Systems, methods, and media for automatically controlling trade executions based on percentage of volume trading rates

Abstract

Systems, methods, and media for automatically controlling trade executions based on percentage of volume trading rates are provided. In some embodiments, systems for automatically controlling trade executions based on percentage of volume trading rates, are provided, the systems comprising at least one processor that: determines a market impact relationship for each of a plurality of positions included in a portfolio; determines a risk model associated with the portfolio; solves for a percentage of volume trading rate for each of the plurality of positions included in the portfolio based on the market impact relationship and the risk model; and causes trades to be executed in at least one of the plurality of positions included in the portfolio at the percentage of volume trading rate corresponding to the at least one of the plurality of positions.

1 . A system for automatically controlling trade executions based on percentage of volume trading rates, comprising:
 at least one processor that:
 determines a market impact relationship for each of a plurality of positions included in a portfolio; 
 determines a risk model associated with the portfolio; 
 solves for a percentage of volume trading rate for each of the plurality of positions included in the portfolio based on the market impact relationship and the risk model; and 
 causes trades to be executed in at least one of the plurality of positions included in the portfolio at the percentage of volume trading rate corresponding to the at least one of the plurality of positions. 
   
     
     
         2 . The system of  claim 1 , wherein the processor also determines cross eligibility for at least one of the plurality of positions. 
     
     
         3 . The system of  claim 2 , wherein the processor determines cross eligibility based at least in part on a marginal contribution to risk calculation. 
     
     
         4 . The system of  claim 2 , wherein the processor determines cross eligibility based at least in part on position size. 
     
     
         5 . The system of  claim 1 , wherein the solving for the percentage of volume trading rate is also based on the Trader's Dilemma. 
     
     
         6 . The system of  claim 1 , wherein the solving for the percentage of volume trading rate is performed by an optimizer. 
     
     
         7 . The system of  claim 1 , wherein the solving for the percentage of volume trading rate is performed using non-linear constrained optimization. 
     
     
         8 . A method for automatically controlling trade executions based on percentage, of volume trading rates, comprising:
 determining a market impact relationship for each of a plurality of positions included in a portfolio;   determining a risk model associated with the portfolio;   solving for a percentage of volume trading rate for each of the plurality of positions included in the portfolio based on the market impact relationship and the risk model; and   causing trades to be executed in at least one of the plurality of positions included in the portfolio at the percentage of volume trading rate corresponding to the at least one of the plurality of positions.   
     
     
         9 . The method of  claim 8 , further comprising determining cross eligibility for at least one of the plurality of positions. 
     
     
         10 . The method of  claim 9 , wherein determining cross eligibility is based at least in part on a marginal contribution to risk calculation. 
     
     
         11 . The method of  claim 9 , wherein determining cross eligibility is based at least in part on position size. 
     
     
         12 . The method of  claim 8 , wherein the solving for the percentage of volume trading rate is also based on the Trader's Dilemma. 
     
     
         13 . The method of  claim 8 , wherein the solving for the percentage of volume trading rate is performed by an optimizer. 
     
     
         14 . The method of  claim 8 , wherein the solving for the percentage of volume trading rate is performed using non-linear constrained optimization. 
     
     
         15 . A computer-readable medium containing computer-executable instructions that, when executed by a processor, cause the processor to perform a method for automatically controlling trade executions based on percentage of volume trading rates, the method comprising:
 determining a market impact relationship for each of a plurality of positions included in a portfolio;   determining a risk model associated with the portfolio;   solving for a percentage of volume trading rate for each of the plurality of positions included in the portfolio based on the market impact relationship and the risk model; and   causing trades to be executed in at least one of the plurality of positions included in the portfolio at the percentage of volume trading rate corresponding to the at least one of the plurality of positions.   
     
     
         16 . The medium of  claim 15 , wherein the method further comprises determining cross eligibility for at least one of the plurality of positions. 
     
     
         17 . The medium of  claim 16 , wherein determining cross eligibility is based at least in part on a marginal contribution to risk calculation. 
     
     
         18 . The medium of  claim 16 , wherein determining cross eligibility is based at least in part on position size. 
     
     
         19 . The medium of  claim 15 , wherein the solving for the percentage of volume trading rate is also based on the Trader's Dilemma. 
     
     
         20 . The medium of  claim 15 , wherein the solving for the percentage of volume trading rate is performed by an optimizer. 
     
     
         21 . The medium of  claim 15 , wherein the solving for the percentage of volume trading rate is performed using non-linear constrained optimization.