System and method for setting and using a momentum liquidity replenishment price in a hybrid auction market
First Claim
Patent Images
1. A method for managing security trading sweeps comprising:
- determining the lowest trade price for a security within a predetermined period of time; and
determining a momentum liquidity replenishment price by adding the greater of a predetermined price or a predetermined percentage of the last trade price to the lowest trade price for the security for the security within the predetermined period of time.
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Accused Products
Abstract
The lowest trade price for a security within a predetermined period of time is determined, and a momentum liquidity replenishment price is determined by adding the greater of a predetermined price or a predetermined percentage of the last trade price to the lowest trade price for the security for the security within the predetermined period of time. In a similar fashion, another momentum liquidity replenishment price is determined from the highest trading price of the security within predetermined period of time.
79 Citations
45 Claims
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1. A method for managing security trading sweeps comprising:
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determining the lowest trade price for a security within a predetermined period of time; and
determining a momentum liquidity replenishment price by adding the greater of a predetermined price or a predetermined percentage of the last trade price to the lowest trade price for the security for the security within the predetermined period of time. - View Dependent Claims (2, 3, 4)
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5. A method for managing security trading sweeps comprising:
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determining the highest trade price for a security within a predetermined period of time; and
determining a momentum liquidity replenishment price by subtracting the greater of a predetermined price or a predetermined percentage of the last trade price from the highest trade price for the security for the security within the predetermined period of time. - View Dependent Claims (6, 7, 8)
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9. A method for executing a securities order comprising:
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determining a momentum liquidity replenishment price;
receiving a limit order to buy with a price that is equal to or greater than the momentum liquidity replenishment price;
determining a best offer price and size associated with the best offer price;
executing a portion of the limit order at the best offer price;
sweeping the limit order at the momentum liquidity replenishment price against orders on a limit order book; and
changing a quote from fast to slow. - View Dependent Claims (10, 11, 12, 13, 14, 15, 16)
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17. A method for executing a securities order comprising:
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determining a momentum liquidity replenishment price;
receiving a limit order to sell with a price that is equal to or less than the momentum liquidity replenishment price;
determining a best bid price and size associated with the best bid price;
executing a portion of the limit order at the best bid price;
sweeping the limit order at the momentum liquidity replenishment price against orders on a limit order book; and
changing a quote from fast to slow. - View Dependent Claims (18, 19, 20, 21, 22, 23, 24)
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25. A method for executing a securities order comprising:
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determining a momentum liquidity replenishment price;
receiving a limit order to buy with a price that is equal to or greater than the momentum liquidity replenishment price;
determining a best offer price and size associated with the best offer price;
executing a portion of the limit order at the best offer price;
sweeping the limit order against orders on a limit order book;
determining that no orders remain on the limit order book priced less than the momentum liquidity replenishment price; and
changing a quote from fast to slow. - View Dependent Claims (26, 27)
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28. A method for executing a securities order comprising:
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determining a momentum liquidity replenishment price;
receiving a limit order to sell with a price that is equal to or less than the momentum liquidity replenishment price;
determining a best bid price and size associated with the best bid price;
executing a portion of the limit order at the best bid price;
sweeping the limit order against orders on a limit order book;
determining that no orders remain on the limit order book priced greater than the momentum liquidity replenishment price; and
changing a quote from fast to slow. - View Dependent Claims (29, 30)
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31. A method for executing a securities order comprising:
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determining a momentum liquidity replenishment price;
receiving a market order to buy;
determining a best offer price and size associated with the best offer price;
executing a portion of the market order at the best offer price;
sweeping the market order against orders on a limit order book;
determining that no orders remain on the limit order book priced less than the momentum liquidity replenishment price; and
changing a quote from fast to slow. - View Dependent Claims (32, 33, 34, 35, 36)
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37. A method for executing a securities order comprising:
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determining a momentum liquidity replenishment price;
receiving a market order to sell;
determining a best bid price and size associated with the best bid price;
executing a portion of the market order at the best bid price;
sweeping the market order against orders on a limit order book;
determining that no orders remain on the limit order book priced greater than the momentum liquidity replenishment price; and
changing a quote from fast to slow. - View Dependent Claims (38, 39, 40, 41, 42)
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43. A system for managing security trading sweeps, comprising:
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means for determining the lowest trade price for a security within a predetermined period of time;
means for determining a momentum liquidity replenishment price by adding the greater of a predetermined price or a predetermined percentage of the last trade price to the lowest trade price for the security for the security within the predetermined period of time.
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44. A computer-readable medium having computer executable software code stored thereon, the code for managing security trading sweeps, the code comprising:
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code to determine the lowest trade price for a security within a predetermined period of time; and
code to determine a momentum liquidity replenishment price by adding the greater of a predetermined price or a predetermined percentage of the last trade price to the lowest trade price for the security for the security within the predetermined period of time.
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45. A programmed computer for managing security trading sweeps, comprising:
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a memory having at least one region for storing computer executable program code; and
a processor for executing the program code stored in the memory;
wherein the program code comprises;
code to determine the lowest trade price for a security within a predetermined period of time; and
code to determine a momentum liquidity replenishment price by adding the greater of a predetermined price or a predetermined percentage of the last trade price to the lowest trade price for the security for the security within the predetermined period of time.
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Specification