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Automated system for routing orders for financial instruments based upon undisclosed liquidity

  • US 20040143538A1
  • Filed: 01/21/2003
  • Published: 07/22/2004
  • Est. Priority Date: 01/21/2003
  • Status: Active Grant
First Claim
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1. A computerized method for placing orders for financial instruments with an exchange or alternative trading system, comprising:

  • (a) receiving updated order book information from each of a plurality of trade execution entities, the updated order book information including, for each of a plurality of financial instruments, a current bid price with a corresponding disclosed liquidity quantity and a current offer price with a corresponding disclosed liquidity quantity;

    (b) receiving, from a first user, an order for a first financial instrument of the plurality of financial instruments, the order including a first price per unit component, and a first unit quantity, the first unit quantity including a disclosed liquidity quantity and an undisclosed liquidity quantity;

    (c) sending the order, including the disclosed liquidity quantity and the undisclosed liquidity quantity, to a first one of the plurality of trade execution entities for execution;

    (d) receiving, from a second user, a reciprocal order for the first financial instrument that does not require that the trade execution entity be the first one of the trade execution entities, the reciprocal order including a second price per unit component, and a second unit quantity, the first and second price per unit components having overlapping values;

    (e) as a function of (1) the price per unit value and the disclosed liquidity quantity for the first financial instrument in the updated order book information, and (2) the first price per unit component and the first undisclosed liquidity quantity, sending the reciprocal order to one of the plurality of trade execution entities.

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