Patent ID: 7490061

Claim:
A method of providing solutions for trading securities, the method comprising the steps of: receiving a level-two quote, the level-two quote comprising a symbol and at least one market participant quote, the market participant quote further comprising a quote price, a quote quantity, a quote Market Participant Identification (MPID), and a quote side; creating in computer memory a solution set comprising at least one solution record corresponding to each market participant quote in the level-two quote, the solution record comprising a solution symbol, a solution side, a solution MPID, a solution price, a solution quantity, and a solution latency, the solution latency comprising a latency for the market identified by the solution MPID, wherein creating a solution set further comprises the steps of: calculating the solution quantity for the solution record dependent upon the quote quantity and dependent upon a hidden quantity ratio for the market identified by the solution MPID, and recording the solution quantity in the solution record; and sending the solution set to at least one client.