Patent ID: 8140427
Filing Date: 2012-03-20
Classification: G06Q

Abstract:
1. A computerized method for adaptive transaction cost estimation, said computerized method comprising the steps of: a. receiving at a trade optimization server, electronic information defining a proposed order to trade one or more assets on an electronic exchange or marketplace, wherein the electronic information is stored, by the trade optimization server, in an electronic data storage facility and comprises, for each of the one or more assets in the proposed order to trade, information identifying: b. receiving at the trade optimization server, electronic market data comprising historical market data and current market data relating to the one or more assets; c. determining, through the use of an optimization algorithm at the trade optimization server, an optimum trading strategy and a transaction cost estimate for implementing the proposed order, based upon the proposed trade order, at least one pre-selected trading parameter, and the electronic market data; d. outputting an indication of a quantity of the one or more assets to be traded in an upcoming time period according to the determined optimum trading strategy and the transaction cost estimate, the quantity to be traded being less than or equal to the total quantity to be traded; and e. receiving at the trade optimization server, a potential trade imbalance of an upcoming time period, wherein the potential trade imbalance is based at least on the electronic information reflecting a proposed trade order and the received electronic market data; wherein the optimum trading strategy and the transaction cost estimate for implementing the proposed order are each additionally based on the potential trade imbalance of an upcoming time period.