Methods and systems related to securities trading

A method comprising:

• (a) receiving electronic data describing an executed trading order and related trade execution data;
• (b) calculating, by an automated programmed computer, an impact-free price estimate which
• estimates an execution price of said executed trading order if said executed trading order had been executed without market impact, wherein said impact-free price estimate is based in part on said data describing said executed trading order;
• (c) transmitting data sufficient to describe said impact-free price estimate;
• wherein said processing system comprises one or more processors.

A method comprising:

• (a) receiving electronic data describing an executed trading order and related trade execution data;
• (b) calculating, by an automated programmed computer, an expected execution price of said
• executed trading order if said executed trading order had been executed using a specified algorithm, wherein said expected execution price is the sum of:
• 1. an impact-free price estimate based in part on said data describing said executed trading order, and
• 2. estimated market impact given said specified algorithm;
• (c) transmitting data sufficient to describe said impact-free price estimate;
• wherein said processing system comprises one or more processors.

A method comprising:

• (a) receiving electronic data describing a potential trading order in a market traded security and related market data;
• (b) calculating, by an automated programmed computer, an impact-free price estimate which
• estimates a price of said market traded security if said potential trading order were not to
• be executed, wherein said impact-free price estimate is based in part on said data describing said potential trading order;
• (c) transmitting data sufficient to describe said impact-free price estimate;
• wherein said processing system comprises one or more processors.

A method comprising:

• (a) receiving electronic data describing a potential trading order and related market data;
• (b) calculating, by an automated programmed computer, an impact-free price estimate which estimates an execution price of said potential trading order if said potential trading order were to be executed without market impact, wherein said impact-free price estimate is based in part on said data describing said potential trading order;
• (c) transmitting data sufficient to describe said impact-free price estimate;
• wherein said processing system comprises one or more processors.

A method comprising:

• (a) receiving electronic data describing a potential trading order and related market data;
• (b) calculating, by an automated programmed computer, an expected execution price of said potential trading order if said potential trading order were to be executed using a specified algorithm, wherein said potential execution price is the sum of:
• 1. an impact-free price estimate based in part on said data describing said potential trading order, and
• 2. estimated market impact given said specified algorithm;
• (c) transmitting data sufficient to describe said impact-free price estimate;
• wherein said processing system comprises one or more processors.

A method comprising:

• (a) receiving electronic data describing a potential trading order and related market data;
• (b) calculating, by an automated programmed computer, an expected execution price of said potential trading order if said potential trading order were to be executed using a specified algorithm, wherein said potential execution price is the sum of:
• 1. an impact-free price estimate based in part on said data describing said potential trading order, and
• 2. estimated market impact given said specified algorithm;
• (c) commencing execution of said potential trading order using said specified trading algorithm;
• wherein said processing system comprises one or more processors.