Patent ID: 7047218

Claim:
A method for processing a plurality of orders for at least one instrument comprising: combining a value-based trading order for at least one instrument with a share-based trading order for the at least one instrument to create a final trading order for the at least one instrument; and converting the final trading order into a series of contingent orders for the at least one instrument specifying a number of shares of the at least one instrument to be traded at a schedule of prices, further comprising calculating the number of shares of the at least one instrument in the schedule of prices according to the following equations: for a buy order: ⁢ S * = ( N s b - N s s ) + N $ b P * - N $ s P m ⁢ P * = { ⁢ - β ± β 2 - 4 ⁢ α ⁢ ⁢ γ 2 ⁢ α ⁢ ⁢ if ⁢ ⁢ α ≠ 0 ⁢ γ β ⁢ ⁢ if ⁢ ⁢ α = 0 wherein: ⁢ α = N s b , ⁢ β = N $ b - N s s ⁢ P m - N $ s - P a ⁡ ( N s b - N s s - N $ s P m ) , ⁢ and ⁢ γ = - P a ⁢ N $ b ; for a sell order: S * = ( N s b - N s s ) + N $ b P m - N $ s P * P * = { - β ± β 2 - 4 ⁢ αγ 2 ⁢ α ⁢ ⁢ if ⁢ ⁢ α ≠ 0 γ β ⁢ ⁢ if ⁢ ⁢ α = 0 ⁢ ⁢ where ⁢ ⁢ α = - N s s , ⁢ β = - N $ s + N s b ⁢ P m + N $ b - P b ⁡ ( - N s s + N s b + N $ b P m ) , and ⁢ ⁢ γ = P b ⁢ N $ s ; wherein: S*=the number of shares of the at least one instrument to be bought or, if negative, sold at a particular price P*; N s b =a number of shares of the at least one instrument to be bought in the plurality of share-based trading orders; N s s =a number of shares of the at least one instrument to be sold in the plurality of share-based trading orders; N S b =a dollar amount of the at least one instrument to be bought in the plurality of dollar-based trading orders; and N S s =a dollar amount of the at least one instrument to be sold in the plurality of dollar-based trading orders.