Patent ID: 7831503

Claim:
A method for selecting executing brokers to minimize an expected total execution cost for a current buy or sell order involving a desired number of units, the method comprising: receiving the current buy or sell order for a security; receiving, from each executing broker, in real-time, a unit price quote for the security, a number of units of the security the each executing broker has available at the each executing broker's quoted unit price, and current execution costs of the each executing broker; for each executing broker, in real-time, determining, from recent executed orders by the each executing broker, a price improvement the each executing broker has provided in the recent executed orders to determine an expected price improvement for the current order, determining an expected execution speed cost for the current order based on a projected time required to execute the current order in the security by the each executing broker and a current rate of change in the unit price of the security during the projected time, and determining, using a computer processor, the total expected execution cost in currency per unit for the current order based on the quoted unit price, the current execution costs, the expected price improvement, and the expected execution speed cost; and determining an executing broker having a lowest total expected execution cost.