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1. WO2007149378 - ALGORITHMIC TRADING SYSTEM AND METHOD

Publication Number WO/2007/149378
Publication Date 27.12.2007
International Application No. PCT/US2007/014175
International Filing Date 18.06.2007
Chapter 2 Demand Filed 16.04.2008
IPC
G06Q 40/00 2006.01
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 40/00
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
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
Applicants
  • ITG SOFTWARE SOLUTIONS, INC. [US]/[US] (AllExceptUS)
  • BORKOVEC, Milan [US]/[US] (UsOnly)
Inventors
  • BORKOVEC, Milan
Agents
  • TOLLEFSON, Brian A.
Priority Data
60/814,06616.06.2006US
60/944,13115.06.2007US
Publication Language English (EN)
Filing Language English (EN)
Designated States
Title
(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.
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