Patent ID: 8645259

Claim:
A system for estimating a probability of executing a limit price order of at least one security at an execution price, comprising: one or more computer processors configured to receive input identifying the security and the execution price; said one or more computer processors configured to receive and process data regarding historical market prices of the security; said one or more computer processors configured to calculate the probability of executing the limit price order of the security at the execution price within a time period; and an electronic display component, in communication with said one or more computer processors, configured to display the probability of executing the limit price order within the time period, wherein the probability of executing the limit price order is estimated by using at least one probability function, wherein the probability function is a normal distribution function P e ⁡ ( t ) = erfc ⁡ ( ( x l - x m ) · Δ ⁢ ⁢ t 2 ⁢ t · σ s ) ; a covariance corrected normal distribution function P e ⁡ ( t ) = erfc ⁡ ( ( x l - x m ) · Δ ⁢ ⁢ t 2 ⁢ t · ( σ s + 2 ⁢ ζ ) ) ; or a variance corrected normal distribution function P e ⁡ ( t ) = ∑ k ⁢ α k · erfc ⁡ ( ( x l - x m ) 2 ⁢ t · σ k ⁡ ( t ) ) .