Coordination of algorithms in algorithmic trading engine with fast switching and safe mode
A graphical user interface is used along with an automated algorithm selection function to enable market participants to initiate automated, multi-algorithm trading strategies through a single drag and drop motion. A symbol representing a security can be dragged and dropped onto an icon representing a tactical or strategic algorithm. Other features of the graphical user interface show information such as the progress of the algorithms. Fast switching and safe mode are used to minimize a cost associated with algorithm switching.
1. A computer system comprising one or more processors programmed to:
(a) receive data describing a trading order for a security;
(b) assign execution of at least part of said trading order to a first trading algorithm;
(c) transmit a request to cancel execution of a part of said trading order assigned to but not yet executed by said first trading algorithm; and
(d) prior to receiving a cancel confirmation for said part of said trading order assigned to but not yet executed by said first trading algorithm, commence execution by a second trading algorithm of at least a portion of said part of said trading order assigned to but not yet executed by said first trading algorithm.
2. A computer system as in claim 1 , wherein size of said portion of said part of said trading order assigned to, but not yet executed by, said first trading algorithm is determined based on number of available shares and number of shares expected to be successfully canceled from being executed by said first trading algorithm.
3. A computer system as in claim 2 , wherein number of available shares is based on shares not yet routed out to said first trading algorithm, and number of shares expected to be successfully canceled is based on 80% of shares routed out to but not yet executed by said first trading algorithm.
4. A computer system as in claim 1 , wherein said first trading algorithm has a slower expected rate of execution than said second trading algorithm.
5. A computer system as in claim 1 , wherein, when one or more shares allocated to said second trading algorithm are filled by said first trading algorithm, said processors are further programmed to allocate said one or more shares to an error account.
6. A computer system as in claim 5 , wherein shares allocated to said error account are traded in an order on the opposite side of said trading order executed by said first trading algorithm.
7. A computer system comprising one or more processors programmed to:
(a) receive data describing a trading order for a security;
(b) assign execution of at least part of said trading order to a first trading algorithm;
(c) receive data regarding current market prices for said security;
(d) for each current market price, compare said current market price to a threshold; and
(e) when one of said current prices fails to satisfy said threshold, switch to a second trading algorithm.
8. A computer system as in claim 7 , wherein said threshold is based on a difference between current price and fair price.
9. A computer system as in claim 8 , wherein said threshold is one standard deviation from fair price.
10. A computer system as in claim 8 , wherein said fair price is calculated based on quantity of shares, index drift amount in basis points, and a start price.
11. A computer system as in claim 10 , wherein said fair price is calculated based on a formula functionally equivalent to:
S=S 0 e g(X)+r M , where S is fair price, S 0 is NBBO midpoint at arrival,
g
(
X
)
=
a
(
σ
10000
)
b
X
,
where X is current number of shares filled for the order, including block fills, divided by the security's average daily volume; a and b are system configurable global parameters, and r M =r M =10000 ln(S SPY /S 0 SPY ).