DIRECTED ORDER

摘要

A directed order process and related market center are disclosed, wherein a market center grants permission to order sending firms to send directed order flow to participating designated market makers. Such designated market makers create a virtual guarantee order book for each permissioned order sending firm. If an order sending firm sends a directed order to the market center that is marketable against a virtual guarantee order, then the market center automatically pairs the orders in a two-sided directed cross order instruction, which executes against any superior trading interest in the marketplace first before crossing.

主权项

1. A method for crossing a directed order, comprising:
providing a posting market center having an internal book and having a guarantee order book, wherein the guarantee order book is specified for a designated market maker to populate the guarantee order book with guarantee orders for a specific order sending firm that is permissioned to send directed orders to the designated market maker; receiving a plurality of guarantee orders on the posting market center from the designated market maker intended for a specific order sending firm; validating the received guarantee orders; populating the guarantee order book with the validated guarantee orders; receiving a directed order on the posting market center from an order sending firm directed to a specific designated market maker; determining if the order sending firm is permissioned to send directed orders to the specified market maker; where the order sending firm is permissioned to send directed orders to the specified market maker, retrieving the best contra side guarantee order from the plurality of guarantee orders on the guarantee order book; determining the marketability, including determining routing restrictions, of the directed order in relation to the retrieved best guarantee order; for marketable directed orders, setting the price at which the directed cross is to execute; determining the maximum size of a potential directed cross; generating a match instruction for the directed order that pairs the directed order with the retrieved guarantee order and includes parameters for the determined directed cross price and the determined maximum size of the potential directed cross; ranking the retrieved guarantee order in the internal book; presenting the received directed order to the internal book; retrieving the best contra side interest from the internal book; determining if the retrieved best contra side interest is the guarantee order paired with the directed order in the match instruction; wherein if the retrieved best contra side interest is the paired guarantee order, matching the received directed order with the paired guarantee order at the determined directed cross price and at the determined maximum size.