Patent ID: 8024247
Filing Date: 2011-09-20
Classification: G06Q

Abstract:
1. A method implemented by a securities exchange at least partially in a programmed computer for publishing security offer information, the method comprising: determining by the programmed computer, a current best offer price for a particular security; determining by the programmed computer, a sweep liquidity offer price, where the sweep liquidity offer price is a first price difference greater than the current best offer price for the particular security; determining by the programmed computer, a lowest price of the particular security within an immediately preceding time period; determining by the programmed computer, a momentum liquidity offer price, where the momentum liquidity offer price is a second price difference greater than the lowest price of the particular security within the immediately preceding time period, and wherein the sweep liquidity offer price and the momentum liquidity offer price are price points at which the market for the particular security converts from automatic execution to auction market trading only without automatic execution, and automatic execution of the particular security resumes only after passage of a predetermined time; determining by the programmed computer, whether the sweep liquidity offer price is less than or greater than the momentum liquidity offer price; publishing by the programmed computer, the sweep liquidity offer price as the most restrictive offer liquidity price, if the sweep liquidity offer price is less than the momentum liquidity offer price; and publishing by the programmed computer, the momentum liquidity offer price as the most restrictive offer liquidity price, if the sweep liquidity offer price is greater than the momentum liquidity offer price.