Order routing system and method incorporating dark pools

Details Order routing system and method incorporating dark pools Order routing system and method incorporating dark pools

G - Physics

06

Q

G06Q 40/00 (2006.01)

Patent

CA 2691336

A method for routing a financial instrument order incorporating dark pools and at least one electronic communication network (ECN) or exchange. The financial instrument order includes an identification of a financial instrument, a bid or ask price, and a number of units to be traded. A ping order of the dark pools is determined. The financial instrument order is routed to a top dark pool as an immediate or cancel order. If the financial instrument order is not complete, the ping order is updated by removing the top dark pool. If any dark pools remain in the updated ping order, the financial instrument order is routed to the next dark pool. This process continues until all of the dark pools have been pinged or the financial instrument order is complete. If the financial instrument order is not complete, the financial instrument order is routed to the ECN or exchange.

L'invention concerne un procédé pour acheminer un ordre d'instrument financier incorporant des = dark pools = et au moins un réseau de communication électronique (ECN) ou bourse. L'ordre d'instrument financier comprend une identification d'un instrument financier, un cours d'achat ou de vente, et un nombre d'unités à négocier. Un ordre d'interrogation des = dark pools = est déterminé. L'ordre d'instrument financier est acheminé vers un = dark pool = supérieur en tant qu'ordre immédiat ou d'annulation. Si l'ordre d'instrument financier n'est pas achevé, l'ordre d'interrogation est actualisé en retirant le = dark pool = supérieur. S'il reste des = dark pools = dans l'ordre d'interrogation actualisé, l'ordred'instrument financier est acheminé vers le = dark pool = suivant. Ce processus continue jusqu'à ce que tous les = dark pools = aient été interrogés ou que l'ordre d'instrument financier soit achevé. Si l'ordre d'instrument financier n'est pas achevé, l'ordre d'instrument financier est acheminé vers le ECN ou la bourse.

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