Patent ID: 8660935

Claim:
A computer system for computing a transaction cost metric for a trade order involving a tradable financial product, the computer system comprising: at least one processor; and at least one memory unit in communication with the at least one processor, wherein the at least one memory unit stores instructions that when executed by the at least one processor cause the at least one processor to: compute a number of complimentary orders K required to complete the trade order based on a notional size N for the trade order, wherein K≧1; compute values for each option in a strip of K options using an option pricing formula, wherein each of the K options has a different tenor, and wherein respective tenors for each of the K options in the strip correspond to expected waiting times for each of the number of complimentary orders K required to fill the trade order; and compute the transaction cost metric based on the computed values for each option in the strip of K options.