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Routing of orders in equity options by means of a parameterized rules-based routing table

  • US 8,195,557 B2
  • Filed: 07/24/2007
  • Issued: 06/05/2012
  • Est. Priority Date: 07/28/2006
  • Status: Active Grant
First Claim
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1. A method for options order routing, comprising:

  • (a) listing by a computing system, on a market center, having at least one processor and at least one memory a plurality of options series, wherein the computing system has an order book for each option series and a market maker quote book for each option series, has intermarket linkages and direct connections to a plurality of away market centers, receives a top-of-book best bid and offer disseminated quotation from the plurality of away market centers for each option series, and has at least one configurable routing table including a set of routing rules that specify intermarket linkage and direct connection parameters for each away market center;

    (b) receiving by the computing system an incoming order;

    (c) determining by the computing system whether the order can execute at the NBBO or better;

    (d) responsive to determining that the order can execute at the NBBO or better;

    (d)(i) retrieving by the computing system the best bid and offer disseminated quotation from each away market center;

    (d)(ii) determining by the computing system whether a disseminated quotation of any away market center is superior to the orders and market maker quotes resident on the market center;

    (d)(iii) responsive to determining that the disseminated quotation of any away market center is superior;

    (d)(iii)(a) retrieving by the computing system the set of routing rules from the routing table for the away market center having the superior disseminated quotation;

    (d)(iii)(b) determining by the computing system whether the incoming order can be routed to the away market center having the superior disseminated quotation;

    (d)(iii)(c) responsive to determining that the incoming order can be routed to the away market center having the superior disseminated quotation;

    (d)(iii)(c)(i) determining by the computing system an appropriate routing protocol and generating an outbound order based on the routing rules for the specified away market center; and

    (d)(iii)(c)(ii) routing by the computing system the generated outbound order to the away market center having the superior disseminated quotation over the selected routing protocol.

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