Integrated order pre-matching system

摘要

The invention provides a method of operating a computer system for processing orders in a security trading system providing a reference market, and a corresponding computer system. A message that indicates a (private) quote is received. The quote includes quote parameters defining a buy limit order and a sell limit order. The quote parameters are stored. Then, an order is received and it is determined whether the order matches the quote. If so, the order is executed against the quote, otherwise order data is automatically generated and forwarded to the reference market for execution. The invention therefore provides an integrated internalization functionality in a security trading system leading to best execution of orders, to price-time priority consistency, order book consistency, full transparency and fairness.