Patent ID: 7778916

Claim:
A method implemented at least partially in a programmed computer for executing a securities order sweep, the method comprising: using the programmed computer to automatically determine a first price and first size of a published offer to sell shares of a security; using the programmed computer to automatically determine a second price and second size of orders to sell shares of the security; using the programmed computer to automatically determine a third price and third size of orders to sell shares of the security, wherein the second price is greater than the published offer and the third price is greater than the second price; using the programmed computer to automatically receive a market order to buy shares of the security with a buy size greater than a sum of the first size and the second size; using the programmed computer to automatically execute at the first price, a first portion of the market order that is equal to the first size; and using the programmed computer to automatically execute at the third price, a sweep of a second portion of the market order, wherein the sum of the size of the first portion and the size of the second portion equals the buy size.