Patent ID: 8140416

Claim:
A computer-implemented method for constructing an order book from displayed market data for a tradable asset, said method comprising steps of: at a computer, measuring an effective spread of the tradable asset from displayed market data; at a computer, measuring a mid-quote volatility of the tradable asset from displayed market data; at a computer, measuring additions between best bid and ask of the tradable asset from displayed market data; at a computer, measuring additions less cancellations of the tradable asset from displayed market data; at a computer, calculating a probability of a hidden order for the tradable asset as a function of the measured effective spread, the mid-quote volatility, additions between best bid and ask, and additions less cancellations; calculating a hidden order volume between the best bid and ask; calculating a hidden order price; and at a computer, constructing an order book for the tradable asset that includes displayed order volume and hidden order volume based on the results of said calculating steps.