WO2009076552A1 - Determining the quality of trades on an exchange - Google Patents
Determining the quality of trades on an exchange Download PDFInfo
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- WO2009076552A1 WO2009076552A1 PCT/US2008/086474 US2008086474W WO2009076552A1 WO 2009076552 A1 WO2009076552 A1 WO 2009076552A1 US 2008086474 W US2008086474 W US 2008086474W WO 2009076552 A1 WO2009076552 A1 WO 2009076552A1
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- G—PHYSICS
- G06—COMPUTING; CALCULATING OR COUNTING
- G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
- G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
- G06Q40/04—Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
Definitions
- the present disclosure relates generally to methods for trading on an exchange, and, more particularly, the present disclosure relates to a data processing system, methods and a computer program product for determining the quality of block trade executions on an exchange.
- the present trading environment is characterized by decreased liquidity and increased fragmentation of the market.
- Most high-volume trades such as trades consisting of 10,000 or more shares of a given stock, are executed via parceling strategies. That is, a high-volume order is filled by multiple, smaller volume trades on an exchange.
- Most transaction cost analysis metrics thus compute transaction costs accordingly.
- a general object is to therefore provide to improved data processing systems, methods and computer program products for determining the quality of block trade executions on an exchange.
- a method for determining the quality of block trade executions of shares on an exchange for a given block trade at a given time and at a given price on a data processing system includes the steps of determining an average of the absolute value of a price difference between a look-back volume weighted average price and a look-back strike price, determining an average of the absolute value of a price difference between a look- ahead volume weighted average price and an execution price, and computing a price differential between the average of the absolute value of a price difference between a look- back volume weighted average price and a look-back strike price and the average of the absolute value of a price difference between a look-ahead volume weighted average price and an execution price,
- the look- back period is the period necessary to accumulate a number of shares equal to the number of shares in traded in the block trade starting at the time of the execution and working backwards on a tick record
- the look-back strike price is the execution price at the beginning of the look- back period
- the look-back volume weighted average price is the volume weighted average price between the look-back strike price and the execution price, excluding the execution price
- the look-ahead period is the period necessary to accumulate shares equal to the number of shares traded in the block trade starting at the time of execution and working forward on the tick record
- the look-ahead volume weighted average price is the volume weighted average price between the execution price and the price of the stock at the end of the look-ahead period, excluding the execution price.
- a data processing system determines the quality of block trade executions of shares on an exchange for a given block trade at a given time and at a given price on a data processing system.
- the data processing system includes a database for storing information relating to previous execution prices, means for determining an average of the absolute value of a price difference between a look-back volume weighted average price and a look-back strike price, means for determining an average of the absolute value of a price difference between a look-ahead volume weighted average price and an execution price, and means for computing a price differential between the average of the absolute value of a price difference between a look-back volume weighted average price and a look-back strike price and the average of the absolute value of a price difference between a look- ahead volume weighted average price and an execution price.
- the data processing system may use similar definitions and constraints as set forth above for the methods.
- a further embodiment includes a computer program product for determining transaction costs associated with a stock trade.
- the computer program product includes a computer readable medium which has instructions stored on the computer readable medium to cause a data processor to determine an average of the absolute value of a price difference between a look-back volume weighted average price and a look-back strike price, determine an average of the absolute value of a price difference between a look- ahead volume weighted average price and an execution price; and compute a price differential between the average of the absolute value of a price difference between a look-back volume weighted average price and a look-back strike price and the average of the absolute value of a price difference between a look-ahead volume weighted average price and an execution price.
- the computer program product may also use similar definitions and constraints as set forth above for the methods .
- FIG. 1 illustrates a data processing system which practices the methods of this disclosure and which uses the computer program product of this disclosure
- FIG. 2 is a timeline graph illustrating the look- back and look-ahead characteristics
- FIG. 3 is a flowchart illustrating typical steps of the methods of the present disclosure.
- FIG. 1 illustrates a data processing system, generally designated 100.
- Data processing system 100 includes a data processor 102 that may be a general purpose computer, a personal computer (PC) , or the like.
- Data processor 102 preferably includes a display 104.
- Data processor 102 also preferably has a CD unit 106 for reading a computer program that is in computer readable form, such as on a CD 108.
- the computer program could be on other computer readable media, downloaded from an internet site, or the like.
- Data processor 102 is also connected to a database 110, which it may search.
- the connection may be any of a variety of types including, but not limited to, hard-wired, telephone modem, intranet, internet, satellite communication link, radio frequency (RF) link, or the like.
- RF radio frequency
- a horizontal line 202 provides a relative timeframe.
- a midpoint “E” 204 is the time of a block trade execution with a price E.
- At the left of timeline 202 at point "A" 206 is the beginning of the look- back period to accumulate shares equal to the number of shares traded in the block trade.
- a look-back strike price is the execution price at time "A” .
- a look-back volume weighted average price (VWAP) price is the volume weighted average price between A and E, excluding execution price "E” .
- VWAP volume weighted average price
- a look-back period is defined as the period necessary to accumulate the number of shares traded in a the block trade of interest, starting at the beginning of the look-back period which is point A in FIG. 2.
- the look-back strike price is defined as the execution price at the beginning of the look-back period.
- the look-back volume weighted average price VWAP is defined as the volume weighted average price between the look-back strike price and the execution price, excluding the execution price.
- the look-ahead period is defined as the period necessary to accumulate the number of shares traded in a block trade of interest, starting at the time of execution, which is point E in FIG. 2, and working forward on a tick record.
- the look-ahead VWAP price is defined as the volume weighted average price between the execution price and the price at the end of the look-ahead period, excluding the execution price.
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Abstract
A data processing system, a computer program product and methods for determining the quality of block trade executions of shares on an exchange for a given block trade at a given time and at a given price on a data processing system. The steps include determining an average of the absolute value of a price difference between a look-back volume weighted average price and a look-back strike price, determining an average of the absolute value of a price difference between a look-ahead volume weighted average price and an execution price and computing a price differential between the average of the absolute value of a price difference between a look-back volume weighted average price and a look-back strike price and the average of the absolute value of a price difference between a look- ahead volume weighted average price and an execution price.
Description
DETERMINING THE QUALITY OF TRADES ON AN EXCHANGE
CROSS-REFSRENCE TO RELATED APPLICATION
[0001] This patent application is a non-provisional patent application of provisional patent application Serial No. 60/996,911, filed on December 11, 2007, the rights of priority of which are hereby claimed for this patent application.
FIELD
[0002] The present disclosure relates generally to methods for trading on an exchange, and, more particularly, the present disclosure relates to a data processing system, methods and a computer program product for determining the quality of block trade executions on an exchange.
BACKGROUND
[0003] The present trading environment is characterized by decreased liquidity and increased fragmentation of the market. Most high-volume trades, such as trades consisting of 10,000 or more shares of a given stock, are executed via parceling strategies. That is, a high-volume order is filled by multiple, smaller volume trades on an exchange. Most transaction cost analysis metrics thus compute transaction costs accordingly.
[0004] However, these cost attribution techniques are not applicable to unparcelled block trades. Post -execution quality metrics designed to address the unique issues of block trading techniques as well as pre-execution techniques for forecasting potential trading costs of a block trade are a needed but missing tool in the transaction cost analysis industry.
[0005] Block trades by their very nature are not accurately characterized by the game metrics used by order parceling strategies.
[0006] A general object is to therefore provide to improved data processing systems, methods and computer program products for determining the quality of block trade executions on an exchange.
SUMMARY
[0007] This disclosure includes data processing systems, methods and computer program products for determining the quality of block trade executions on an exchange. In accordance with an embodiment , a method for determining the quality of block trade executions of shares on an exchange for a given block trade at a given time and at a given price on a data processing system, includes the steps of
determining an average of the absolute value of a price difference between a look-back volume weighted average price and a look-back strike price, determining an average of the absolute value of a price difference between a look- ahead volume weighted average price and an execution price, and computing a price differential between the average of the absolute value of a price difference between a look- back volume weighted average price and a look-back strike price and the average of the absolute value of a price difference between a look-ahead volume weighted average price and an execution price,
[00083 Preferably, in performing this method, the look- back period is the period necessary to accumulate a number of shares equal to the number of shares in traded in the block trade starting at the time of the execution and working backwards on a tick record, the look-back strike price is the execution price at the beginning of the look- back period, the look-back volume weighted average price is the volume weighted average price between the look-back strike price and the execution price, excluding the execution price, the look-ahead period is the period necessary to accumulate shares equal to the number of shares traded in the block trade starting at the time of execution and working forward on the tick record, and the look-ahead volume weighted average price is the volume weighted average price between the execution price and the price of the stock at the end of the look-ahead period, excluding the execution price.
[0009] Also preferably, only market executions which are on a flat tick or on a down tick are considered in the
look-back period and in the look-ahead period if the block trade execution is a buy-side execution, or only market executions which are on a flat tick or on an up tick are considered in the look-back period and in the look-ahead period if the block trade execution is a sell-side execution.
tOOlO] In another embodiment, a data processing system determines the quality of block trade executions of shares on an exchange for a given block trade at a given time and at a given price on a data processing system. The data processing system includes a database for storing information relating to previous execution prices, means for determining an average of the absolute value of a price difference between a look-back volume weighted average price and a look-back strike price, means for determining an average of the absolute value of a price difference between a look-ahead volume weighted average price and an execution price, and means for computing a price differential between the average of the absolute value of a price difference between a look-back volume weighted average price and a look-back strike price and the average of the absolute value of a price difference between a look- ahead volume weighted average price and an execution price. The data processing system may use similar definitions and constraints as set forth above for the methods.
[0011] A further embodiment includes a computer program product for determining transaction costs associated with a stock trade. The computer program product includes a computer readable medium which has instructions stored on the computer readable medium to cause a data processor to
determine an average of the absolute value of a price difference between a look-back volume weighted average price and a look-back strike price, determine an average of the absolute value of a price difference between a look- ahead volume weighted average price and an execution price; and compute a price differential between the average of the absolute value of a price difference between a look-back volume weighted average price and a look-back strike price and the average of the absolute value of a price difference between a look-ahead volume weighted average price and an execution price. The computer program product may also use similar definitions and constraints as set forth above for the methods .
BRIEF DESCRIPTION QF THE DRAWINGS
[0012] The invention, together with its objects and the advantages thereof, may best be understood by reference to the following description taken in conjunction with the accompanying drawings, in which like reference numerals identify like elements in the figures, and in which: [0013] FIG. 1 illustrates a data processing system which practices the methods of this disclosure and which uses the computer program product of this disclosure; [0014] FIG. 2 is a timeline graph illustrating the look- back and look-ahead characteristics; and
[0015] FIG. 3 is a flowchart illustrating typical steps of the methods of the present disclosure.
DESCRIPTION OF THE PREFERRED EMBODIMENTS
[0016] It will be understood that the present invention may be embodied in other specific forms without departing from the spirit thereof. The present examples and
embodiments, therefore, are to be considered in all respects as illustrative and not restrictive, and the invention is not to be limited to the details presented herein.
[0017] FIG. 1 illustrates a data processing system, generally designated 100. Data processing system 100 includes a data processor 102 that may be a general purpose computer, a personal computer (PC) , or the like. Data processor 102 preferably includes a display 104. Data processor 102 also preferably has a CD unit 106 for reading a computer program that is in computer readable form, such as on a CD 108. Of course, the computer program could be on other computer readable media, downloaded from an internet site, or the like. Data processor 102 is also connected to a database 110, which it may search. The connection may be any of a variety of types including, but not limited to, hard-wired, telephone modem, intranet, internet, satellite communication link, radio frequency (RF) link, or the like.
[0018] The following discussion of a timeline, generally designated 200 in FIG. 2 may better assist in understanding the present embodiments. A horizontal line 202 provides a relative timeframe. A midpoint "E" 204 is the time of a block trade execution with a price E. At the left of timeline 202 at point "A" 206 is the beginning of the look- back period to accumulate shares equal to the number of shares traded in the block trade. A look-back strike price is the execution price at time "A" . A look-back volume weighted average price (VWAP) price is the volume weighted average price between A and E, excluding execution price "E" .
[0019] At the right of timeline 202 at point "B" 208 is the end of a look-ahead period starting from E to accumulate shares equal to the shares traded in the block trade. A look-ahead volume weighted average price (VWAP) price is the VWAP between E and B, excluding execution price λΕ" .
[0020] A flowchart in FIG. 3, generally designated 300, illustrates typical steps of the methods disclosed herein. Beginning after Start bubble 301 in block 302, a look-back period is defined as the period necessary to accumulate the number of shares traded in a the block trade of interest, starting at the beginning of the look-back period which is point A in FIG. 2. In block 303, the look-back strike price is defined as the execution price at the beginning of the look-back period. In block 304, the look-back volume weighted average price (VWAP) is defined as the volume weighted average price between the look-back strike price and the execution price, excluding the execution price. In block 305, the look-ahead period is defined as the period necessary to accumulate the number of shares traded in a block trade of interest, starting at the time of execution, which is point E in FIG. 2, and working forward on a tick record. In block 306, the look-ahead VWAP price is defined as the volume weighted average price between the execution price and the price at the end of the look-ahead period, excluding the execution price.
[0021] At block 307, if the execution is a buy~side execution, only market executions which are a flat tick or a down tick in the look-back period and in the look-ahead period are considered. At block 308, if the execution is a sell-side execution, only market executions which are a flat tick or an up tick in the look-back period and in the
look-ahead period are considered. The VWAP prices in these analysis periods are calculated accordingly, [0022] At block 309, the averages of the absolute values of the price difference between the look-back VWAP price and the look-back strike price is determined. At block 310, the averages of the absolute values of the price difference between the look-ahead VWAP price and the execution price is determined. At block 311, the difference between the averages of the determined absolute values in blocks 310 and 311 is computed. The methods then end at block 312, or may be reinitiated at start bubble 301.
[0023] Accordingly, the data processing systems, methods and computer program products of this disclosure deal with the specifics uncovering the value of block transactions and provide greater liquidity for block transactions. [0024] While particular embodiments have been shown and described, it will be obvious to those skilled in the art that changes and modifications may be made therein without departing from the invention in its broader aspects .
Claims
1. A method for determining the quality of block trade executions of shares on an exchange for a given block trade at a given time and at a given price on a data processing system, said method comprising the steps of:
determining an average of the absolute value of a price difference between a look-back volume weighted average price and a look-back strike price,-
determining an average of the absolute value of a price difference between a look-ahead volume weighted average price and an execution price; and
computing a price differential between the average of the absolute value of a price difference between a look- back volume weighted average price and a look-back strike price and the average of the absolute value of a price difference between a look-ahead volume weighted average price and an execution price.
2. The method for determining the quality of block trade executions in accordance with Claim 1 wherein the look-back period is the period necessary to accumulate a number of shares equal to the number of shares in traded in the block trade starting at the time of the execution and working backwards on a tick record.
3. The method for determining the quality of block trade executions in accordance with Claim 1 wherein the look-back strike price is the execution price at the beginning of the look-back period.
4. The method for determining the quality of block trade executions in accordance with Claim 1 wherein the look-back volume weighted average price is the volume weighted average price between the look-back strike price and the execution price, excluding the execution price.
5. The method for determining the quality of block trade executions in accordance with Claim 1 wherein the look-ahead period is the period necessary to accumulate shares equal to the number of shares traded in the block trade starting at the time of execution and working forward on the tick record.
6. The method for determining the quality of block trade executions in accordance with Claim 1 wherein the look-ahead volume weighted average price is the volume weighted average price between the execution price and the price of the stock at the end of the look-ahead period, excluding the execution price.
7. The method for determining the quality of block trade executions in accordance with Claim 1 wherein only market executions which are on a flat tick or on a down tick are considered in the look-back period and in the look-ahead period if the block trade execution Is a buy- side execution.
8. The method for determining the quality of block trade executions in accordance with Claim 1 wherein only market executions which are on a flat tick or on an up tick are considered in the look-back period and in the look- ahead period if the block trade execution is a sell -side execution.
9. A data processing system for determining the quality of block trade executions of shares on an exchange for a given block trade at a given time and at a given price on a data processing system, said data processing system comprising:
a database for storing information relating to previous execution prices;
means for determining an average of the absolute value of a price difference between a look-back volume weighted average price and a look-back strike price;
means for determining an average of the absolute value of a price difference between a look-ahead volume weighted average price and an execution price; and
means for computing a price differential between the average of the absolute value of a price difference between a look-back volume weighted average price and a look-back strike price and the average of the absolute value of a price difference between a look-ahead volume weighted average price and an execution price.
10. The data processing system method for determining the quality of block trade executions in accordance with Claim 9 wherein the look-back period is the period necessary to accumulate a number of shares equal to the number of shares in traded in the block trade starting at the time of the execution and working backwards on a tick record.
11. The data processing system for determining the quality of block trade executions in accordance with Claim 9 wherein the look-back strike price is the execution price at the beginning of the look-back period.
12. The data processing system for determining the quality of block trade executions in accordance with Claim 9 wherein the look-back volume weighted average price is the volume weighted average price between the look-back strike price and the execution price, excluding the execution price.
13. The data processing system for determining the quality of block trade executions in accordance with Claim 9 wherein the look-ahead period is the period necessary to accumulate shares equal to the number of shares traded in the block trade starting at the time of execution and working forward on the tick record.
14. The data processing system for determining the quality of block trade executions in accordance with Claim
9 wherein the look-ahead volume weighted average price is the volume weighted average price between the execution price and the price of the stock at the end of the look- ahead period, excluding the execution price.
15. The data processing system for determining the quality of block trade executions in accordance with Claim
10 wherein only market executions which are on a flat tick or on a down tick are considered in the look-back period and in the look-ahead period if the block trade execution is a buy-side execution.
16. The data processing system for determining the quality of block trade executions in accordance with Claim 9 wherein only market executions which are on a flat tick or on an up tick are considered in the look-back period and in the look-ahead period if the block trade execution is a sell-side execution.
17. A computer program product for determining transaction costs associated with a stock trade, the computer program product comprising:
a computer readable medium; and
instructions stored on the computer readable medium to cause a data processor to:
determine an average of the absolute value of a price difference between a look-back volume weighted average price and a look-back strike price;
determine an average of the absolute value of a price difference between a look-ahead volume weighted average price and an execution price,- and
compute a price differential between the average of the absolute value of a price difference between a look- back volume weighted average price and a look-back strike price and the average of the absolute value of a price difference between a look-ahead volume weighted average price and an execution price.
18. The computer program product for determining the transaction costs associated with a stock trade in accordance with claim 17, wherein the look-back period is the period necessary to accumulate a number of shares equal to the number of shares in traded in the block trade starting at the time of the execution and working backwards on a tick record.
19. The computer program product for determining the transaction costs associated with a stock trade in accordance with claim 17, wherein the look-back strike price is the execution price at the beginning of the look- back period.
20. The computer program product for determining the transaction costs associated with a stock trade in accordance with claim 17, wherein the look-back volume weighted average price is the volume weighted average price between the look-back strike price and the execution price, excluding the execution price.
21. The computer program product for determining the transaction costs associated with a stock trade in accordance with claim 17, wherein the look-ahead period is the period necessary to accumulate shares equal to the number of shares traded in the block trade starting at the time of execution and working forward on the tick record.
22. The computer program product for determining the transaction costs associated with a stock trade in accordance with claim 17, wherein the look-ahead volume weighted average price is the volume weighted average price between the execution price and the price of the stock at the end of the look-ahead period, excluding the execution price .
23. The computer program product for determining the transaction costs associated with a stock trade in accordance with claim 17, wherein only market executions which are on a flat tick or on a down tick are considered in the look-back period and in the look-ahead period if the block trade execution is a buy-side execution.
24. The computer program product for determining the transaction costs associated with a stock trade in accordance with claim 17, wherein only market executions which are on a flat tick or on an up tick are considered in the look-back period and in the look-ahead period if the block trade execution is a sell-side execution
Applications Claiming Priority (2)
| Application Number | Priority Date | Filing Date | Title |
|---|---|---|---|
| US99691107P | 2007-12-11 | 2007-12-11 | |
| US60/996,911 | 2007-12-11 |
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| Publication Number | Publication Date |
|---|---|
| WO2009076552A1 true WO2009076552A1 (en) | 2009-06-18 |
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| Application Number | Title | Priority Date | Filing Date |
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| PCT/US2008/086474 WO2009076552A1 (en) | 2007-12-11 | 2008-12-11 | Determining the quality of trades on an exchange |
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| WO (1) | WO2009076552A1 (en) |
Citations (3)
| Publication number | Priority date | Publication date | Assignee | Title |
|---|---|---|---|---|
| US20060253367A1 (en) * | 2005-05-04 | 2006-11-09 | Chicago Board Options Exchange | Method of creating and trading derivative investment products based on a volume weighted average price of an underlying asset |
| US20070219897A1 (en) * | 2006-03-14 | 2007-09-20 | Susquehanna International Group, Llp | System and method for evaluating trade execution |
| US20070276748A1 (en) * | 2006-04-28 | 2007-11-29 | Andrew Shapiro | Display of market impact in algorithmic trading engine |
-
2008
- 2008-12-11 WO PCT/US2008/086474 patent/WO2009076552A1/en active Application Filing
Patent Citations (3)
| Publication number | Priority date | Publication date | Assignee | Title |
|---|---|---|---|---|
| US20060253367A1 (en) * | 2005-05-04 | 2006-11-09 | Chicago Board Options Exchange | Method of creating and trading derivative investment products based on a volume weighted average price of an underlying asset |
| US20070219897A1 (en) * | 2006-03-14 | 2007-09-20 | Susquehanna International Group, Llp | System and method for evaluating trade execution |
| US20070276748A1 (en) * | 2006-04-28 | 2007-11-29 | Andrew Shapiro | Display of market impact in algorithmic trading engine |
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