Model-Based Selection Of Trade Execution Strategies

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.

1 . A method, comprising:
 providing a multi-dimensional model having at least three dimensions, each dimension pertaining to order difficulty of a trade order;   mapping the multi-dimensional model into multiple execution strategies such that different execution strategies are associated with different levels of order difficulty;   assessing the order difficulty of a trade order; and   selecting, based on the assessed order difficulty, at least one of the execution strategies to execute the trade order.   
     
     
         2 . A method as recited in  claim 1 , wherein the dimensions comprise order size, liquidity, and trade urgency. 
     
     
         3 . A method as recited in  claim 1 , wherein one of the dimensions comprises trade urgency, and said assessing the order difficulty comprises determining the trade urgency of the trades. 
     
     
         4 . A method as recited in  claim 3 , wherein said determining the trade urgency comprises evaluating trading alpha. 
     
     
         5 . A method as recited in  claim 3 , wherein said determining the trade urgency comprises evaluating volatility. 
     
     
         6 . A method as recited in  claim 3 , wherein said determining the trade urgency comprises evaluating execution risk. 
     
     
         7 . A method as recited in  claim 1 , further comprising evaluating effectiveness of the multi-dimensional model in mapping trades into the execution strategies and making modifications to improve effectiveness. 
     
     
         8 . One or more non-transitory computer-readable media storing computer-executable instructions that, when executed on one or more processing units, perform the method recited in  claim 1 . 
     
     
         9 - 23 . (canceled) 
     
     
         24 . One or more non-transitory computer-readable media storing computer-executable instructions that, when executed on one or more processors, performs acts comprising:
 receiving multiple trade orders;   categorizing the trade orders according to at least three different measures of order difficulty for executing the trade orders, wherein one of the measures of order difficulty is trade urgency;   selecting execution strategies for the trade orders based on the trade orders' associated measures of order difficulty; and   presenting the execution strategies for consideration by a trader.   
     
     
         25 . One or more computer-readable media as recited in  claim 24 , wherein the categorizing comprises:
 assessing constituent values of the trade orders for each dimension in a multi-dimensional model having at least three dimensions, said each dimension pertaining to an order difficulty in executing the trade orders such that the multi-dimensional model characterizes trade orders in terms of order difficulty; and   comparing the constituent values to a classification set to resolve the trade orders to different characterizations of the multi-dimensional model.   
     
     
         26 - 29 . (canceled) 
     
     
         30 . A system comprising:
 means for receiving trade orders to trade equities; and   means for mapping the trade orders into execution strategies according to a model that accounts for at least three dimensions of order difficulty, wherein at least one of the dimensions is trade urgency.   
     
     
         31 . A system as recited in  claim 30 , wherein the dimensions comprise the trade urgency, liquidity of the equities, and order size. 
     
     
         32 . A system as recited in  claim 30 , further comprising means for presenting the execution strategies for consideration by a trader. 
     
     
         33 . A system as recited in  claim 30 , further comprising:
 a computing system; and   wherein the receiving means and the mapping means are implemented in software executing on the computing system.   
     
     
         34 . A system as recited in  claim 30 , further comprising evaluating effectiveness of the model in mapping trades into the execution strategies and making modifications to improve effectiveness. 
     
     
         35 . One or more computer-readable media as recited in  claim 24 , wherein the measures of order difficulty comprise order size, liquidity, and trade urgency.