Systems and methods for trading a trade list in financial markets

Abstract

Systems and methods are provided for maintaining neutrality while trading a list of securities using an algorithmic trading facility coupled with at least one destination. This destination includes at least one alternative trading system (ATS). This facility is coupled, via an electronic data network, to a plurality of trading clients, and configured to receive a trade request to trade a list of securities from a trading client. This request includes user defined trading constraints that are used to generate and transmit trade orders to at least one ATS. The orders are transmitted based on trading data related to the destinations, the trade list, and the trading constraints. The facility can identify each executed trade corresponding to the trade orders and calculate a trade imbalance. The facility can determine whether the trade imbalance exceeds the trading constraints, and reallocate one or more of said submitted orders based on this determination.

1 - 16 . (canceled) 
     
     
         17 . A system for automatically trading electronically a list of securities in electronic trading venues without receiving live price or volume data from the venues, comprising:
 an algorithmic trading server coupled via an electronic data network with at least one electronic trading venue that performs electronic transactions by receiving and automatically matching electronic trade orders without transmitting pre-execution data regarding said received electronic trade orders, and with a plurality of electronic trading client devices,   said algorithmic trading server configured to receive electronically a first electronic message from one of said plurality of electronic trading client devices, said first electronic message including data relating to a transaction request to trade a list of securities, said transaction request including user defined constraints, and said list of securities including data identifying at least two different tradeable assets, said algorithmic trading server configured to generate and transmit to said at least one electronic trading venue, automatically, a plurality of second electronic messages including data relating to one or more electronic trade orders, based on historical trading data related to said destinations, said list, and said user defined constraints,   said algorithmic trading server configured to receive execution data from said at least one electronic trading venue and to identify a set of executed transactions corresponding to said plurality of second electronic messages, to calculate an imbalance based on the set of identified executed transactions and said trade list, to determine whether said imbalance exceeds said user defined constraints, and based on said determining step, to generate at least two third electronic messages to cancel at least a portion of one or more of said submitted electronic trade orders in a first submitted to said at least one electronic trading venue and to submit a new electronic trade order to a different electronic trading venue.   
     
     
         18 . The system as recited in  claim 17 , wherein said constraints include at least one of a BUY minus SELL tolerance, a SELL minus BUY tolerance, and a SELL-to-BUY ratio. 
     
     
         19 . The system as recited in  claim 17 , said system further include historical trading data storage facilities for storing historical trading data from electronic trading venues. 
     
     
         20 . The system as recited in  claim 17 , wherein said algorithmic trading server is further coupled with a real-time market data feed and said trading data includes said real-time market data. 
     
     
         21 . The system as recited in  claim 17 , wherein the algorithmic trading server if configured to calculate the imbalance by:
 calculating a product of said SELL-to-BUY Ratio and a total value of trades from said identified executed trades to BUY securities;   determining a total value of trades from said identified executed trades to SELL securities; and   subtracting the product from the SELL value.   
     
     
         22 . The system as recited in  claim 17 , wherein the algorithmic trading server if configured to calculate the imbalance by calculating an expected imbalance based on historical market data. 
     
     
         23 . The system as recited in  claim 22 , the expected imbalance is calculated by:
 calculating a product of said SELL-to-BUY Ratio and a total value of expected orders to BUY securities from historical market data;   determining a total value of expected orders to SELL securities from historical market data; and   subtracting the product from the total expected SELL value.   
     
     
         24 . The system as recited in  claim 23 , wherein the total expected BUY value is determined by:
 determining a probability that an order to BUY will be present for the corresponding security, and   multiplying the probability by the average trade size of said corresponding security.   
     
     
         25 . The system as recited in  claim 23 , wherein the total expected SELL side value is determined by:
 determining a probability that an order to SELL will be present for the corresponding security, and   multiplying the probability by the average trade size of said corresponding security.   
     
     
         26 . The system as recited in  claim 18 , wherein the algorithmic trading server is configured further to adjust the SELL minus BUY tolerance based upon identified trade executions. 
     
     
         27 . The system as recited in  claim 18 , wherein the algorithmic trading server is configured further to adjust the SELL minus BUY tolerance to a new SELL Minus BUY Tolerance=Client SELL Minus BUY Tolerance−(SELL Executions−BUY Executions*SELL-to-BUY Ratio). 
     
     
         28 . The system as recited in  claim 18 , wherein the algorithmic trading server is configured further to adjust BUY minus SELL tolerance to equal: New BUY Minus SELL Tolerance=Client BUY Minus SELL Tolerance+(SELL Executions−BUY Executions*SELL-to-BUY Ratio). 
     
     
         29 . The system as recited in  claim 17 , wherein said trading data includes weighted real-time data and historical data. 
     
     
         30 . The system as recited in  claim 17 , wherein the algorithmic trading server is configured further to reallocate unexecuted trade orders from said at least one electronic trading venue to another electronic trading venue that performs electronic transactions by automatically receiving and matching electronic trade orders without transmitting pre-execution data regarding received electronic trade orders, based on the identified executed trades. 
     
     
         31 . The system as recited in  claim 17 , wherein reallocating one or more of said submitted orders further includes at least one of the following:
 cancelling at least one of said submitted orders,   correcting at least one of said submitted orders, or   the use of reserved shares.   
     
     
         32 . The system as recited in  claim 17 , wherein calculating a trade imbalance further includes:
 identifying unexecuted trades by finding the difference of said trade list and said executed trades; and   calculating a trade imbalance based on said unexecuted trades and said trade list.