Systems and methods for automatically backing out buy orders

• US 7,873,563 B2
• Filed: 12/29/2006
• Issued: 01/18/2011
• Est. Priority Date: 12/29/2006
• Status: Expired due to Fees

• Current Assignee: Fiserv Investment Solutions, Inc. (Fiserv Incorporated)
• Original Assignee: Checkfree Corporation (Fiserv Incorporated)
• Inventors: McKinney, William, Barone, Joseph Anthony, Pierdinock, Michele, Nanjundamoorthy, Hari
• Primary Examiner(s): Kramer; James A
• Assistant Examiner(s): Vezeris; James A
• Application Number:
  US11/618,282
• Publication Number:
  US 20080162325A1
• Time in Patent Office: 1,481 Days
• Field of Search: 705/37
• 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

Abstract

A system and method for identifying a candidate set of at least one buy order associated with an investment account, determining a back out target value that identifies a fiscal amount by which the candidate set must to be reduced, and progressively decrementing a respective initial asset quantity of one or more buy orders of the candidate set until the back out target value is achieved at a final asset quantity of the one or more buy orders. The candidate set of buy orders can then be modified by replacing the respective initial asset quantity with the respective final asset quantity for at least one of the one or more buy orders. The modified candidate set of buy orders can then be provided for trade execution.

Claims

1. A method, comprising:

identifying a candidate set of buy orders, including at least a first buy order and a second buy order, associated with an investment account;

determining that total cash required to fund the candidate set of buy orders exceeds net available cash in the investment account;

determining a back out target value that identifies a fiscal amount by which the candidate set must be reduced;

identifying a decrementation amount;

progressively decrementing a respective initial asset quantity of two or more of the buy orders, including at least a first asset quantity of the first buy order and a second asset quantity of the second buy order, until the back out target value is achieved at a respective final asset quantity of the two or more buy orders, wherein a first initial asset quantity of the first buy order is progressively decremented to a first final asset quantity of zero without achieving the back out target value, and in response to not achieving the back out target value, a second initial asset quantity of the second buy order is progressively decremented to a second final asset quantity, wherein a process of progressively decrementing the respective initial asset quantity of each of the two or more buy orders is performed by;

(1) decrementing a respective asset quantity of the respective buy order by a respective first amount that is (a) equal to the identified decrementation amount if the respective asset quantity exceeds the identified decrementation amount, (b) equal to the respective asset quantity if the respective asset quantity does not exceed the identified decrementation amount, (c) derived from the identified decrementation amount and a respective asset price associated with a respective asset of the respective buy order if the identified decrementation amount is a monetary amount that does not exceed a market value of the respective asset quantity of the respective buy order, or (d) equal to the respective asset quantity if the identified decrementation amount is the monetary amount that exceeds a market value of the respective asset quantity of the respective buy order,

(2) updating the respective asset quantity of the respective buy order to reflect the decrementing by the first amount,

(3) determining whether an impact of the decrementing the respective asset quantity is sufficient to achieve the back out target value,

(4) iteratively repeating steps (1), (2), and (3) for the respective buy order until the respective asset quantity of the respective buy order reaches zero or the back out target value is achieved;

modifying the candidate set of buy orders by (i) excluding any of the buy orders, including the first buy order, for which the respective final asset quantity is zero or (ii) replacing the respective initial asset quantity with the respective final asset quantity for any of the buy orders for which the respective final asset quantity is different than the respective initial asset quantity; and

providing the modified candidate set of buy orders for trade execution,

wherein one or more computers associated with a portfolio management system are programmed to perform the prior steps.

2. The method of claim 1,

wherein determining the back out target value includes calculating the back out target value as a difference between the total cash required and the net available cash.

3. The method of claim 1, wherein the net available cash excludes restricted cash.

4. The method of claim 1, wherein the decrementation amount is a fixed integer quantity.

5. The method of claim 1, wherein the step of progressively decrementing is a step in a current back out method, and further comprising:

identifying the current back out method from a plurality of back out methods, wherein the plurality of back out methods includes at least one of (i) best fit method, (ii) random method, (iii) descending order of quantity method, (iv) ascending order of quantity method, or (v) factor of safety method,

wherein one or more computers associated with the portfolio management system are programmed to perform the prior step.

6. The method of claim 5, wherein at least one of the plurality of back out methods other than the current back out method failed to provide an approved modified candidate set of buy orders prior to selection of the current back out method.

7. The method of claim 5, wherein the current back out method is identified based upon a scope attribute associated with the investment account.

8. The method of claim 7, wherein the scope attribute is selected from the group consisting of:

(i) an identification of the investment account, (ii) an identification of a style associated with the investment account, (iii) an identification of a strategy associated with the investment account, (iv) an identification of a program associated with the investment account, or (v) an identification of a customer associated with the investment account.

9. The method of claim 5, wherein the current back out method is a first back out method selected from the plurality of back out methods, and further comprising:

determining that both the first back out method and a second back out method of the plurality of back out methods are applicable; and

selecting the first back out method over the second back out method based on determining a prioritization between the first back out method and the second back out method,

wherein one or more computers associated with the portfolio management system are programmed to perform the prior steps.

10. The method of claim 9, wherein the prioritization is based at least in part on a relative ranking between a first scope of applicability of the first back out method and a second scope of applicability of the second back out method.

11. The method of claim 10, wherein each of the first and second scopes of applicability are selected from a group consisting of two or more of the following:

(i) the investment account, (ii) a style associated with the investment account, (iii) a strategy associated with the investment account, (iv) a program associated with the investment account, or (v) a customer associated with the investment account.

12. The method of claim 1, further comprising:

prior to progressively decrementing, sorting the candidate set of at least one buy order in order according to one of (i) descending market value of each buy order, (ii) ascending market value of each buy order, (iii) descending asset quantity of each buy order, or (iv) ascending asset quantity of each buy order,

wherein one or more computers associated with the portfolio management system are programmed to perform the prior step.

13. The method of claim 1, wherein the first buy order is one of:

(i) an initial buy order in the candidate set processed, (ii) determined as a function of the initial buy order in the candidate set processed, or (iii) determined independently of the initial buy order in the candidate set processed.

14. The method of claim 13, further comprising:

determining the initial buy order in the candidate set processed as a function of (i) a relative position of the initial buy order within the candidate set, (ii) an asset quantity associated with the initial buy order, or (iii) a market value associated with the initial buy order,

wherein one or more computers associated with the portfolio management system are programmed to perform the prior step.

15. The method of claim 14, wherein the initial buy order is determined as the function of a relative position of the initial buy order within the candidate set, and wherein the relative position is one of (i) a first instance in the candidate set, (ii) a last instance in the candidate set, or (iii) a median instance in the candidate set.

16. The method of claim 13, wherein the first buy order is determined as the function of the asset quantity associated with the initial buy order, and wherein the asset quantity is one of (i) the smallest of any asset quantity associated with any buy order in the candidate set or (ii) the largest of any asset quantity associated with any buy order in the candidate set.

17. The method of claim 13, wherein the initial buy order in the candidate set processed is determined as the function of the market value associated with the initial buy order, and wherein the market value is one of (i) the smallest of any market value associated with any buy order in the candidate set, (ii) the largest of any market value associated with any buy order in the candidate set, or (iii) the value that most closely approximates the back out target value of any market value associated with another buy order in the candidate set.

18. The method of claim 13, wherein the first buy order is determined as a function of the initial buy order in the candidate set processed, wherein the candidate set of buy orders is ordered into a list, and wherein the function includes one of (i) processing buy orders sequentially down the list after the first buy order in the candidate set processed or (ii) processing buy orders sequentially up the list before the first buy order in the candidate set processed.

19. The method of claim 13, wherein the first buy order is determined independently of the initial buy order in the candidate set processed, and wherein the first buy order is determined as a random instance of the buy orders in the candidate set having a non-zero respective final asset quantity.

20. The method of claim 4, wherein the fixed integer quantity is:

(i) chosen by a customer associated with the investment account, (ii) established as a system default, or (iii) selected from a plurality of possible fixed integer quantity values.

21. The method of claim 20, wherein the fixed integer quantity is selected from a plurality of possible fixed integer quantity values, and wherein the selection is based on a scope attribute associated with the investment account.

22. A system, comprising:

a memory for storing computer program instructions;

a processor in communication with the memory, wherein the processor is operable to execute the computer program instructions to;

identify a candidate set of buy orders, including at least a first buy order and a second buy order, associated with an investment account;

determine that total cash required to fund the candidate set of buy orders exceeds net available cash in the investment account;

determine a back out target value that identifies a fiscal amount by which the candidate set must be reduced;

identify a decrementation amount;

progressively decrement an initial asset quantity of two or more of the buy orders, including at least a first asset quantity of the first buy order and a second asset quantity of the second buy order, until the back out target value is achieved at a respective final asset quantity of the two or more buy orders, wherein a first initial asset quantity of the first buy order is progressively decremented to a first final asset quantity of zero without achieving the back out target value, and in response to not achieving the back out target value, a second initial asset quantity of the second buy order is progressively decremented to a second final asset quantity, wherein a process of progressively decrementing the respective initial asset quantity of each of the two or more buy orders is performed by;

(1) decrementing the respective asset quantity of the respective buy order by a respective first amount that is (a) equal to the identified decrementation amount if the respective asset quantity exceeds the identified decrementation amount, (b) equal to the respective asset quantity if the respective asset quantity does not exceed the identified decrementation amount, (c) derived from the identified decrementation amount and a respective asset price associated with a respective asset of the respective buy order if the identified decrementation amount is a monetary amount that does not exceed a market value of the respective asset quantity of the respective buy order, or (d) equal to the respective asset quantity if the identified decrementation amount is the monetary amount that exceeds a market value of the respective asset quantity of the respective buy order,

(2) updating the respective asset quantity of the respective buy order to reflect the decrementing by the first amount,

(3) determining whether an impact of the decrementing the respective asset quantity is sufficient to achieve the back out target value,

(4) iteratively repeating steps (1), (2), and (3) for the respective buy order until the respective asset quantity of the respective buy order reaches zero or the back out target value is achieved;

modify the candidate set of buy orders by (i) excluding any of the buy orders, including the first buy order, for which the respective final asset quantity is zero or (ii) replacing the respective initial asset quantity with the respective final asset quantity for any of the buy orders for which the respective final asset quantity is different than the respective initial asset quantity; and

provide the modified candidate set of buy orders for trade execution.

23. The system of claim 22,

wherein the back out target value is determined by calculating the back out target value as a difference between the total cash required and the net available cash.

24. The system of claim 22, wherein the net available cash excludes restricted cash.

25. The system of claim 22, wherein the decrementation amount is a fixed integer quantity.

26. The system of claim 22, wherein the step of progressively decrementing is a step in a current back out method, and wherein the processor is further operable to execute the computer program instructions to:

identify the current back out method from a plurality of back out methods, wherein the plurality of back out methods includes at least one of (i) best fit method, (ii) random method, (iii) descending order of quantity method, (iv) ascending order of quantity method, or (v) factor of safety method.

27. The system of claim 26, wherein at least one of the plurality of back out methods other than the current back out method failed to provide an approved modified candidate set of buy orders prior to selection of the current back out method.

28. The system of claim 26, wherein the current back out method is identified based upon a scope attribute associated with the investment account.

29. The system of claim 28, wherein the scope attribute is selected from the group consisting of:

(i) an identification of the investment account, (ii) an identification of a style associated with the investment account, (iii) an identification of a strategy associated with the investment account, (iv) an identification of a program associated with the investment account, or (v) an identification of a customer associated with the investment account.

30. The system of claim 26, wherein the current back out method is a first back out method selected from the plurality of back out methods, and wherein the processor is further operable to execute the computer program instructions to:

determine that both the first back out method and a second back out method of the plurality of back out methods are applicable; and

select the first back out method over the second back out method based on determining a prioritization between the first back out method and the second back out method.

31. The system of claim 30, wherein each of the first and second scopes of applicability are selected from a group consisting of two or more of the following:

(i) the investment account, (ii) a style associated with the investment account, (iii) a strategy associated with the investment account, (iv) a program associated with the investment account, or (v) a customer associated with the investment account.

32. The system of claim 22, wherein the processor is further operable to execute the computer program instructions to:

prior to progressively decrementing, sort the candidate set of at least one buy order in order according to one of (i) descending market value of each buy order, (ii) ascending market value of each buy order, (iii) descending asset quantity of each buy order, or (iv) ascending asset quantity of each buy order.

33. The system of claim 22, wherein the first buy order is one of:

(i) an initial buy order in the candidate set processed, (ii) determined as a function of the initial buy order in the candidate set processed, or (iii) determined independently of the initial buy order in the candidate set processed.

34. The system of claim 33, wherein the processor is further operable to execute the computer program instructions to:

determine the initial buy order in the candidate set processed as a function of (i) a relative position of the initial buy order within the candidate set, (ii) an asset quantity associated with the initial buy order, or (iii) a market value associated with the initial buy order.

35. The system of claim 34, wherein the initial buy order is determined as the function of a relative position of the initial buy order within the candidate set, and wherein the relative position is one of (i) a first instance in the candidate set, (ii) a last instance in the candidate set, or (iii) a median instance in the candidate set.

36. The system of claim 33, wherein the first buy order is determined as the function of the asset quantity associated with the initial buy order, and wherein the asset quantity is one of (i) the smallest of any asset quantity associated with any buy order in the candidate set or (ii) the largest of any asset quantity associated with any buy order in the candidate set.

37. The system of claim 33, wherein the initial buy order in the candidate set processed is determined as the function of the market value associated with the initial buy order, and wherein the market value is one of (i) the smallest of any market value associated with any buy order in the candidate set, (ii) the largest of any market value associated with any buy order in the candidate set, or (iii) the value that most closely approximates the back out target value of any market value associated with another buy order in the candidate set.

38. The system of claim 33, wherein the first buy order is determined as a function of the initial buy order in the candidate set processed, wherein the candidate set of buy orders is ordered into a list, and wherein the function includes one of (i) processing buy orders sequentially down the list after the first buy order in the candidate set processed or (ii) processing buy orders sequentially up the list before the first buy order in the candidate set processed.

39. The system of claim 33, wherein the first buy order is determined independently of the initial buy order in the candidate set processed, and wherein the first buy order is determined as a random instance of the buy orders in the candidate set having a non-zero respective final asset quantity.

40. The system of claim 25, wherein the fixed integer quantity is:

(i) chosen by a customer associated with the investment account, (ii) established as a system default, or (iii) selected from a plurality of possible fixed integer quantity values.

41. The system of claim 40, wherein the fixed integer quantity is selected from a plurality of possible fixed integer quantity values, and wherein the selection is based on a scope attribute associated with the investment account.