System, method, and computer program product for executing a buy or sell order
a technology of system and method, applied in the field of buying or selling commodities, can solve the problems of imposing unnecessary structure on the trading process, unable to allow the investor to control the timing of execution, and losing control over the execution price of the investor, etc., and achieve the effect of filling very quickly
Inactive Publication Date: 2013-05-16
ITG SOFTWARE SOLUTIONS INC
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- Abstract
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- Application Information
AI Technical Summary
Benefits of technology
This approach allows for more controlled and efficient execution of trades by dynamically adjusting orders based on urgency, reducing the need for aggressive orders and improving execution quality.
Problems solved by technology
The drawback of a market order is that the investor loses control over execution price and usually overpays.
A limit order is more likely to result in good executions, but does not allow the investor to control the timing of execution.
This is a problem, particularly when the investor is trying to follow a pre-specified trading distribution.
Certain problems exist with bin-based strategies.
The bin based approach forces unnecessary structure on the trading process.
For example, as the end of a bin approaches, the strategy may need to rely on aggressive orders, which may result in poor executions.
Method used
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[0022]While the present invention may be embodied in many different forms, there is described herein in detail an illustrative embodiment(s) with the understanding that the present disclosure is to be considered as an example of the principles of the invention and is not intended to limit the invention to the illustrated embodiment(s).
[0023]As discussed above, the present invention provides a method for executing an order to buy or sell a specified quantity of a certain item and a system and computer program product for implementing the method. The invention can apply to the trading (i.e., buying or selling) of any item, but, for the sake of brevity, the invention is described below using the example of selling a certain number of shares of a stock.
[0024]FIG. 1 is flow chart illustrating a process 100, according to one embodiment of the invention, for executing an order to sell X number of shares of a stock. Process 100 may begin in step 102, where an initial set of tranche orders t...
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An auto-trading strategy for executing an order to buy or sell a specified quantity of a certain item. The strategy utilizes urgency scores rather than time bins. In one embodiment, an urgency score is determined at a certain point in time. The urgency score is a function of a trading target associated with the point in time and the actual number of items that have been traded as of the certain point in time.
Description
CROSS-REFERENCE TO RELATED APPLICATIONS[0001]This application is a Continuation of and claims priority to U.S. patent application Ser. No. 10 / 457,479, filed Jun. 10, 2003, the entire contents of which are incorporated herein by reference.BACKGROUND OF THE INVENTION[0002]1. Field of the Invention[0003]This invention relates generally to buying or selling commodities in a market, and, more specifically, to a system, method, and computer program product for executing an order to buy or sell a specified number of units of a certain item (e.g., 100,000 shares of a corporation's stock or other financial instrument).[0004]2. Discussion of the Background[0005]Two basic types of orders are the market order and the limit order. Market orders allow an investor to choose the timing of the order execution. The drawback of a market order is that the investor loses control over execution price and usually overpays. A limit order is more likely to result in good executions, but does not allow the i...
Claims
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IPC IPC(8): G06Q40/04
CPCG06Q40/04
Inventor BOK, TOMASCUSHING, DAVID
Owner ITG SOFTWARE SOLUTIONS INC