Systems, methods, and media for placing orders to trade securities
Systems, methods, and media for placing orders to trade a security are provided. In some embodiments, for example, methods comprise: receiving an order to trade a security; determining an execution rate for the order, determining a darkness threshold for the order; selecting one or more routes for one or more working orders of the order based on at least the darkness threshold; scoring the one or more routes; allocating size to the one or more working orders based on the scoring and the execution rate; creating the one or more working orders; and sending the one or more working orders to the one or more routes for execution.
1 . A method for placing orders to trade a security, comprising:
receiving an order to trade a security;
determining an execution rate for the order;
determining a darkness threshold for the order;
selecting one or more routes for one or more working orders of the order based on at least the darkness threshold;
scoring the one or more routes;
allocating size to the one or more working orders based on the scoring and the execution rate;
creating the one or more working orders; and
sending the one or more working orders to the one or more routes for execution.
2 . The method of claim 1 , wherein the execution rate is based on an estimate of the market impact of the order based on historical data.
3 . The method of claim 1 , wherein the execution rate is based on an estimate of the real-time market impact of the order.
4 . The method of claim 1 , further comprising determining an order mode for the one or more working orders based on at least two of an actual percentage of volume rate, a target percentage of volume rate, a percentage of volume minimum rate, and a percentage of volume maximum rate.
5 . The method of claim 1 , wherein the darkness threshold is based on a calculation of a sensitivity of the order.
6 . The method of claim 5 , wherein the sensitivity is a price sensitivity.
7 . The method of claim 5 , wherein the sensitivity is a momentum sensitivity.
8 . The method of claim 5 , wherein the sensitivity is a risk sensitivity.
9 . The method of claim 5 , wherein the sensitivity is a tick sensitivity.
10 . The method of claim 5 , wherein the sensitivity is a spread sensitivity.
11 . The method of claim 1 , wherein selecting one or more routes comprises filtering a set of possible routes to obtain a subset of routes.
12 . The method of claim 11 , wherein the filtering includes applying a timer filter.
13 . The method of claim 11 , wherein the filtering includes applying a ticker filter.
14 . The method of claim 11 , wherein the filtering includes applying an open order filter.
15 . The method of claim 11 , wherein the filtering includes applying a minimum fill quantity filter.
16 . The method of claim 11 , wherein the filtering includes applying a post take mode filter.
17 . The method of claim 11 , wherein the filtering includes applying a flags filter.
18 . A system for placing orders to trade a security, comprising:
at least one processor that:
receives an order to trade a security;
determines an execution rate for the order;
determines a darkness threshold for the order;
selects one or more routes for one or more working orders of the order based on at least the darkness threshold;
scores the one or more routes;
allocates size to the one or more working orders based on the scoring and the execution rate;
creates the one or more working orders; and
sends the one or more working orders to the one or more routes for execution.
19 . The system of claim 18 , wherein the execution rate is based on an estimate of the market impact of the order based on historical data.
20 . The system of claim 18 , wherein the execution rate is based on an estimate of the real-time market impact of the order.
21 . The system of claim 18 , wherein the at least one processor also determines an order mode for the one or more working orders based on at least two of an actual percentage of volume rate, a target percentage of volume rate, a percentage of volume minimum rate, and a percentage of volume maximum rate.
22 . The system of claim 18 , wherein the darkness threshold is based on a calculation of a sensitivity of the order.
23 . The system of claim 22 , wherein the sensitivity is a price sensitivity.
24 . The system of claim 22 , wherein the sensitivity is a momentum sensitivity.
25 . The system of claim 22 , wherein the sensitivity is a risk sensitivity.
26 . The system of claim 22 , wherein the sensitivity is a tick sensitivity.
27 . The system of claim 22 , wherein the sensitivity is a spread sensitivity.
28 . The system of claim 18 , wherein selecting one or more routes comprises filtering a set of possible routes to obtain a subset of routes.
29 . The system of claim 28 , wherein the filtering includes applying a timer filter.
30 . The system of claim 28 , wherein the filtering includes applying a ticker filter.
31 . The system of claim 28 , wherein the filtering includes applying an open order filter.
32 . The system of claim 28 , wherein the filtering includes applying a minimum fill quantity filter.
33 . The system of claim 28 , wherein the filtering includes applying a post take mode filter.
34 . The system of claim 28 , wherein the filtering includes applying a flags filter.
35 . A computer-readable medium containing computer-executable instructions that, when executed by a processor, cause the processor to perform a method for placing orders to trade a security, the method comprising:
receiving an order to trade a security;
determining an execution rate for the order;
determining a darkness threshold for the order;
selecting one or more routes for one or more working orders of the order based on at least the darkness threshold;
scoring the one or more routes;
allocating size to the one or more working orders based on the scoring and the execution rate;
creating the one or more working orders; and
sending the one or more working orders to the one or more routes for execution.
36 . The medium of claim 35 , wherein the execution rate is based on an estimate of the market impact of the order based on historical data.
37 . The medium of claim 35 , wherein the execution rate is based on an estimate of the real-time market impact of the order.
38 . The medium of claim 35 , wherein the method further comprises determining an order mode for the one or more working orders based on at least two of an actual percentage of volume rate, a target percentage of volume rate, a percentage of volume minimum rate, and a percentage of volume maximum rate.
39 . The medium of claim 35 , wherein the darkness threshold is based on a calculation of a sensitivity of the order.
40 . The medium of claim 39 , wherein the sensitivity is a price sensitivity.
41 . The medium of claim 39 , wherein the sensitivity is a momentum sensitivity.
42 . The medium of claim 39 , wherein the sensitivity is a risk sensitivity.
43 . The medium of claim 39 , wherein the sensitivity is a tick sensitivity.
44 . The medium of claim 39 , wherein the sensitivity is a spread sensitivity.
45 . The medium of claim 35 , wherein selecting one or more routes comprises filtering a set of possible routes to obtain a subset of routes.
46 . The medium of claim 45 , wherein the filtering includes applying a timer filter.
47 . The medium of claim 45 , wherein the filtering includes applying a ticker filter.
48 . The medium of claim 45 , wherein the filtering includes applying an open order filter.
49 . The medium of claim 45 , wherein the filtering includes applying a minimum fill quantity filter.
50 . The medium of claim 45 , wherein the filtering includes applying a post take mode filter.
51 . The medium of claim 45 , wherein the filtering includes applying a flags filter.