System and method for order sweep in a hybrid auction market
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United States of America Patent
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Aug 17, 2010
Grant Date -
Jan 19, 2006
app pub date -
Jul 15, 2005
filing date -
Jul 15, 2004
priority date (Note) -
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Abstract
A first price and first size of a published offer to sell shares of a security are determined, and a second price and second size of orders to sell shares of the security are determined. A third price and third size of orders to sell shares of the security are determined, wherein the second price is greater than the published offer and the third price is greater than the second price. A market order to buy shares of the security is received with a buy size greater than a sum of the first size and the second size. A first portion of the market order that is equal to the first size is executed at a first price, and a second portion of the market order is executed at the third price. The sum of the size of the first portion and the size of the second portion equals the buy size. Market orders to sell are handled in a similar fashion.
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