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Automated trading system for routing and matching orders

  • US 8,346,653 B2
  • Filed: 10/23/2009
  • Issued: 01/01/2013
  • Est. Priority Date: 04/24/2003
  • Status: Active Grant
First Claim
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1. A computer implemented method of allocating orders for the purchase or sale of securities or derivatives in an exchange configured for trading securities or derivatives, the method comprising:

  • receiving an electronic order for a security or derivative at an electronic trade engine in a server of the exchange while the exchange is currently at a price for the security or derivative that is different than a national best bid or offer price such that the received order is marketable against an away market;

    in response to receiving the electronic order, a trade processor in the trade engine at the exchange flashing the electronic order to a plurality of eligible market participants, wherein the plurality of eligible market participants is less than a total number of market participants in communication with the electronic trade engine;

    routing the electronic order in its entirety to an away market in absence of the trade processor receiving a price from at least one eligible market participant for the electronic order that is equal to or better than the national best bid or offer price within a predetermined period of time after flashing the electronic order;

    in response to receiving an improved price from at least one of the plurality of eligible market participants within the predetermined time period after flashing the electronic order, wherein the improved price is equal to or better than the national best bid or offer price, the trade processor;

    matching and allocating a portion of the electronic order at the improved price against each of the eligible market participants from whom the improved price was received, wherein the improved price is not included as part of a disseminated quote at the exchange; and

    routing a remaining portion of the electronic order to an electronic book configured for storing orders received by the electronic trade engine, or to an away market, based on a price available at the exchange after matching and allocating the portion.

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