Systems and methods for quantitative order routing
US11488243B2 · kind B2 · utility
Assignee
Inventors
Key dates
| Filing date | May 24, 2019 |
| Grant date | Nov 1, 2022 |
| Priority date | — |
| Expiry date | Feb 23, 2040 |
Classification
- Technology area (CPC H)Electricity
- CPC primaryH04L67/10
- WIPO fieldDigital communication
- WIPO sectorElectrical engineering
Abstract
A smart order router for quantitative trading and order routing and corresponding methods and computer readable media are described. The smart order router includes a machine learning prediction engine configured to, responsive to a control signal received from an upstream trading engine including at least a maximum quantity value and an urgency metric, process input data sets through one or more predictive models to generate the one or more potential combinations of child orders and their associated fill probability metrics, toxicity metrics, and expected gain (loss) metrics and an order placement optimization engine configured to receive the one or more potential combinations of child orders and their associated fill probability metrics, toxicity metrics, and expected gain (loss) metrics and to identify an optimum combination of child orders that maximize an objective function.
Source: USPTO / EPO open patent data. Objective bibliographic and citation counts.