Patent ID: 8041624

Claim:
A processor-implemented method for monitoring and evaluating an option limit order, comprising: receiving an option limit order, the option limit order including information identifying a customer, a desired option, and indicating a limit price for the option limit order; monitoring a real-time feed of option market data to identify at least one of trade-through transaction relevant to the option limit order and a trade-at transaction relevant to the option limit order, wherein the at least one of a trade-through and a trade-at transaction occurs at a better price than the limit price for the option limit order; analyzing, by the processor, the identified at least one of a trade-through and a trade-at transaction relevant to the option limit order to determine a quantity of contracts filled and a quantity of contracts included in the at least one of a trade-through and a trade-at transaction and generating, by the processor, a performance measure in accordance with the analysis by dividing the quantity of contracts filled by the quantity of contracts included in the at least one of a trade-through and a trade-at transaction.