007
• Issued: 02/01/2011
• Est. Priority Date: 04/28/2006
• Status: Active Grant

• Current Assignee: Portware LLC (FactSet Research Systems Incorporated)
• Original Assignee: Aritas Group, Inc.
• Inventors: Shapiro, Andrew, Dempsey, Ian, Gamse, Brent, Burmeister, Abe, Waelbroeck, Henri
• Primary Examiner(s): Havan; Thu Thao
• Application Number:
  US11/783,253
• Publication Number:
  US 20070276748A1
• Time in Patent Office: 1,397 Days
• Field of Search: 705 37- 38, 705/36.R
• US Class Current: 705/37
• CPC Class Codes: G06Q 40/03 Credit; Loans; Processing thereof
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Abstract

A graphical user interface is used along with an automated algorithm selection function to enable market participants to initiate automated, multi-algorithm trading strategies through a single drag and drop motion. A symbol representing a security can be dragged and dropped onto an icon representing a tactical or strategic algorithm. Other features of the graphical user interface show information such as the progress of the algorithms.

Claims

1. A computer system comprising one or more processors programmed to:

(a) receive from a user data describing a trade order for trading a security;

(b) commence execution of said trade order via one or more trading algorithms; and

(c) during said execution, display to said user, via a graphical user interface, information describing characteristic behavior of one or more of said one or more trading algorithms executing said trade order, said information describing characteristic behavior including an indication of trading tactics currently being used by one or more of said one or more trading algorithms executing said trade order.

2. A computer system as in claim 1, wherein said graphical user interface further displays to said user, during said execution, a measure of effectiveness of each of said trading algorithms executing trade orders for said security.

3. A computer system as in claim 1, wherein said graphical user interface further displays to said user, during said execution, data regarding shares filled, active unfilled, and inactive unfilled.

4. A computer system as in claim 1, wherein said graphical user interface further displays to said user, during said execution, an indication that number of unfilled shares on said trade order is greater than remaining market volume for said security for a remainder of a current trading day.

5. A computer system as in claim 1, wherein said graphical user interface further displays to said user, during said execution, information indicating one or more trading algorithms that are currently active, changes in tactics for one or more of said one or more active trading algorithms, and one or more reasons for said changes in tactics.

6. A computer system as in claim 1, wherein said graphical user interface enables said user, during said execution, to pause, cancel, or restart one or more algorithms executing said trade order.

7. A computer system as in claim 1, wherein said display further provides a graphical representation of a number of shares of said security required to move a market price of said security a specified amount.

8. A computer system as in claim 1, wherein said display further provides a graphical representation of one or more trading algorithms executing trade orders for said security.

9. A computer system as in claim 1, wherein said display further provides a graphical representation of numbers of shares of said security traded by each of said one or more trading algorithms executing trade orders for said security.

10. A computer system as in claim 1, wherein said display further provides a graphical representation of market impact of said one or more trading algorithms executing trade orders for said security.

11. A computer system comprising one or more processors programmed to:

(a) receive data indicating an algorithm switching engine to be used to execute a securities trade order,

(b) commence execution of said trade order via said algorithm switching engine; and

(c) during said execution, display to said user, via a graphical user interface, information describing characteristic behavior of one or more trading algorithms used by said algorithm switching engine to execute said trade order, said information describing characteristic behavior including an indication of trading tactics currently being used by one or more of said one or more trading algorithms used by said algorithm switching engine to execute said trade order.

12. A computer system as in claim 11, wherein said graphical user interface further displays to said user, during said execution, a measure of effectiveness of each of said trading algorithms executing trade orders for said security.

13. A computer system as in claim 11, wherein said graphical user interface further displays to said user, during said execution, data regarding shares filled, active unfilled, and inactive unfilled.

14. A computer system as in claim 11, wherein said graphical user interface further displays to said user, during said execution, an indication that number of unfilled shares on said trade order is greater than remaining market volume for said security for a remainder of a current trading day.

15. A computer system as in claim 11, wherein said graphical user interface further displays to said user, during said execution, information indicating one or more trading algorithms that are currently active, changes in tactics for one or more of said one or more active trading algorithms, and one or more reasons for said changes in tactics.

16. A computer system as in claim 11, wherein said graphical user interface enables said user, during said execution, to pause, cancel, or restart one or more algorithms executing said trade order.

17. A computer system as in claim 11, wherein said display further provides a graphical representation of a number of shares of said security required to move a market price of said security a specified amount.

18. A computer system as in claim 11, wherein said display further provides a graphical representation of one or more trading algorithms executing trade orders for said security.

19. A computer system as in claim 11, wherein said display further provides a graphical representation of numbers of shares of said security traded by each of said one or more trading algorithms executing trade orders for said security.

20. A computer system as in claim 11, wherein said display further provides a graphical representation of market impact of said one or more trading algorithms executing trade orders for said security.

21. A computer system as in claim 11, wherein said algorithm switching engine:

(a) receives data describing said trade order;

(b) selects one or more first trading algorithms from a plurality of available stored algorithms for execution of said trade order;

(c) commences execution of said trade order via said one or more first trading algorithms;

(d) evaluates quality of execution, during said execution, of said trade order via said one or more first trading algorithms;

(e) compares said evaluated quality of execution to a threshold of acceptability; and

(f) if said evaluated quality of execution compares unfavorably to said threshold of acceptability, switches said execution of said trade order to one or more second trading algorithms.