Method and system for generating a dual quote
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United States of America Patent
Stats
-
N/A
Issued Date -
Apr 22, 2004
app pub date -
Feb 19, 2003
filing date -
Oct 17, 2002
priority date (Note) -
Abandoned
status (Latency Note)
Importance
Abstract
An inside quote and a liquidity quote are generated for a security. The inside quote is a conventional best bid and best offer with associated size or number of shares at each price. The liquidity quote is priced outside the best bid and offer and includes the size or number of limit orders priced between the respective bid and offer prices of the inside quote and the liquidity quote. Firm trader or investor interest that is not reflected in limit orders is also included in the size of the liquidity quote. The firm interest may be anonymous. Updates to the liquidity quote occur on a less frequent basis than the inside quote. A bunching parameter helps to determine the liquidity quote update frequency.
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