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SYSTEMS AND METHODS FOR MATCHING ONE OR MORE INCOMING ORDER TO A STANDING ORDER AS A FUNCTION OF AN INNER MARKET PARAMETER

  • US 20100088212A1
  • Filed: 10/07/2008
  • Published: 04/08/2010
  • Est. Priority Date: 10/07/2008
  • Status: Active Grant
First Claim
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1. A method of order allocation, the method comprising:

  • establishing an inner market representing a first portion of an order book, wherein the inner market is defined as a function of an inner market parameter;

    establishing an outer market, wherein the outer market represents a second portion of the order book that includes the remainder of the order book not represented by the inner market of the order book;

    allocating a first portion of an incoming order to the inner market utilizing a first-in, first-out (FIFO) algorithm; and

    allocating a second portion, in excess of the first portion, of the incoming order to the outer market using a pro-rata algorithm.

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