Coordination of algorithms in algorithmic trading engine

US8095455B2 · kind B2 · utility

Assignee

• Pipeline Financial Group, Inc. · US

Inventors

• Andrew Shapiro · Brooklyn, US
• Abe Burmeister · Brooklyn, US
• Ian Dempsey · New York, US
• Brent Gamse · Delray Beach, US
• Henri Waelbroeck · Scarsdale, US

Key dates

• Filing date: Dec 20, 2010
• Grant date: Jan 10, 2012
• Expiry date: Dec 20, 2030

Classification

• Technology area (CPC G): Physics
• CPC primary: G06Q40/04
• WIPO field: IT methods for management
• WIPO sector: Electrical engineering

Abstract

An exemplary embodiment comprises: (a) receiving electronic data describing a trading order; (b) selecting one or more first trading algorithms from a plurality of available stored algorithms for execution of the trading order; (c) commencing execution of the trading order via the one or more first trading algorithms; (d) evaluating quality of execution, during the execution, of the trading order via the one or more first trading algorithms; (e) comparing the evaluated quality of execution to a threshold of acceptability based on a prediction of future performance of execution of the trading order by the one or more first trading algorithms; and (f) if the evaluated quality of execution compares unfavorably to the threshold of acceptability, switching the execution of the trading order to one or more second trading algorithms, wherein the processor unit comprises one or more processors.