Model-based selection of trade execution strategies
AssigneeGoldman, Sachs & Co.
InventorGeorghios A. Sofianos
Life of this patent
Estimating the term…
Abstract
Effective selection of trade execution strategies using a multi-dimensional model is disclosed. A relationship exists between order difficulty and execution strategy. Execution strategy depends on order difficulty, and order difficulty has many dimensions. The multi-dimensional model classifies trade orders according to the dimensions, and then maps these classified trade orders into suitable execution strategies. For each trade order, one or more appropriate strategies are automatically selected and presented to the trader to assist the trader in making an informed and timely decision.
Claims20
A processor-implemented method, comprising:
- providing a multi-dimensional model having at least three dimensions, each dimension pertaining to order difficulty of a trade order;
- mapping, by a processor, the multi-dimensional model into multiple execution strategies such that different execution strategies are associated with different levels of order difficulty;
- assessing, by the processor, the order difficulty of a trade order;
- selecting, based on the assessed order difficulty, at least one of the execution strategies to execute the trade order;
- and
- evaluating, by the processor, effectiveness of the multi-dimensional model in mapping trades into the execution strategies.
A computer-implemented method, comprising:
- receiving multiple trade orders to trade equities;
- providing a multi-dimensional model having at least three dimensions, wherein the dimensions comprise liquidity, order size, and trade urgency;
- automatically selecting, by a computer, execution strategies for the trade orders using the multi-dimensional model that maps trade orders to execution strategies;
- executing the trade orders according to the selected execution strategies;
- and
- evaluating effectiveness of the multi-dimensional model in mapping trade orders to the execution strategies.
A processor-implemented method, comprising:
- receiving a trade order for execution according to a particular strategy, the strategy being selected, by a processor, using a multi-dimensional model that maps trade orders to execution strategies according to at least three dimensions of order difficulty;
- executing, by a processor, the trade order according to the particular strategy;
- and
- evaluating effectiveness of the multi-dimensional model in mapping trade orders to the execution strategies.
A system comprising:
- a processor;
- and
- a memory disposed in communication with the processor and storing processor-issuable instructions that:
- provides means for receiving trade orders to trade equities;
- provides a multi-dimensional model having at least three dimensions, each dimension pertaining to order difficulty of a trade order;
- maps the multi-dimensional model into multiple execution strategies such that different execution strategies are associated with different levels of order difficulty;
- assesses the order difficulty of a trade order;
- selects, based on the assessed order difficulty, at least one of the execution strategies to execute the trade order;
- and
- evaluates effectiveness of selecting, based on the assessed order difficulty, at least one of the execution strategies.
Dependencies are inferred from the claim text.