Methods and systems related to securities trading
One exemplary aspect comprises a method comprising: (a) receiving data describing an executed trading order in a market traded security and related trade execution data; (b) calculating components of execution costs associated with execution of the order; and (c) transmitting data sufficient to describe the components of execution costs. Other aspects comprise calculations of (1) cost effect of trade decision factors associated with execution of an order; (2) a decomposition of execution of an executed limit order into components related to algorithm performance and components related to trader-input parameters of the order; (3) components of implementation shortfall associated with execution of an order; (4) components of profit/loss associated with execution of an order; and (5) components of execution outcome associated with execution of an order. Other aspects and embodiments comprise related computer systems and software, as will be understood by those skilled in the art after reviewing the present description.
1. A method comprising:
(a) receiving electronic data describing an executed trading order in a market traded security and related trade execution data;
(b) calculating, by an automated programmed computer, one or more components of execution costs associated with execution of said executed trading order, said one or more components comprising at least one of alpha loss and alpha capture; and
(c) transmitting data sufficient to describe said one or more components of execution costs associated with execution of said executed trading order;
wherein said computer comprises one or more processors.
2. A method as in claim 1 , wherein said data sufficient to describe said one or more components of execution costs is received by a user terminal and displayed via a graphical user interface.
3. A method as in claim 1 , wherein said graphical user interface displays said data sufficient to describe said one or more components of execution costs in a format that shows values of one or more of said components.
4. A method as in claim 1 , wherein said graphical user interface displays said data sufficient to describe said one or more components of execution costs in a format that shows relative values of two or more of said components.
5. A method as in claim 1 , wherein said one or more components of execution costs associated with execution of said executed trading order comprise market impact.
6. A method as in claim 1 , wherein said one or more components of execution costs associated with execution of said executed trading order comprise adverse selection.
7. A method as in claim 1 , wherein said one or more components of execution costs associated with execution of said executed trading order comprise opportunistic savings.
8. A method as in claim 1 , wherein said one or more components of execution costs associated with execution of said executed trading order comprise speed impact.
9. A method as in claim 1 , wherein said one or more components of execution costs associated with execution of said executed trading order comprise limit savings.
10. A method as in claim 1 , wherein said one or more components of execution costs associated with execution of said executed trading order comprise opportunity cost.
11. A method as in claim 1 , wherein said one or more components of execution costs associated with execution of said executed trading order comprise spread.
12. A method as in claim 1 , wherein said one or more components of execution costs associated with execution of said executed trading order comprise profit/loss.
13. A method comprising:
(a) receiving electronic data describing an executed trading order in a market traded security and related trade execution data;
(b) calculating, by an automated programmed computer, cost effect of one or more trade decision factors associated with execution of said executed trading order, wherein said one or more trade decision factors comprise at least one of choice of algorithm and choice of broker; and
(c) transmitting data sufficient to describe said cost effect of one or more trade decision factors associated with execution of said executed trading order;
wherein said computer comprises one or more processors.
14. A method as in claim 13 , wherein said one or more trade decision factors associated with execution of said executed trading order comprise limit price.
15. A method as in claim 13 , wherein said one or more trade decision factors associated with execution of said executed trading order comprise level of aggression.
16. A method as in claim 13 , wherein said one or more trade decision factors associated with execution of said executed trading order comprise participation rate.
17. A method as in claim 13 , wherein said one or more trade decision factors associated with execution of said executed trading order comprise speed of execution.
18. A method as in claim 13 , wherein said one or more trade decision factors associated with execution of said executed trading order comprise choice of manual versus automated execution.
19. A method as in claim 13 , wherein said one or more trade decision factors associated with execution of said executed trading order comprise choice of trading strategy.
20. A method comprising:
(a) receiving electronic data describing an executed order in a market traded security and related trade execution data;
(b) calculating, by an automated programmed computer, a decomposition of execution of said executed limit order into at least a first group of components and a second group of components, said first group of components being related to algorithm performance and said second group of components being related to trader-input parameters for said executed order, wherein said trader-input parameters comprise at least one of level of aggression parameters and limit order parameters; and
(c) transmitting data sufficient to describe said first group of components and said second group of components;
wherein said computer comprises one or more processors.
21. A method as in claim 20 , wherein said trader-input parameters comprise trading speed.
22. A method as in claim 20 , wherein said trader-input parameters comprise participation rate.
23. A method as in claim 20 , wherein said data sufficient to describe said first group of components and said second group of components is received by a user terminal and displayed via a graphical user interface.
24. A method as in claim 23 , wherein said graphical user interface displays said data describing said first group of components and said second group of components in a format that shows relative values of two or more components in said first group of components and said second group of components.
25. A method as in claim 24 , wherein said graphical user interface displays relative values of choices of participation rate and limit price.
26. A method as in claim 24 , wherein said graphical user interface displays relative values of selected speed and benchmark speed level.
27. A method as in claim 24 , wherein said graphical user interface displays relative values of market impact and alpha capture.
28. A method as in claim 24 , wherein said graphical user interface displays relative values of limit price savings and opportunity costs.
29. A method comprising:
(a) receiving electronic data describing an executed trading order in a market traded security and related trade execution data;
(b) calculating, by an automated programmed computer, one or more components of implementation shortfall associated with execution of said executed trading order, wherein said one or more components of implementation shortfall comprise speed of execution and participation rates; and
(c) transmitting data sufficient to describe said one or more components of implementation shortfall associated with execution of said executed trading order;
wherein said computer comprises one or more processors.
30. A method comprising:
(a) receiving electronic data describing an executed trading order in a market traded security and related trade execution data;
(b) calculating, by an automated programmed computer, one or more components of profit/loss associated with execution of said executed trading order, wherein said one or more components of profit/loss comprise speed impact and market impact; and
(c) transmitting data sufficient to describe said one or more components of profit/loss associated with execution of said executed trading order;
wherein said computer comprises one or more processors.
31. A method comprising:
(a) receiving electronic data describing an executed trading order in a market traded security and related trade execution data;
(b) calculating, by an automated programmed computer, one or more components of execution outcome associated with execution of said executed trading order, wherein said one or more components of execution outcome comprise adverse selection and opportunistic savings; and
(c) transmitting data sufficient to describe said one or more components of execution outcome associated with execution of said executed trading order;
wherein said computer comprises one or more processors.