Trade strategy monitor platform

• US 8,051,000 B2
• Filed: 11/06/2007
• Issued: 11/01/2011
• Est. Priority Date: 11/06/2007
• Status: Active Grant

• Current Assignee: FMR LLC
• Original Assignee: FMR LLC
• Inventors: Gold, Franklin Harold, Rozanitis, George, Thacker, Alonzo Kent, Kurczek, Dion Keith, George, Max Matthew, Pangborn, Chad, Mazzu, James
• Primary Examiner(s): Maguire; Lindsay M.
• Application Number:
  US11/936,076
• Publication Number:
  US 20090119226A1
• Time in Patent Office: 1,456 Days
• Field of Search: 705/37
• US Class Current: 705/37
• 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

Described are methods and systems, including computer program products, for trade strategy monitoring. A back-end server can receive a first input from a first client device indicative of a first trade strategy and a first test parameter. The back-end server can obtain historical data associated with the first trade strategy, execute the first trade strategy on the historical data in accordance with the first test parameter, and transmit the results in a normalized format to the first client device. The back-end server can receive a second input from a second client device indicative of a second trade strategy and a second test parameter. The back-end server can obtain historical data associated with the second trade strategy, execute the second trade strategy on the historical data in accordance with the second test parameter, and transmits the results in a normalized format to the second client device.

Claims

1. A computer-implemented method for simulating a trade strategy using historical data, the computer-implemented method comprising:

receiving, at a back-end server, a first set of one or more parameters from a first client device remote from the back-end server, the first set of one or more parameters defining a first trade strategy;

obtaining, by the back-end server, first historical data from a first historical timeframe, wherein obtaining the first historical data comprises;

determining whether the first historical data is in a local storage unit and is up-to-date,

requesting and receiving the first historical data from a central storage unit if it is determined that the first historical data is not in the local storage unit or is not up-to-date,

determining whether the received first historical data includes one or more first corrections associated with the first trade strategy,

determining if the one or more first corrections reflect first corrected data associated with the first trade strategy, and

storing the first corrected data in the local storage unit if it is determined that the one or more first corrections reflect first corrected data;

simulating, by the back-end server, the first trade strategy over the first historical timeframe using the first historical data and the first set of one or more parameters, wherein simulating the first trade strategy further comprises re-simulating, by the back-end server, the first trade strategy using update historical data and the first set of one or more parameters; and

transmitting, from the back-end server, results of the simulation and re-simulated simulation of the first trade strategy to the remote first client device.

2. The computer-implemented method of claim 1, wherein the first set of one or more parameters is defined using a Web service.

3. The computer-implemented method of claim 1, wherein the results of the simulations of the first and second trade strategies are transmitted in an extensible markup language (XML) format.

4. The computer-implemented method of claim 1, wherein the first set of one or more parameters comprise:

a first parameter associated with raw profit/loss analysis based on a fixed currency amount,

a second parameter associated with raw profit/loss analysis based on a fixed number of shares,

a third parameter associated with profit/loss analysis based on a fixed currency amount wherein the starting capital is adjusted based on the profit/loss of a previous simulation of the first trade strategy,

a fourth parameter associated with profit/loss analysis based on a fixed share per trade wherein the starting capital is adjusted based on the profit/loss of a previous simulation of the first trade strategy,

a fifth parameter associated with supplied starting capital simulation mode using a fixed percent of existing equity available for the test,

a sixth parameter associated with user definition of the number of shares or amount of currency used for each test, or

any combination of the first, second, third, fourth, fifth and sixth parameters.

5. The computer-implemented method of claim 1, wherein the first and second trade strategies are associated with strategies for trading:

one or more equities,

one or more equity options,

one or more futures,

one or more futures options,

one or more mutual funds,

one or more derivative-based instruments, or

any combination of equities, equity options, futures, futures options, mutual funds, or derivative-based instruments.

6. The computer-implemented method of claim 1, wherein the simulations of the first and second trade strategies are simulated simultaneously.

7. The computer-implemented method of claim 1, wherein obtaining, by the back-end server, the first historical data comprises requesting the first historical data from one or more remote databases.

8. The computer-implemented method of claim 7, wherein the one or more remote databases comprise:

one or more economic databases,

one or more fundamental databases,

one or more technical indicator databases, or

any combination of economic databases, fundamental databases, or technical indicator databases.

9. The computer-implemented method of claim 1 further comprising storing the obtained first and second historical data in a local storage unit.

10. The computer-implemented method of claim 9 further comprising:

determining if the local storage unit has updated data;

if the local storage unit does not have updated data, then updating at least a part of the historical data stored in the local storage unit.

11. The computer-implemented method of claim 10, wherein updating the part of the historical data is performed when an interval of time for the first or second trade strategies has elapsed.

12. The computer-implemented method of claim 11, wherein the interval of time comprises a year, a quarter, a month, a week, a day, 6 hours, 3 hours, 1 hour, 30 minutes, 15 minutes, 10 minutes, 5 minutes, 3 minutes, or 1 minute.

13. The computer-implemented method of claim 10 further comprising:

re-simulating, by the back-end server, the first trade strategy using the updated historical data and the first set of one or more parameters; and

transmitting, from the back-end server, results of the re-simulated simulation of the first trade strategy to the remote first client device.

14. The computer-implemented method of claim 1 further comprising:

receiving, at the back-end server, a second set of one or more parameters from a second client device remote from the back-end server, the second set of one or more parameters defining a second trade strategy, the second client device being different from the first client device;

obtaining, by the back-end server, second historical data associated with a second historical timeframe, wherein obtaining the second historical data comprises;

determining whether the second historical data is in the local storage unit and is up-to-date,

requesting and receiving the second historical data from the central storage unit if it is determined that the second historical data is not in the local storage unit or is not up-to-date,

determining whether the received second historical data includes one or more second corrections associated with the second trade strategy,

determining if the one or more second corrections reflect second corrected data associated with the second trade strategy, and

storing the second corrected data in the local storage unit if it is determined that the one or more second corrections reflect second corrected data;

simulating, by the back-end server, the second trade strategy over the second historical timeframe using the second historical data and the second set of one or more parameters, wherein simulating the second trade strategy further comprises re-simulating, by the back-end server, the second trade strategy using updated historical data and the second set of one or more parameters; and

transmitting, from the back-end server, results of the simulation and re-simulated simulation of the second trade strategy to the remote second client device.

15. The method of claim 1, wherein obtaining the first historical data further comprises:

determining whether an interval of time has elapsed for a request for updated data associated with a symbol in the first trade strategy;

marking the symbol if a total number of intervals of time that have elapsed satisfies a predetermined threshold condition; and

transmitting, from the back-end server, options for management of the symbol to the remote first client device.

16. The method of claim 15, wherein the options for management of the symbol comprise a delete option, a replacement option, a restore option, and an ignore option.

17. A computer program product, tangibly embodied in an information carrier, the computer program product including instructions being operable to cause a data processing apparatus to:

obtain first historical data associated with a second historical timeframe and associated with a first trade strategy defined by a first set of one or more parameters received from a first client device remote from the data processing apparatus, wherein the instructions being operable to cause the data processing apparatus to obtain the first historical data comprises instructions being operable to cause the data processing apparatus to;

determine whether the first historical data is in a local storage unit and is up-to-date,

request and receiving the first historical data from a central storage unit if it is determined that the first historical data is not in the local storage unit or is not up-to-date,

determine whether the received first historical data includes one or more first corrections associated with the first trade strategy,

determine if the one or more first corrections reflect first corrected data associated with the first trade strategy, and

store the first corrected data in the local storage unit if it is determined that the one or more first corrections reflect first corrected data;

simulate the first trade strategy over the first historical timeframe using the first historical data and the first set of one or more parameters, wherein the instructions being operable to cause the data processing apparatus to simulate the first trade strategy comprises instructions being operable to cause the data processing apparatus to re-simulate the first trade strategy using updated historical data and the first set of one or more parameters; and

transmit results of the simulation and re-simulated simulation of the first trade strategy to the remote first client device.

18. A system for simulating a trade strategy using historical data, the system comprising:

a back-end server configured to;

receive a first set of one or more parameters from a first client device remote from the back-end server, the first set of one or more parameters defining a first trade strategy;

obtain first historical data associated with a first historical timeframe and associated with the first trade strategy, wherein to obtain the first historical data the back-end server is further configured to;

determine whether the first historical data is in a local storage unit and is up-to-date,

request and receiving the first historical data from a central storage unit if it is determined that the first historical data is not in the local storage unit or is not up-to-date,

determine whether the received first historical data includes one or more first corrections associated with the first trade strategy,

determine if the one or more first corrections reflect first corrected data associated with the first trade strategy, and

store the first corrected data in the local storage unit if it is determined that the one or more first corrections reflect first corrected data;

simulate the first trade strategy over the first historical timeframe using the first historical data and the first set of one or more parameters, wherein to simulate the first trade strategy the back-end server is further configured to re-simulate the first trade strategy using updated historical data and the first set of one or more parameters; and

transmit results of the simulation and re-simulated simulation of the first trade strategy to the remote first client device.