Patent ID: 7698200
Filing Date: 2010-04-13
Classification: G06Q

Abstract:
1. A method for creating an index value for evaluating market center execution quality, with at least one processor, on a security-by-security basis over a period of time comprising: utilizing an execution speed of a preexisting order of covered security orders that were executed at a market center to create a first value from empirical measurements; utilizing price improvement of a preexisting order of covered security orders that were executed at a market center to create a second value from empirical measurements; utilizing a percentage of covered security orders that were executed at a market center at a quoted value or a better value to create a third value from empirical measurements; utilizing a percentage of covered security orders that were executed at outside a quoted value to create a fourth value from empirical measurements; utilizing effective spread, which is twice an absolute value of a difference between an execution price for a securities order and a midpoint of a consolidated best bid and offer at a time of a securities order receipt to create a fifth value from empirical measurements; summing at least two of the first value, the second value, the third value, the fourth value, and the fifth value to create an index value; and wherein the utilizing and summing steps are performed by the at least one processor.