| CPC G06Q 40/06 (2013.01) | 30 Claims |
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1. A computer implemented method for filling a customer order by coordinated automated processing of an associated first algo order and counterpart first strategy order pair, the customer order having a security, side, limit price, and quantity of shares, the first algo order and first strategy order each specifying the security, side and limit price of the customer order, the first strategy order further having a respective strategy, the method implemented by a computerized algo system and a computerized strategy matching venue, the algo system and strategy matching venue in communication with a network, the method comprising the steps of:
in the strategy matching venue:
receiving a message with the first strategy order;
matching the first strategy order to a first contra strategy order stored in a computer memory of the strategy matching venue, the first contra strategy order having a respective strategy compatible with the strategy of the first strategy order, the match having an initial status of unbroken;
sending a STREAM ON message to the algo system indicating that the first strategy order is in a match;
generating a plurality of discrete fills between the first strategy order and the first contra strategy order while the match remains unbroken;
breaking the match in response to a determination that either of the first strategy order or the first contra strategy order has been one of filled and become unmarketable; and
in response to breaking the match sending a STREAM OFF message to the algo system indicating the match for the first strategy order has been broken;
in the algo system:
intermittently generating sub-orders from the first algo order in accordance with a target rate, each sub-order having a respective sub-order quantity;
sending the generated sub-orders to an electronic point-in-time (PIT) trading venue;
receiving PIT execution messages from the PIT trading venue, each PIT execution message corresponding to a respective sub-order and indicating a fill amount for the respective sub-order;
in response to receipt of the STREAM ON message, altering in a first manner the intermittent generation of the sub-orders; and
in response to receipt of the STREAM OFF message, altering in a second manner the intermittent generation of the sub-orders;
wherein the customer order is filled when a total amount of completed fills for the first algo order and a total amount of completed fill for the first strategy order equals the quantity of the customer order.
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