Systems and Methods for Order Analysis, Enrichment and Execution

Abstract

A preferred embodiment of the invention provides an interface providing a model-driven projection of various order execution statistics based on the exact strategy (channel, algorithm, and parameters) that is selected by a user. In at least one embodiment, the interface is linked to at least order execution system and comprises an order execution display. In one embodiment, the invention comprises a computer system operable to display a graphical user interface comprising (a) a pre-trade analysis component for displaying market intelligence information regarding one or more specified securities; and (b) a strategy selection component for displaying order execution strategies for selection by a user and that comprises (i) an order execution component for routing a selected order execution strategy to an order execution system; (ii) an interface for enabling a user to specify trading strategies and strategy requirements; and (iii) a display for displaying projected order completion information.

1 . A computer system operable to display a graphical user interface comprising a pre-trade analysis component and an strategy selection component, wherein
 said pre-trade analysis component is operable to display market intelligence information regarding one or more securities; and   said strategy selection component is operable to display one or more order execution strategies for selection by a user, and comprises an order execution component operable to route a selected order execution strategy to an order execution system;   wherein said strategy selection component further comprises an interface for enabling a user to specify one or more trading strategies and strategy requirements; and   wherein said strategy selection component further comprises a display operable to display projected order completion information based on said user-specified one or more trading strategies and strategy requirements.   
     
     
         2 . A system as in  claim 1 , wherein said pre-trade analysis component is operable to receive from an order management system data identifying said one or more securities. 
     
     
         3 . A system as in  claim 1 , wherein said pre-trade analysis component is operable to display liquidity information regarding said one or more securities. 
     
     
         4 . A system as in  claim 1 , wherein said pre-trade analysis component is operable to display performance information regarding said one or more securities. 
     
     
         5 . A system as in  claim 1 , wherein said pre-trade analysis component is operable to display execution risk information regarding said one or more securities. 
     
     
         6 . A system as in  claim 1 , wherein said strategy selection component is operable to display order execution strategy information for said one or more securities. 
     
     
         7 . A system as in  claim 1 , wherein said strategy selection component comprises an interface for enabling a user to specify one or more order timing requirements. 
     
     
         8 . A system as in  claim 1 , wherein said strategy selection component comprises an interface for enabling a user to specify one or more order execution channels. 
     
     
         9 . A system as in  claim 1 , wherein said strategy selection component comprises an interface for enabling a user to send an order directly to an order execution system. 
     
     
         10 . A system as in  claim 1 , wherein said strategy selection component comprises a basic order information display. 
     
     
         11 . A system as in  claim 1 , wherein said strategy selection component comprises an interface for enabling a user to edit at least one of: order size and price limit. 
     
     
         12 . A system as in  claim 1 , wherein said interface for enabling a user to specify one or more trading strategy requirements is operable to enable a user to choose one or more trading strategies comprising one or more VWAP and TWAP strategies. 
     
     
         13 . A system as in  claim 12 , wherein said interface for enabling a user to specify one or more trading strategy requirements is further operable to allow said user to specify one or more trading horizons for said user-chosen VWAP and TWAP strategies. 
     
     
         14 . A system as in  claim 1 , wherein said interface for enabling a user to specify one or more trading strategy requirements is operable to enable said user to choose one or more trading strategies comprising one or more With Volume strategies. 
     
     
         15 . A system as in  claim 14 , wherein said interface for enabling a user to specify one or more trading strategy requirements is further operable to allow said user to specify one or more volume participation target rates for said user-chosen With Volume strategies. 
     
     
         16 . A system as in  claim 1 , wherein said interface for enabling a user to specify one or more trading strategy requirements is operable to enable said user to choose one or more trading strategies comprising one or more Target Strike strategies. 
     
     
         17 . A system as in  claim 16 , wherein said interface for enabling a user to specify one or more trading strategy requirements is further operable to allow said user to specify one or more urgency levels for said user-chosen Target Strike strategies. 
     
     
         18 . A system as in  claim 1 , wherein said interface for enabling a user to specify one or more trading strategy requirements is operable to enable a user to specify a participation ceiling. 
     
     
         19 . A system as in  claim 1 , wherein said projected order completion information comprises one or more of: completion percent, execution cost, execution risk, duration, completion time, and consumption rate. 
     
     
         20 . A system as in  claim 1 , wherein said projected order completion information comprises residual order information. 
     
     
         21 . A system as in  claim 20 , wherein said residual order information comprises at least one of: residual percent, residual cost, residual risk, and total risk. 
     
     
         22 . A system as in  claim 1 , wherein said projected order completion information comprises impact versus execution risk tradeoff information. 
     
     
         23 . A system as in  claim 22 , wherein said impact versus execution risk tradeoff information is displayed as a chart. 
     
     
         24 . A system as in  claim 1 , wherein said projected order completion information comprises impact cost information. 
     
     
         25 . A system as in  claim 24 , wherein said impact cost information is displayed as a chart. 
     
     
         26 . A system as in  claim 1 , further comprising a monitoring component operable to display order progress and performance information. 
     
     
         27 . A system as in  claim 26 , wherein said monitoring component is operable to display order and slice information comprising symbol, side, slice size, and strategy. 
     
     
         28 . A system as in  claim 26 , wherein said monitoring component is operable to display quote information and VWAP. 
     
     
         29 . A system as in  claim 26 , wherein said monitoring component is operable to display real time order progress data. 
     
     
         30 . A system as in  claim 29 , wherein said real time order progress data comprises at least one of: percent filled, average price, unrealized average price, and percent consumption. 
     
     
         31 . A system as in  claim 26 , wherein said monitoring component is operable to display a trading conditions summary. 
     
     
         32 . A system as in  claim 31 , wherein said trading conditions summary comprises information regarding at least one of: volume, volatility, and spread over horizon. 
     
     
         33 . A system as in  claim 26 , wherein said monitoring component is operable to display a chart showing price versus VWAP. 
     
     
         34 . A system as in  claim 26 , wherein said monitoring component is operable to display a chart showing actual versus expected volume. 
     
     
         35 . A system as in  claim 1 , further comprising a view all orders component operable to display order progress and performance information for a plurality of orders.