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Computer-implemented systems and methods for determining liquidity cycle for tradable financial products and for determining flow-weighted average pricing for same
Computer-implemented systems and methods for determining liquidity cycle for tradable financial products and for determining flow-weighted average pricing for same
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机译:用于确定可交易金融产品的流动性周期并确定其流动加权平均价格的计算机实现的系统和方法
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摘要
Computer-implemented systems and methods for determining a “liquidity cycle” for a tradable financial product. The liquidity cycle has a liquidity cycle time period that is made up of multiple discrete time intervals, and the liquidity cycle indicates an expected distribution of order flow at each discrete time interval over the liquidity cycle time period. The liquidity cycle is determined based on tick data for the financial product. The tick data can comprise time-stamped indicative price quotes for the financial product and/or time-stamped price data for completed transactions involving the financial product. The liquidity cycle can be used to compute a Flow-Weighted Average Price (FWAP) for the financial product over a specified FWAP trade time window. An investor may agree with the trader to buy or sell (depending on the side of the transaction) the financial product at the FWAP.
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