Patent ID: 8027901

Claim:
In an automated trading system wherein orders in an instrument in a specified currency are received and a trade in said instrument is performed when, for a certain volume of said instrument, an instrument bid price matches an instrument ask price, a method for automatically generating an order in said instrument priced in said specified currency, comprising: said automated trading system repeatedly and automatically receiving, from an external source, an updated exchange rate between a currency other than said specified currency and said specified currency, wherein a last updated exchange rate received is a current exchange rate that is guaranteed at least until a next updated exchange rate is received; said automated trading system receiving, from a trader, an order in said instrument priced in said other currency; and said automated trading system calculating a price of said order in said specified currency based on said received order and said current exchange rate; and said automated trading system generating said order in said instrument priced in said specified currency in an order book, wherein said order book includes a plurality of instrument bid orders priced in said specified currency, each with a different instrument bid price from at least one other instrument bid order of said plurality of instrument bid orders, wherein said order book includes a plurality of instrument ask orders priced in said specified currency, each with a different instrument ask price from at least one other instrument ask order of said plurality of instrument ask orders, and wherein the method further comprises said automated trading system performing a trade in said instrument between said generated order in said order book and another order in said order book and performing a currency transaction to convert between said other currency and said specified currency when said generated order is matched by said another order, wherein said trade and said currency transaction are performed concurrently.