System and method for estimating and optimizing transaction costs
AssigneeITG Software Solutions, Inc.
InventorsAnanth Madhavan, Artem V. Asriev
Life of this patent
Estimating the term…
Abstract
A method and system for forecasting the transaction cost of a portfolio trade execution that may be applied to any given trade strategy or an optimal trade strategy that minimizes transaction costs. In preferred embodiments, a server comprises one or more computers that act as an automated forecaster whereby it accepts user-defined input variables from customers and generates a transaction cost estimation report based on those variables. The server is programmed with specific transaction cost estimation and optimization algorithms that model the transaction costs of a specific trade execution based on the user's trading profile and market variables.
Claims14
A method for estimating transaction costs of a security trade execution according to a trading strategy selected by a user, comprising the steps of:
- providing a server connected to a communication network, said server being configured to execute a specific strategy transaction cost optimization algorithm;
- receiving at said server over said network data defining parameters of a proposed trade execution from a user, and data specifying a user-selected trading strategy;
- and
- estimating the transaction costs of the received proposed trade execution based on the user-selected trading strategy and market data, and recommending actions determined by said specific strategy transaction cost optimization algorithm that minimize said transaction costs under said user-selected trading strategy, whereby a user may minimize transaction costs by taking said actions in executing said trade;
- wherein, said user-selected trading strategy may be selected from among a plurality of predefined trading styles, or may be specifically defined by said user.
A system for estimating and optimizing transaction costs of proposed execution trades of securities according to a risk value selected by a user, comprising:
- a plurality of servers, each server being configured to execute a specific transaction cost estimation and optimization algorithm, receiving from said user data specifying parameters of a proposed trade order and estimating the transaction costs of the received proposed trade execution based on the user-selected risk value and market data, and recommending actions determined by said specific strategy transaction cost optimization algorithm that minimize said transaction costs under said user-selected risk value, whereby a user may minimize transaction costs by taking said actions in executing said trade;
- said plurality of servers being connected to a plurality of clients over a communication network, wherein a user enters at a client a selected risk value and data specifying parameters of a proposed trade order and transmits them from said client over said communication network to a server associated with the transaction cost estimation and optimization, and receives said estimation of transaction costs according to a selected from said server over said communication network.
Dependencies are inferred from the claim text.