Systems and methods for trading a trade list in financial markets

1. An electronic trading system for trading a list of securities, comprising:

an algorithmic trading facility electronically coupled, via an electronic data network, (i) with at least one electronic trading destination including at least one alternative trading system (ATS), (ii) with a plurality of trading clients via the electronic data network, and (iii) with a real-time market feed via the electronic data network, said algorithmic trading facility comprising:

means for receiving an electronic trade request to trade a list of securities from a trading client from the plurality of trading clients, said request including user defined trading constraints selected via a graphical user interface displayed on the trading client, and said list of securities including at least two different securities;

means for receiving real-time market data from the real-time market feed via the electronic data network;

means for generating a plurality of electronic trade orders and for submitting said electronic trade orders, via the electronic data network, to said at least one ATS based on trading data related to said destinations including said real-time market data, said trade list, and said trading constraints;

means for monitoring, in real-time via the electronic data network, said at least one ATS to identify a set of executed trades corresponding to said plurality of trade orders;

means for calculating a trade imbalance based on the set of identified executed trades and said trade list;

means for determining whether said trade imbalance exceeds said trading constraints; and

means for reallocating one or more of said submitted electronic trade orders from said at least one ATS to at least another ATS of said plurality of trade destination, until said trade imbalance does not exceed said trading constraints based on whether said trade imbalance exceeds said trading constraints.

2. The system as recited in claim 1 , wherein said trading constraints include at least one of a BUY minus SELL tolerance, a SELL minus BUY tolerance, and a SELL-to-BUY ratio.

3. The system as recited in claim 1 , said system further include historical trading data facilities for historical trading data from each of said ATSs, and said trading data includes said historical trading data.

4. The system as recited in claim 1 , wherein said means for calculating:

calculates a product of said SELL-to-BUY Ratio and a total value of trades from said identified executed trades to BUY securities,

determines a total value of trades from said identified executed trades to SELL securities, and

subtracts the product from the SELL value.

5. The system as recited in claim 1 , wherein said means for calculating calculates an expected trade imbalance based on historical market data.

6. The system as recited in claim 5 , wherein said means for calculating:

calculates a product of said SELL-to-BUY Ratio and a total value of expected orders to BUY securities from historical market data;

determines a total value of expected orders to SELL securities from historical market data; and

subtracts the product from the total expected SELL value.

7. The system as recited in claim 6 , wherein the total expected BUY value is determined by:

means for determining a probability that an order to BUY will be present for the corresponding security, and

means for multiplying the probability by the average trade size of said corresponding security.

8. The system as recited in claim 6 , wherein the total expected SELL side value is determined by:

means for determining a probability that an order to SELL will be present for the corresponding security, and

means for multiplying the probability by the average trade size of said corresponding security.

9. The system as recited in claim 2 , wherein the algorithmic trading facility is configured further to adjust the SELL minus BUY tolerance based upon identified trade executions.

10. The system as recited in claim 2 , wherein the algorithmic trading facility is configured further to adjust the SELL minus BUY tolerance to a new SELL Minus BUY Tolerance=

Client SELL Minus BUY Tolerance−(SELL Executions−BUY Executions*SELL-to-BUY Ratio).

11. The system as recited in claim 2 , wherein the algorithmic trading facility is configured further to adjust BUY minus SELL tolerance to equal: New BUY Minus SELL Tolerance=Client BUY Minus SELL Tolerance+(SELL Executions−BUY Executions *SELL-to-BUY Ratio).

12. The system as recited in claim 1 , wherein said trading data includes weighted real-time data and historical data.

13. The system as recited in claim 1 , wherein said means for reallocating reallocates unexecuted trade orders from one ATS to another ATS based on the identified executed trades.

14. The system as recited in claim 1 , wherein said means for reallocating:

cancels at least one of said submitted orders,

corrects at least one of said submitted orders, or

uses reserved shares.

15. The system as recited in claim 1 , wherein means for calculating a trade imbalance:

identifies unexecuted trades by finding the difference of said trade list and said executed trades; and

identifies a trade imbalance based on said unexecuted trades and said trade list.