Systems and methods for electronic trade order routing
AssigneeBlackRock Finance, Inc.
InventorsShawn Simpson, Jingxin Xi, Donald Weidner, Trevor Hastie, Robert Tibshirani
Life of this patent
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Abstract
The present application generally relates to electronic trading systems, and more specifically to systems and methods for electronic trade order routing. A routing algorithm may generate an execution style recommendation for incoming IG corporate orders. For example, the style recommendation may be shown as a new column in the trading application dashboard that suggests a course of action to traders for each order. In one implementation, automatic decision making may occur based on the style recommendation.
Claims18
A method of routing an incoming trade order at a routing server, the method comprising:
- training a machine learning based classification model using historical patterns of trade costs from a training dataset of historical trade data to predict an execution style based on a trade cost;
- in response to receiving, at a communication interface of the routing server, information of the incoming trade order,
- transforming, by a processor at the routing server, the received information of the incoming trade order into a vector of attributes;
- generating, by the trained machine learning based classification model, a predicted likelihood that the incoming trade order is to be executed under a specific execution style from a set of execution styles based on the vector of attributes;
- determining, from the set of execution styles, a recommended execution style based on an estimate of trade cost associated with each execution style and the predicted likelihood corresponding to the specific execution style;
- and
- routing, by the routing server, an electronic message comprising the incoming trade order to a destination trade execution system based on the recommended execution style, causing the incoming trade order to be executed at the destination trade execution system under the recommended execution style.
A system of routing an incoming trade order at a routing server, the system comprising:
- a communication interface that receives information of the incoming trade order;
- a memory storing a plurality of processor-executable instructions;
- and
- a processor reading from the memory and executing the plurality of processor-executable instructions to perform operations comprising:
- training a machine learning based classification model using historical patterns of trade costs from a training dataset of historical trade data to predict an execution style based on a trade cost;
- transforming, by a processor at the routing server, the received information of the incoming trade order into a vector of attributes;
- generating, by the trained machine learning based classification model trained using historical patterns of trade costs, a predicted likelihood that the incoming trade order is to be executed under a specific execution style from a set of execution styles based on the vector of attributes;
- determining, from the set of execution styles, a recommended execution style based on an estimate of trade cost associated with each execution style and the predicted likelihood corresponding to the specific execution style;
- and
- routing, by the routing server, an electronic message comprising the incoming trade order to a destination trade execution system based on the recommended execution style, causing the incoming trade order to be executed at the destination trade execution system under the recommended execution style.
A non-transitory storage processor-readable medium storing a plurality of processor-executed instructions for routing an incoming trade order at a routing server, the instructions being executed by a processor to perform operations comprising:
- training a machine learning based classification model using historical patterns of trade costs from a training dataset of historical trade data to predict an execution style based on a trade cost;
- in response to receiving, at a communication interface of the routing server, information of the incoming trade order
- transforming, by a processor at the routing server, the received information of the incoming trade order into a vector of attributes;
- generating, by the trained machine learning based classification model, a predicted likelihood that the incoming trade order is to be executed under a specific execution style from a set of execution styles based on the vector of attributes;
- determining, from the set of execution styles, a recommended execution style based on an estimate of trade cost associated with each execution style and the predicted likelihood corresponding to the specific execution style;
- and
- routing, by the routing server, an electronic message comprising the incoming trade order to a destination trade execution system based on the recommended execution style, causing the incoming trade order to be executed at the destination trade execution system under the recommended execution style.
Dependencies are inferred from the claim text.