Patent ID: 11941701
Assignee: PURESTREAM TRADING TECHNOLOGIES INC.
Field: IT methods for management (Electrical engineering)
Classification: CPC G | IPC G

Claim 16:
17. A computer implemented system filling a customer orders by coordinated automated processing of algo order and counterpart strategy order pairs each associated with a respective customer order, respective customer orders order having a security, side, limit price, and quantity of shares, the respective associated algo order and strategy order each specifying the security, side and limit price of the customer order, the strategy order further having a respective strategy, the system comprising:
a strategy matching venue; and
an algo trading platform in electronic communication with an electronic point-in-time (PIT) trading venue and the strategy matching venue;
the strategy matching venue comprising a memory with first computer instructions stored therein which on execution by one or more processors of the strategy matching venue cause the strategy matching venue to:
receive strategy orders over a network and store records for received strategy orders in an order book;
match a first strategy order to a first contra strategy order in the order book, the first contra strategy order having a respective strategy compatible with the strategy of the first strategy order, and wherein the first strategy order is a counterpart to a first algo order being processed by the algo trading platform, the match having an initial status of unbroken;
send in response to forming a match for the first strategy order a STREAM ON message to the algo trading platform indicating that the first strategy order is in a match,
generate a plurality of discrete fills between a first strategy order and first contra strategy order while the match between the first strategy order and first contra strategy remains unbroken;
break the match between the first strategy order and first contra strategy in response to a determination that either of the first strategy order or the first contra strategy order has been one of filled and become unmarketable; and
send in response to breaking the match for the first strategy order a STREAM OFF message to the algo trading platform indicating the match for the first strategy order is not in a match;

the algo trading platform comprising a memory with second computer instructions stored therein which, on execution by one or more processors of the algo trading platform cause the algo trading platform to:
intermittently generate sub-orders from the first algo order in accordance with a target rate, each sub-order having a respective sub-order quantity;
send the generated sub-orders to an electronic point-in-time (PIT) trading venue;
receive PIT execution messages from the PIT trading venue, each PIT execution message corresponding to a respective sub-order and indicating a fill amount for the respective sub-order;
in response to a STREAM ON condition indicating that a STREAM ON message for the first strategy order has been sent, altering in a first manner the intermittent generation of the sub-orders for the first algo order; and
in response to a STREAM OFF condition indicating that a STREAM OFF message for the first strategy order has been sent, altering in a second manner the intermittent generation of the sub-orders for the first algo order;

wherein the customer order is filled when a total amount of completed fills for the first algo order and the first strategy order equals the quantity of the customer order.