SYSTEM, METHOD, AND COMPUTER PROGRAM PRODUCT FOR EXECUTING A BUY OR SELL ORDER
An auto-trading strategy for executing an order to buy or sell a specified quantity of a certain item. The strategy utilizes urgency scores rather than time bins. In one embodiment, an urgency score is determined at a certain point in time. The urgency score is a function of a trading target associated with the point in time and the actual number of items that have been traded as of the certain point in time.
1 . A system for electronically trading securities, comprising:
a server system configured to submit an initial set of electronic orders to trade Y shares of the a security, wherein Y is less than or equal to X; to determine the total number out of the X shares that have been traded by a selected point in time that is after the initial set of orders was submitted; to determine an urgency score, wherein the urgency score is based, at least in part, on said total number of shares traded by said selected point in time; and to generate a new electronic order specifying a quantity and a target price or modify an existing electronic order, wherein the target price or modification is determined based, at least in part, on the urgency score.
2 . The system of claim 1 , further comprising a set of trading targets, wherein the urgency score is a function of, at the least, one of the trading targets within said set and said total number of shares traded.
3 . The system of claim 2 , wherein said one of the trading targets within said set specifies a trading target value.
4 . The system of claim 3 , wherein said server system is further configured to determine the difference between said total number of shares traded and said trading target value.
5 . The system of claim 4 , wherein said urgency score is a function of, at the least, said difference between said total number of shares traded and said trading target value.
6 . The system of claim 3 , wherein the target value is associated with a point in time.
7 . The system of claim 1 , wherein the target price is determined using a limit order pricing algorithm, wherein at least one of the inputs to the limit order pricing algorithm is a function of, at the least, the urgency score.
8 . The system of claim 1 , wherein the target price is the current market price so that the new order is a market order.