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Computer implemented and/or assisted methods and systems for detecting, tracking and responding to toxic, or likely toxic, orders in an equities order flow using toxicity and/or profit analyzers

  • US 7,587,347 B2
  • Filed: 11/30/2004
  • Issued: 09/08/2009
  • Est. Priority Date: 10/19/2004
  • Status: Active Grant
First Claim
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1. A method of executing an equity order by a computer trading system comprising a sequential, sequence independent or non-sequential steps of:

  • electronically receiving an order by a broker-dealer system including order characteristics;

    determining at least one toxicity quotient responsive to the order characteristics, the toxicity quotient defining when the order, if executed, comprises one of no profit, reduced profit or a loss when a wholesaler or a market maker provides market liquidity;

    analyzing the order to determine eligibility for execution using the at least one toxicity quotient; and

    determining whether the order is eligible for execution; and

    electronically transmitting the order by the broker-dealer system to the computer trading system for execution responsive to the eligibility for execution as determined by the analyzing the order using the at least one toxicity quotient.

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