Patent ID: 8660925

Claim:
A system for constructing an order book from displayed market data for a tradable asset, said system comprising one or more computer processors configured to: measure an effective spread of the tradable asset from displayed market data; measure a mid-quote volatility of the tradable asset from displayed market data; measure additions between best bid and ask of the tradable asset from displayed market data; measure additions less cancellations of the tradable asset from displayed market data; calculate, with the one or more computer processors, a probability of a hidden order for the tradable asset as a function of the measured effective spread, the mid-quote volatility, additions between best bid and ask, and additions less cancellations; calculate, with the one or more computer processors, a hidden order volume between the best bid and ask; calculate, with the one or more computer processors a hidden order price; and construct an order book for the tradable asset that includes displayed order volume and hidden order volume based on said calculated probability of a hidden order, said calculated hidden order volume, and said calculated hidden order price.