Coordination of algorithms in algorithmic trading engine

• US 7,908,203 B2
• Filed: 04/06/2007
• Issued: 03/15/2011
• 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:
  US11/783,250
• Publication Number:
  US 20080040254A1
• Time in Patent Office: 1,439 Days
• Field of Search: 705 35- 38
• 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 40/03 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 data describing a trading order;

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

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

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

(e) compare said evaluated quality of execution to a threshold of acceptability based on a prediction of future performance of execution of said trading order by said one or more first trading algorithms; and

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

2. A computer system as in claim 1, wherein said selection of said one or more first trading algorithms is based on predictive modeling and existing market conditions.

3. A computer system as in claim 1, wherein said quality of execution is evaluated based on a comparison of at least one expected rate of execution and at least one actual rate of execution.

4. A computer system as in claim 3, wherein said at least one expected rate of execution is determined using one or more predictive models.

5. A computer system as in claim 1, wherein said quality of execution is evaluated in real-time.

6. A computer system as in claim 3, wherein said threshold of acceptability is proportional to one standard deviation below said expected rate of execution.

7. A computer system as in claim 1, wherein said switching occurs prior to quality of execution of said one or more first trading algorithms crossing said threshold of acceptability.

8. A computer system as in claim 3, wherein determining rate of execution comprises determining number of shares executed by an algorithm during a time interval, divided by total shares executed on a market during the time interval.

9. A computer system as in claim 3, wherein determining rate of execution comprises calculation of an exponentially-decayed moving average.

10. A computer system as in claim 1, wherein said threshold of acceptability is based in part on likelihood of low execution rate by said one or more first trading algorithms.

11. A computer system as in claim 1, wherein said one or more initial trading algorithms comprise a plurality of initial trading algorithms, and wherein said threshold of acceptability is based on an aggregate position goal.

12. A computer system as in claim 11, wherein said one or more processors are programmed to coordinate said plurality of initial trading algorithms based at least on tracking open orders.

13. A computer system as in claim 11, wherein said one or more processors are programmed to coordinate said plurality of initial trading algorithms based at least on said aggregate position goal.

14. A computer system as in claim 11, wherein said one or more processors are programmed to coordinate said plurality of initial trading algorithms based at least on limiting size of new orders placed on a market such that a sum of achieved position plus new orders does not exceed said aggregate position goal.