System and method for presenting broker and specialist interest in a hybrid auction market

• US 7,788,162 B2
• Filed: 07/15/2005
• Issued: 08/31/2010
• Est. Priority Date: 07/15/2004
• Status: Active Grant

• Current Assignee: New York Stock Exchange LLC (Intercontinental Exchange, Inc.)
• Original Assignee: New York Stock Exchange (Intercontinental Exchange, Inc.)
• Inventors: Burkhardt, Roger, McSweeney, Robert J., Allen, Anne E., Pastina, Louis G.
• Primary Examiner(s): Havan; Thu Thao
• Application Number:
  US11/183,155
• Publication Number:
  US 20060015445A1
• Time in Patent Office: 1,873 Days
• Field of Search: 705 37- 38
• US Class Current: 705/37
• CPC Class Codes: G06Q 30/08 Auctions
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• CPC Class Codes: G06Q 40/03 Credit; Loans; Processing thereof
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis

Abstract

Broker or specialist interest to buy or sell a security at a first price and a first size is received, and it is determined whether the first price equals a published best bid or offer price. If the first price equals the published bid or offer price, first size is included in the published bid or offer, and if the first price does not equal the published bid or offer price, disclosure of the broker or specialist interest is at least partially blocked.

Claims

1. A method implemented at least partially in a programmed computer for representing broker buying interest in a security, the method comprising:

using the programmed computer to automatically receive broker interest to buy a security at a first price and a first size;

using the programmed computer to automatically determine whether the first price equals a published best bid price;

if the first price equals the published best bid price, using the programmed computer to automatically include the first size in the published bid;

using the programmed computer to automatically determine whether the first price is less than the published best bid price; and

if the first price is less than the published best bid price, using the programmed computer to automatically block any disclosure to other brokers of the first size and first price of the broker interest, wherein blocking any disclosure to the other brokers means that while disclosure to the other brokers is blocked, the other brokers are not provided with information on either the first size or the first price of the broker buying interest in the security.

2. A method according to claim 1, further comprising using the programmed computer to automatically disclose to a specialist in the security at least a portion of the first size and first price of the broker interest.

3. A method according to claim 1, further comprising using the programmed computer to automatically block any disclosure to a specialist in the security of the first size and first price of the broker interest, wherein blocking any disclosure to the specialist means that while disclosure to the specialist is blocked, the specialist is not provided with information on either the first size or the first price of the broker buying interest in the security.

4. A method according to claim 2, wherein disclosing to a specialist in the security at least a portion of the first size and first price of the broker interest further comprises using the programmed computer to automatically block any disclosure to a specialist in the security of a portion of the first size and first price of the broker interest.

5. A method implemented at least partially in a programmed computer for representing broker buying interest in a security, the method comprising:

using the programmed computer to automatically receive broker interest to buy a security at a first price and a first size;

using the programmed computer to automatically determine whether the first price is a best bid price;

if the first price is a best bid price, using the programmed computer to automatically include the first size in a published bid; and

if the first price is not a best bid price, using the programmed computer to automatically block any disclosure to other brokers of the first size and first price of the broker interest, wherein blocking any disclosure to the other brokers means that while disclosure to the other brokers is blocked, the other brokers are not provided with information on either the first size or the first price of the broker buying interest in the security.

6. A method implemented at least partially in a programmed computer for determining priority for execution of securities orders, the method comprising:

using the programmed computer to automatically receive broker interest to buy a security at a first price and a first size;

using the programmed computer to automatically determine that the first price is higher than a published bid price;

responsive to using the programmed computer to automatically determine that the first price is higher than a published bid price, using the programmed computer to automatically re-publish the bid price equal to the first price with a bid size equal to the first size; and

using the programmed computer to automatically assign trade execution priority to the broker interest for at least one trade.

7. A method implemented at least partially in a programmed computer for determining priority for execution of securities orders, the method comprising:

using the programmed computer to automatically receive broker interest to sell a security at a first price and a first size;

using the programmed computer to automatically determine that the first price is lower than a published offer price;

responsive to using the programmed computer to automatically determine that the first price is lower than a published offer price, using the programmed computer to automatically re-publish the offer price equal to the first price with an offer size equal to the first size; and

using the programmed computer to automatically assign trade execution priority to the broker interest for at least one trade.

8. A method implemented at least partially in a programmed computer for representing broker buying interest in a security, the method comprising:

using the programmed computer to automatically receive broker interest to buy a security at a first price and a first size;

using the programmed computer to automatically determine that the first price is not a best bid price;

responsive to using the programmed computer to automatically determine that the first price is not a best bid price, using the programmed computer to automatically block any disclosure to other brokers of the first size and first price of the broker interest, wherein blocking any disclosure to the other brokers means that while disclosure to the other brokers is blocked, the other brokers are not provided with information on either the first size or the first price of the broker buying interest in the security;

after using the programmed computer to automatically block any disclosure to the other brokers of the first size and first price of the broker interest, using the programmed computer to automatically determine that the first price is a new best bid price; and

responsive to using the programmed computer to automatically determine that the first price is a new best bid price, using the programmed computer to automatically include the first size in the new best bid.

9. A method according to claim 8, further comprising using the programmed computer to automatically execute a trade between determining that the first price is not a best bid price and determining that the first price is a new best bid price.

10. A method according to claim 8, further comprising using the programmed computer to automatically receive an order cancellation between determining that the first price is not a best bid price and determining that the first price is a new best bid price.

11. A method according to claim 8, further comprising using the programmed computer to automatically block any disclosure to a specialist in the security of the first size and first price of the broker interest, wherein blocking any disclosure to the specialist means that while disclosure to the specialist is blocked, the specialist is not provided with information on either the first size or the first price of the broker buying interest in the security.

12. A method according to claim 8, further comprising:

using the programmed computer to automatically disclose to a specialist in the security a portion of the first size and first price of the broker interest; and

using the programmed computer to automatically block any disclosure to a specialist in the security of a portion of the first size and first price of the broker interest.

13. A method according to claim 8, further comprising:

using the programmed computer to automatically receive a plurality of limit orders to buy at the first price;

using the programmed computer to automatically aggregate the plurality of limit orders as a single aggregate; and

using the programmed computer to automatically assign equal parity to the single aggregate and the broker interest.

14. A method implemented at least partially in a programmed computer for representing broker buying interest in a security, the method comprising:

using the programmed computer to automatically receive broker reserve interest to buy a security at a first price and a first size;

using the programmed computer to automatically determine that the first price equals a published bid price;

responsive to using the programmed computer to automatically determine that the first price equals a published bid price, using the programmed computer to automatically include a minimum reserve size from the broker reserve interest in the published bid;

responsive to using the programmed computer to automatically determine that the first price equals a published bid price, using the programmed computer to automatically determine a hidden reserve size as the first size minus the minimum reserve size; and

using the programmed computer to automatically block any disclosure of the hidden reserve size to other brokers and to a specialist in the security, wherein blocking any disclosure of the hidden reserve size to the other brokers and to the specialist means that while disclosure to the other brokers and the specialist is blocked, the other brokers and the specialist are not provided with information on either the first size or the first price of the broker buying interest in the security.

15. A method according to claim 14, further comprising:

using the programmed computer to automatically receive a sell order;

using the programmed computer to automatically execute a trade of the sell order against some of the minimum reserve size; and

using the programmed computer to automatically replenish the minimum reserve size from the hidden reserve size.

16. A method according to claim 14, further comprising:

using the programmed computer to automatically receive a sell order;

using the programmed computer to automatically execute a partial trade of the sell order against all of the minimum reserve size;

using the programmed computer to automatically replenish the minimum reserve size from the hidden reserve size; and

using the programmed computer to automatically execute a trade of the sell order against the minimum reserve size.

17. A method according to claim 14, wherein the minimum reserve size is 1000 shares.

18. A method according to claim 14, further comprising:

using the programmed computer to automatically receive a disclosed interest size with the broker reserve interest; and

using the programmed computer to automatically include the greater of the minimum reserve size or the disclosed interest size in the published bid.

19. A method implemented at least partially in a programmed computer for representing specialist buying interest in a security, the method comprising:

using the programmed computer to automatically receive specialist interest to buy a security at a first price and a first size;

using the programmed computer to automatically determine whether the first price equals a published best bid price;

if the first price equals the published best bid price, using the programmed computer to automatically include the first size in the published best bid;

using the programmed computer to automatically determine whether the first price is less than the published best bid price; and

if the first price is less than the published best bid price, using the programmed computer to automatically block any disclosure of the specialist interest to brokers, wherein blocking any disclosure of the specialist interest means that while disclosure to the brokers is blocked, the brokers are not provided with information on either the first size or the first price of the specialist buying interest in the security.

20. A method implemented at least partially in a programmed computer for representing specialist buying interest in a security, the method comprising:

using the programmed computer to automatically receive specialist interest to buy a security at a first price and a first size;

using the programmed computer to automatically determine whether the first price is a best bid price;

if the first price is a best bid price, using the programmed computer to automatically include the first size in a published bid; and

if the first price is not a best bid price, using the programmed computer to automatically block any disclosure of the specialist interest to brokers, wherein blocking any disclosure of the specialist interest means that while disclosure to the brokers is blocked, the brokers are not provided with information on either the first size or the first price of the specialist buying interest in the security.

21. A method implemented at least partially in a programmed computer for representing broker and specialist buying interest in a security, the method comprising:

using the programmed computer to automatically receive broker interest to buy a security at a first price and a first size;

using the programmed computer to automatically receive specialist interest to buy the security at the first price and at a second size;

using the programmed computer to automatically determine that the first price is a best bid price;

responsive to using the programmed computer to automatically determine that the first price is a best bid price, using the programmed computer to automatically include the first size and the second size in a published bid;

using the programmed computer to automatically receive a sell order for the security; and

using the programmed computer to automatically execute a partial trade of the sell order against all of the first size and all of the second size before using the programmed computer to automatically execute a sweep of any remaining portion of the sell order.

22. A method implemented at least partially in a programmed computer for representing broker and specialist buying interest in a security, the method comprising:

using the programmed computer to automatically receive broker reserve interest to buy a security at a first price and a first size;

using the programmed computer to automatically receive specialist interest to buy the security at the first price and at a second size;

using the programmed computer to automatically determine that the first price is a best bid price;

responsive to using the programmed computer to automatically determine that the first price is a best bid price, using the programmed computer to automatically include the second size and a minimum reserve size from the broker reserve interest in a published bid;

using the programmed computer to automatically determine a hidden reserve size as the first size minus the minimum reserve size;

using the programmed computer to automatically block any disclosure of the hidden reserve size to other brokers and the specialist in the security, wherein blocking any disclosure of the hidden reserve size to the other brokers and the specialist means that while disclosure is blocked, the other brokers and the specialist are not provided with information on the hidden reserve size;

using the programmed computer to automatically receive a sell order for the security; and

using the programmed computer to automatically execute a trade of the sell order against the minimum reserve size and the second size before executing a trade of the sell order against any of the hidden reserve size.

23. A method implemented at least partially in a programmed computer for representing broker and specialist buying interest in a security, the method comprising:

using the programmed computer to automatically receive broker reserve interest to buy a security at a first price and a first size;

using the programmed computer to automatically receive specialist interest to buy the security at the first price and at a second size;

using the programmed computer to automatically determine that the first price is a best bid price;

responsive to using the programmed computer to automatically determine that the first price is a best bid price, using the programmed computer to automatically identify a disclosed reserve size of the broker reserve interest;

responsive to using the programmed computer to automatically determine that the first price is a best bid price, using the programmed computer to automatically determine a hidden reserve size as the first size minus the disclosed reserve size;

using the programmed computer to automatically block any disclosure of the hidden reserve size to other brokers and the specialist in the security, wherein blocking any disclosure to the other brokers and the specialist means that while disclosure to the other brokers and the specialist is blocked, the other brokers and the specialist are not provided with information on the hidden reserve size;

using the programmed computer to automatically receive a sell order for the security;

using the programmed computer to automatically execute a partial trade of the sell order against the disclosed reserve size and the second size; and

after using the programmed computer to automatically execute a partial trade of the sell order against the disclosed reserve size and the second size, using the programmed computer to automatically execute a trade of the sell order against the hidden reserve size before executing a sweep of the sell order.

24. A method implemented at least partially in a programmed computer for representing broker buying interest in a security, the method comprising:

using the programmed computer to automatically receive broker reserve interest to buy a security at a first price and a first size;

using the programmed computer to automatically determine that the first price is not a first best bid price;

responsive to using the programmed computer to automatically determine that the first price is not a first best bid price, using the programmed computer to automatically block any disclosure of the reserve interest to other brokers, wherein blocking any disclosure to the other brokers means that while disclosure of the reserve interest to the other brokers is blocked, the other brokers are not provided with information on the reserve interest;

after using the programmed computer to automatically block any disclosure of the reserve interest to other brokers, using the programmed computer to automatically determine that the first price is a second best bid price;

responsive to using the programmed computer to automatically determine that the first price is a second best bid price, using the programmed computer to automatically include at least some of the first size in the second best bid price;

responsive to using the programmed computer to automatically determine that the first price is a second best bid price, using the programmed computer to automatically publish the second best bid price;

after using the programmed computer to automatically publish the second best bid price, using the programmed computer to automatically determine that the first price is not a third best bid price; and

responsive to using the programmed computer to automatically determine that the first price is not a third best bid price, using the programmed computer to automatically block any disclosure of the reserve interest to other brokers, wherein blocking any disclosure to the other brokers means that while disclosure of the reserve interest to the other brokers is blocked, the other brokers are not provided with information on the reserve interest.

25. A method according to claim 24, further comprising using the programmed computer to automatically block any disclosure of the reserve interest to a specialist in the security, wherein blocking any disclosure to the specialist means that while disclosure of the reserve interest to the specialist is blocked, the specialist is not provided with information on the reserve interest.

26. A method according to claim 24, further comprising using the programmed computer to automatically execute a trade at the first best bid price between determining that the first price is not a first best bid price and determining that the first price is a second best bid price.

27. A method according to claim 24, further comprising using the programmed computer to automatically receive an order cancellation between determining that the first price is not a first best bid price and determining that the first price is a second best bid price.

28. A method according to claim 24, further comprising using the programmed computer to automatically receive an order at the third best bid price between determining that the first price is a second best bid price and determining that the first price is not a third best bid price.

29. A system implemented at least partially in a programmed computer for representing broker buying interest in a security, the system comprising:

means for receiving broker interest to buy a security at a first price and a first size;

means for determining whether the first price equals a published best bid price;

if the first price equals the published best bid price, means for including the first size in the published bid;

means for determining whether the first price is less than the published best bid price; and

if the first price is less than the published best bid price, means for blocking any disclosure to other brokers of the first size and first price of the broker interest, wherein blocking any disclosure to the other brokers means that while disclosure to the other brokers is blocked, the other brokers are not provided with information on either the first size or the first price of the broker buying interest in the security.

30. A computer-readable medium having computer executable software code stored thereon, the code for representing broker buying interest in a security, the code comprising:

code to receive broker interest to buy a security at a first price and a first size;

code to determine whether the first price equals a published best bid price;

if the first price equals the published best bid price, code to include the first size in the published bid;

code to determine whether the first price is less than the published best bid price; and

if the first price is less than the published best bid price, code to block any disclosure to other brokers of the first size and first price of the broker interest, wherein blocking any disclosure to the other brokers means that while disclosure to the other brokers is blocked, the other brokers are not provided with information on either the first size or the first price of the broker buying interest in the security.

31. A programmed computer for representing broker buying interest in a security comprising:

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 receive broker interest to buy a security at a first price and a first size;

code to determine whether the first price equals a published best bid price;

if the first price equals the published best bid price, code to include the first size in the published bid;

code to determine whether the first price is less than the published best bid price; and

if the first price is less than the published best bid price, code to block any disclosure to other brokers of the first size and first price of the broker interest, wherein blocking any disclosure to the other brokers means that while disclosure to the other brokers is blocked, the other brokers are not provided with information on either the first size or the first price of the broker buying interest in the security.

32. A method implemented at least partially in a programmed computer for representing broker selling interest in a security, the method comprising:

using the programmed computer to automatically receive broker interest to sell a security at a first price and a first size;

using the programmed computer to automatically determine whether the first price equals a published best offer price;

if the first price equals the published best offer price, using the programmed computer to automatically include the first size in the published offer;

using the programmed computer to automatically determine whether the first price is greater than the published best offer price; and

if the first price is greater than the published best offer price, using the programmed computer to automatically block any disclosure to other brokers of the first size and first price of the broker interest, wherein blocking any disclosure to the other brokers means that while disclosure to the other brokers is blocked, the other brokers are not provided with information on either the first size or the first price of the broker selling interest in the security.

33. A method according to claim 32, further comprising using the programmed computer to automatically disclose to a specialist in the security at least a portion of the first size and first price of the broker interest.

34. A method according to claim 32, further comprising using the programmed computer to automatically block any disclosure to a specialist in the security of the first size and first price of the broker interest, wherein blocking any disclosure to the specialist means that while disclosure to the specialist is blocked, the specialist is not provided with information on either the first size or the first price of the broker selling interest in the security.

35. A method according to claim 33, wherein disclosing to a specialist in the security at least a portion of the first size and first price of the broker interest further comprises using the programmed computer to automatically block any disclosure to a specialist in the security of a portion of the first size and first price of the broker interest.

36. A method implemented at least partially in a programmed computer for representing broker selling interest in a security, the method comprising:

using the programmed computer to automatically receive broker interest to sell a security at a first price and a first size;

using the programmed computer to automatically determine whether the first price is a best offer price;

if the first price is a best offer price, using the programmed computer to automatically include the first size in a published offer; and

if the first price is not a best offer price, using the programmed computer to automatically block any disclosure to other brokers of the first size and first price of the broker interest, wherein blocking any disclosure to the other brokers means that while disclosure to the other brokers is blocked, the other brokers are not provided with information on either the first size or the first price of the broker selling interest in the security.

37. A method implemented at least partially in a programmed computer for representing broker selling interest in a security, the method comprising:

using the programmed computer to automatically receive broker interest to sell a security at a first price and a first size;

using the programmed computer to automatically determine that the first price is not a best offer price;

responsive to using the programmed computer to automatically determine that the first price is not a best offer price, using the programmed computer to automatically block any disclosure to other brokers of the first size and first price of the broker interest, wherein blocking any disclosure to the other brokers means that while disclosure to the other brokers is blocked, the other brokers are not provided with information on either the first size or the first price of the broker selling interest in the security;

after using the programmed computer to automatically block any disclosure to the other brokers of the first size and first price of the broker interest, using the programmed computer to automatically determine that the first price is a new best offer price; and

responsive to using the programmed computer to automatically determine that the first price is a new best offer price, using the programmed computer to automatically include the first size in the new best offer.

38. A method according to claim 37, further comprising using the programmed computer to automatically execute a trade between determining that the first price is not a best offer price and determining that the first price is a new best offer price.

39. A method according to claim 37, further comprising using the programmed computer to automatically receive an order cancellation between determining that the first price is not a best offer price and determining that the first price is a new best offer price.

40. A method according to claim 37, further comprising using the programmed computer to automatically block any disclosure to a specialist in the security of the first size and first price of the broker interest, wherein blocking any disclosure to the specialist means that while disclosure to the specialist is blocked, the specialist is not provided with information on either the first size or the first price of the broker selling interest in the security.

41. A method according to claim 37, further comprising:

using the programmed computer to automatically disclose to a specialist in the security a portion of the first size and first price of the broker interest; and

using the programmed computer to automatically block any disclosure to a specialist in the security of a portion of the first size and first price of the broker interest.

42. A method according to claim 37, further comprising:

using the programmed computer to automatically receive a plurality of limit orders to sell at the first price;

using the programmed computer to automatically aggregate the plurality of limit orders as a single aggregate; and

using the programmed computer to automatically assign equal parity to the single aggregate and the broker interest.

43. A method implemented at least partially in a programmed computer for representing broker selling interest in a security, the method comprising:

using the programmed computer to automatically receive broker reserve interest to sell a security at a first price and a first size;

using the programmed computer to automatically determine that the first price equals a published offer price;

responsive to using the programmed computer to automatically determine that the first price equals a published offer price, using the programmed computer to automatically include a minimum reserve size from the broker reserve interest in the published offer;

responsive to using the programmed computer to automatically determine that the first price equals a published offer price, using the programmed computer to automatically determine a hidden reserve size as the first size minus the minimum reserve size; and

using the programmed computer to automatically block any disclosure of the hidden reserve size to other brokers and to a specialist in the security, wherein blocking any disclosure of the hidden reserve size to the other brokers and to the specialist means that while disclosure to the other brokers and the specialist is blocked, the other brokers and the specialist are not provided with information on either the first size or the first price of the broker selling interest in the security.

44. A method according to claim 43, further comprising:

using the programmed computer to automatically receive a buy order;

using the programmed computer to automatically execute a trade of the buy order against some of the minimum reserve size; and

using the programmed computer to automatically replenish the minimum reserve size from the hidden reserve size.

45. A method according to claim 43, further comprising:

using the programmed computer to automatically receive a buy order;

using the programmed computer to automatically execute a partial trade of the buy order against all of the minimum reserve size;

using the programmed computer to automatically replenish the minimum reserve size from the hidden reserve size; and

using the programmed computer to automatically execute a trade of the buy order against the minimum reserve size.

46. A method according to claim 43, wherein the minimum reserve size is 1000 shares.

47. A method according to claim 43, further comprising:

using the programmed computer to automatically receive a disclosed interest size with the broker reserve interest; and

using the programmed computer to automatically include the greater of the minimum reserve size or the disclosed interest size in the published offer.

48. A method implemented at least partially in a programmed computer for representing specialist selling interest in a security, the method comprising:

using the programmed computer to automatically receive specialist interest to sell a security at a first price and a first size;

using the programmed computer to automatically determine whether the first price equals a published best offer price;

if the first price equals the published best offer price, using the programmed computer to automatically include the first size in the published best offer;

using the programmed computer to automatically determine whether the first price is greater than the published best offer price; and

if the first price is greater than the published best offer bid price, using the programmed computer to automatically block any disclosure of the specialist interest to brokers, wherein blocking any disclosure of the specialist interest means that while disclosure to the brokers is blocked, the brokers are not provided with information on either the first size or the first price of the specialist selling interest in the security.

49. A method implemented at least partially in a programmed computer for representing specialist selling interest in a security, the method comprising:

using the programmed computer to automatically receive specialist interest to sell a security at a first price and a first size;

using the programmed computer to automatically determine whether the first price is a best offer price;

if the first price is a best offer price, using the programmed computer to automatically include the first size in a published offer; and

if the first price is not a best offer price, using the programmed computer to automatically block any disclosure of the specialist interest to brokers, wherein blocking any disclosure of the specialist interest means that while disclosure to the brokers is blocked, the brokers are not provided with information on either the first size or the first price of the specialist selling interest in the security.

50. A method implemented at least partially in a programmed computer for representing broker and specialist selling interest in a security, the method comprising:

using the programmed computer to automatically receive broker interest to sell a security at a first price and a first size;

using the programmed computer to automatically receive specialist interest to sell the security at the first price and at a second size;

using the programmed computer to automatically determine that the first price is a best offer price;

responsive to using the programmed computer to automatically determine that the first price is a best offer price, using the programmed computer to automatically include the first size and the second size in a published offer;

using the programmed computer to automatically receive a buy order for the security; and

using the programmed computer to automatically execute a partial trade of the buy order against all of the first size and all of the second size before using the programmed computer to automatically execute a sweep of any remaining portion of the buy order.

51. A method implemented at least partially in a programmed computer for representing broker and specialist selling interest in a security, the method comprising:

using the programmed computer to automatically receive broker reserve interest to sell a security at a first price and a first size;

using the programmed computer to automatically receive specialist interest to sell the security at the first price and at a second size;

using the programmed computer to automatically determine that the first price is a best offer price;

responsive to using the programmed computer to automatically determine that the first price is a best offer price, using the programmed computer to automatically include the second size and a minimum reserve size from the broker reserve interest in a published offer;

using the programmed computer to automatically determine a hidden reserve size as the first size minus the minimum reserve size;

using the programmed computer to automatically block any disclosure of the hidden reserve size to other brokers and the specialist in the security, wherein blocking any disclosure of the hidden reserve size to the other brokers and the specialist means that while disclosure is blocked, the other brokers and the specialist are not provided with information on the hidden reserve size;

using the programmed computer to automatically receive a buy order for the security; and

using the programmed computer to automatically execute a trade of the buy order against the minimum reserve size and the second size before executing a trade of the buy order against any of the hidden reserve size.

52. A method implemented at least partially in a programmed computer for representing broker and specialist selling interest in a security, the method comprising:

using the programmed computer to automatically receive broker reserve interest to sell a security at a first price and a first size;

using the programmed computer to automatically receive specialist interest to sell the security at the first price and at a second size;

using the programmed computer to automatically determine that the first price is a best offer price;

responsive to using the programmed computer to automatically determine that the first price is a best offer price, using the programmed computer to automatically identify a disclosed reserve size of the broker reserve interest;

responsive to using the programmed computer to automatically determine that the first price is a best offer price, using the programmed computer to automatically determine a hidden reserve size as the first size minus the disclosed reserve size;

using the programmed computer to automatically block any disclosure of the hidden reserve size to other brokers and the specialist in the security, wherein blocking any disclosure to the other brokers and the specialist means that while disclosure to the other brokers and the specialist is blocked, the other brokers and the specialist are not provided with information on the hidden reserve size;

using the programmed computer to automatically receive a buy order for the security;

using the programmed computer to automatically execute a partial trade of the buy order against the disclosed reserve size and the second size; and

after using the programmed computer to automatically execute a partial trade of the buy order against the disclosed reserve size and the second size, using the programmed computer to automatically execute a trade of the buy order against the hidden reserve size before executing a sweep of the buy order.

53. A method implemented at least partially in a programmed computer for representing broker selling interest in a security, the method comprising:

using the programmed computer to automatically receive broker reserve interest to sell a security at a first price and a first size;

using the programmed computer to automatically determine that the first price is not a first best offer price;

responsive to using the programmed computer to automatically determine that the first price is not a first best offer price, using the programmed computer to automatically block any disclosure of the reserve interest to other brokers, wherein blocking any disclosure to the other brokers means that while disclosure of the reserve interest to the other brokers is blocked, the other brokers are not provided with information on the reserve interest;

after using the programmed computer to automatically block any disclosure of the reserve interest to other brokers, using the programmed computer to automatically determine that the first price is a second best offer price;

responsive to using the programmed computer to automatically determine that the first price is a second best offer price, using the programmed computer to automatically include at least some of the first size in the second best offer price;

responsive to using the programmed computer to automatically determine that the first price is a second best offer price, using the programmed computer to automatically publish the second best offer price;

after using the programmed computer to automatically publish the second best offer price, using the programmed computer to automatically determine that the first price is not a third best offer price; and

responsive to using the programmed computer to automatically determine that the first price is not a third best offer price, using the programmed computer to automatically block any disclosure of the reserve interest to other brokers, wherein blocking any disclosure to the other brokers means that while disclosure of the reserve interest to the other brokers is blocked, the other brokers are not provided with information on the reserve interest.

54. A method according to claim 53, further comprising using the programmed computer to automatically block any disclosure of the reserve interest to a specialist in the security, wherein blocking any disclosure to the specialist means that while disclosure of the reserve interest to the specialist is blocked, the specialist is not provided with information on the reserve interest.

55. A method according to claim 53, further comprising using the programmed computer to automatically execute a trade at the first best offer price between determining that the first price is not a first best offer price and determining that the first price is a second best offer price.

56. A method according to claim 53, further comprising using the programmed computer to automatically receive an order cancellation between determining that the first price is not a first best offer price and determining that the first price is a second best offer price.

57. A method according to claim 53, further comprising using the programmed computer to automatically receive an order at the third best offer price between determining that the first price is a second best offer price and determining that the first price is not a third best offer price.

58. A system implemented at least partially in a programmed computer for representing broker selling interest in a security, the system comprising:

means for receiving broker interest to sell a security at a first price and a first size;

means for determining whether the first price equals a published best offer price;

if the first price equals the published best offer price, means for including the first size in the published offer;

means for determining whether the first price is greater than the published best offer price; and

if the first price is greater than the published best offer price, means for blocking any disclosure to other brokers of the first size and first price of the broker interest, wherein blocking any disclosure to the other brokers means that while disclosure to the other brokers is blocked, the other brokers are not provided with information on either the first size or the first price of the broker selling interest in the security.

59. A computer-readable medium having computer executable software code stored thereon, the code for representing broker selling interest in a security, the code comprising:

code to receive broker interest to sell a security at a first price and a first size;

code to determine whether the first price equals a published best offer price;

if the first price equals the published best offer price, code to include the first size in the published offer;

code to determine whether the first price is greater than the published best offer price; and

if the first price is greater than the published best offer price, code to block any disclosure to other brokers of the first size and first price of the broker interest, wherein blocking any disclosure to the other brokers means that while disclosure to the other brokers is blocked, the other brokers are not provided with information on either the first size or the first price of the broker selling interest in the security.

60. A programmed computer for representing broker selling interest in a security comprising:

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 receive broker interest to sell a security at a first price and a first size;

code to determine whether the first price equals a published best offer price;

if the first price equals the published best offer price, code to include the first size in the published offer;

code to determine whether the first price is greater than the published best offer price; and

if the first price is greater than the published best offer price, code to block any disclosure to other brokers of the first size and first price of the broker interest, wherein blocking any disclosure to the other brokers means that while disclosure to the other brokers is blocked, the other brokers are not provided with information on either the first size or the first price of the broker selling interest in the security.