Method and apparatus for enhancing market data feed using proprietary order flow
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United States of America Patent
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Oct 23, 2012
Grant Date -
N/A
app pub date -
Jan 22, 2009
filing date -
Feb 22, 2008
priority date (Note) -
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Abstract
Order flow information is used to provide traders with an enhanced market data feed. The external market data are overlaid with detailed internal customer order flow data to produce an enhanced virtual order book that more accurately reflects the best price and quantity available to traders at the receiving location and also the market liquidity behind that current best price. If a market impact overlay processor at a particular location closer to the exchange has access to customer order flow data from other more remote locations, the resultant enhanced virtual order book may not only be shared with traders at the closer location but also may be broadcast to market impact overlay processors at the remote locations, which may further enhance the shared data with more recent customer order flow data that would have not been received at the closer location at the time the enhanced data was broadcast.
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