Ryan P Shepherd

US Patent:

20100145843, Jun 10, 2010

Filed:

May 29, 2009

Appl. No.:

12/475289

Inventors:

Braden S. Janowski - Tulsa OK, US
Ryan T. Shepherd - Tulsa OK, US

Assignee:

TradeHelm, Inc. - Tulsa OK

International Classification:

G06Q 40/00

US Classification:

705 37

Abstract:

A collection of one or more trade orders for a financial instrument is priced or re-priced to one side of a market center order book based on a target execution price (representing the least favorable price acceptable for all trade orders of the collection), a book depth (representing the collection's book depth), a total order quantity (representing the total quantity of financial instrument units to be traded), and a maxshow (representing the maximum quantity to be shown on the order book at each price level of the book depth). Any existing orders of the collection that are too close to the current market price or too far from the target execution price are canceled or CXR'd, starting with the closest price level to the current market price for “too close” trade orders and the farthest price level from the Target Execution Price for “too far” trade orders. The oldest of any “too-close” trade orders resting at the same price level are cancelled first in order to maximize queue priority and obtain favorable fill prices, and the newest of any “too-far” trade orders resting at the same price level are cancelled first in order to maximize the likelihood of getting the older orders (which have a higher queue priority) filled at the more favorable too-far price. At each price level of the book depth, the quantity of financial instrument units represented by trade orders of the collection is adjusted as necessary to prevent overfilling the total order quantity.