Predicting a Future Price Range for a Desired Volume

Abstract

The present invention provides methods and apparatus, including computer program products, to predict a future price range for a desired volume of a traded item. This includes determining a price range based on a set of historical transactions having a comparison volume corresponding to the desired volume of the traded item. It may also include selecting transactions from historical transaction data to generate the set of historical transactions. It may also include selecting historical transactions such that the set of historical transactions has a total volume substantially equal to the comparison volume. It may also include selecting historical transactions such that the set of historical transactions has a total volume greater than the comparison volume and selectively removing one or more historical transactions from the set of historical transactions until the set of historical transactions has a total volume substantially equal to the comparison volume.

1 . A method to predict a future price range for a desired volume of a traded item, the method comprising determining a price range based on a set of historical transactions having a comparison volume corresponding to the desired volume of the traded item. 
     
     
         2 . The method of  claim 1  further comprising selecting transactions from historical transaction data to generate the set of historical transactions. 
     
     
         3 . The method of  claim 2  wherein selecting transactions further comprises selecting historical transactions such that the set of historical transactions has a total volume substantially equal to the comparison volume. 
     
     
         4 . The method of  claim 2  wherein selecting further comprises:
 selecting historical transactions such that the set of historical transactions has a total volume greater than the comparison volume; and   selectively removing one or more historical transactions from the set of historical transactions until the set of historical transactions has a total volume substantially equal to the comparison volume.   
     
     
         5 . The method of  claim 4  wherein selectively removing further comprises selectively removing a historical transaction that has a highest price from the set of historical transactions. 
     
     
         6 . The method of  claim 4  wherein selectively removing further comprises selectively removing a historical transaction that has a lowest price from the set of historical transactions. 
     
     
         7 . The method of  claim 4  further comprising determining, after selectively removing one or more historical transactions, an execution time for the set of historical transactions based on a chronologically first transaction and a chronologically last transaction. 
     
     
         8 . The method of  claim 7  further comprising averaging the execution time for the set of historical transactions with another execution time corresponding to another set of transactions. 
     
     
         9 . The method of  claim 2  wherein selecting further comprises:
 selecting a first historical transaction from the historical transaction data; and   repeatedly selecting other historical transactions preceding the previously selected transaction until the set of transactions has a total volume substantially equal to the comparison volume.   
     
     
         10 . The method of  claim 9  wherein the first historical transaction corresponds to a transaction from the historical transaction data that happened most recently. 
     
     
         11 . The method of  claim 9  wherein repeatedly selecting further comprises repeatedly selecting another transaction immediately preceding the previously selected transaction. 
     
     
         12 . The method of  claim 11  further comprises determining an execution time to execute the set of transactions. 
     
     
         13 . The method of  claim 2  wherein the set of historical transactions is a first set of historical transactions, the method further comprising:
 selecting an additional number of sets of historical transactions from the historical transaction data, and   wherein determining further comprises determining a price range based on the first and the additional number of sets of historical transactions.   
     
     
         14 . The method of  claim 13  wherein each set of historical transactions has a total volume substantially equal to comparison volume. 
     
     
         15 . The method of  claim 13  further comprising enabling a user to define the additional number of sets of transactions. 
     
     
         16 . The method of  claim 2  further comprising ordering the historical transaction data. 
     
     
         17 . The method of  claim 16  wherein ordering further comprising ordering the historical transaction data based on price. 
     
     
         18 . The method of  claim 2  further comprising determining an execution time to execute the set of historical transactions. 
     
     
         19 . The method of  claim 18  further comprising displaying the execution time. 
     
     
         20 . The method of  claim 18  further comprising averaging the execution time for the set of historical transactions with another execution time corresponding to another set of transactions to determine an average execution time.