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1. EP2036031 - ALGORITHMIC TRADING SYSTEM AND METHOD

Office European Patent Office
Application Number 07796218
Application Date 18.06.2007
Publication Number 2036031
Publication Date 18.03.2009
Publication Kind A4
IPC
G06Q 40/00
GPHYSICS
06COMPUTING; CALCULATING OR COUNTING
QDATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES, NOT OTHERWISE PROVIDED FOR
40Finance; Insurance; Tax strategies; Processing of corporate or income taxes
CPC
G06Q 40/04
GPHYSICS
06COMPUTING; CALCULATING; COUNTING
QDATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES, NOT OTHERWISE PROVIDED FOR
40Finance; Insurance; Tax strategies; Processing of corporate or income taxes
04Exchange, e.g. stocks, commodities, derivatives or currency exchange
G06Q 40/00
GPHYSICS
06COMPUTING; CALCULATING; COUNTING
QDATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES, NOT OTHERWISE PROVIDED FOR
40Finance; Insurance; Tax strategies; Processing of corporate or income taxes
Applicants ITG SOFTWARE SOLUTIONS INC
Inventors BORKOVEC MILAN
HEIDLE HANS
SINCLAIR ROBERT
Designated States
Priority Data 2007014175 18.06.2007 US
81406606 16.06.2006 US
94413107 15.06.2007 US
Title
(DE) ALGORITHMISCHES HANDELSSYSTEM UND -VERFAHREN
(EN) ALGORITHMIC TRADING SYSTEM AND METHOD
(FR) SYSTÈME ET PROCÉDÉ DE COMMERCE ALGORITHMIQUES
Abstract
(EN)
A system and method for allowing market participants to evaluate the likelihood of finding hidden volume. The model can predict hidden volume and assess the probability that a market order will be executed within the spread and better than the mid-quote. The cost per immediate execution can be assessed.

(FR)
L'invention concerne un système et un procédé permettant à des participants d'un marché d'évaluer la probabilité de trouver un volume caché. Le modèle peut prédire un volume caché et évaluer la probabilité qu'un ordre de bourse soit exécuté dans la marge et mieux que la cotation moyenne. Le coût par exécution immédiate peut être évalué.