1. A method for estimating transaction costs of a security trade execution according to a trading strategy selected by a user, comprising the steps of: providing a server connected to a communication network, said server being programmed with a specific strategy transaction cost optimization algorithm; receiving at said server over said network data defining parameters of a proposed trade execution from a user, and data specifying a user-selected trading strategy; and estimating the transaction costs of the received proposed trade execution based on the user-selected trading strategy and market data, and recommending actions determined by said specific strategy transaction cost optimization algorithm that minimize said transaction costs under said user-selected trading strategy, whereby a user may minimize transaction costs by taking said actions in executing said trade; wherein, said user-selected trading strategy may be selected from among a plurality of predefined trading styles, or may be specifically defined by said user.