Patent ID: 7110974

Claim:
A system for estimating execution costs of a trade, comprising: one or more computer processors configured to calculate an average bid-ask spread of one or more securities; one or more computer processors configured to calculate values associated with one or more markets; one or more computer processors configured to receive and store data regarding an order size for said one or more securities; one or more computer processors configured to receive and store data regarding an average daily volume of said one or more securities traded on a specified market; one or more computer processors configured to calculate data regarding historical volatility of said one or more securities; one or more computer processors configured to calculate an estimated cost of trading said one or more securities using data comprising a formula based on said average bid-ask spread, said values associated with one or more markets, said data regarding order size, said data regarding average daily volume, and said data regarding historical volatility, wherein said formula has the following form: Cost day =( a*e )+( b *σ*SQRT(ordersize/ ADV )) wherein Cost day represents expected cost over one day of trading, constants a and b are values associated with the various markets around the world, e represents average bid-ask spread of a security, ordersize represents order size, ADV represents average daily volume traded, and σ represents historical volatility of said security; and an electronic display component, in communication with said one or more computer processors configured to calculate an estimated cost, configured to display said estimated cost.