| US 7,587,347 B2 | ||
| Computer implemented and/or assisted methods and systems for detecting, tracking and responding to toxic, or likely toxic, orders in an equities order flow using toxicity and/or profit analyzers | ||
| Kenneth C. Griffin, Chicago, Ill. (US); and Matthew Andresen, Chicago, Ill. (US) | ||
| Assigned to Citadel Investment Group, L.L.C., Chicago, Ill. (US) | ||
| Filed on Nov. 30, 2004, as Appl. No. 10/999,571. | ||
| Claims priority of provisional application 60/619997, filed on Oct. 19, 2004. | ||
| Prior Publication US 2006/0085312 A1, Apr. 20, 2006 | ||
| Int. Cl. G06Q 40/00 (2006.01) | ||
| U.S. Cl. 705—35 [705/37; 705/1; 705/36] | 63 Claims |
| 1. A method of executing an equity order by a computer trading system comprising a sequential, sequence independent or non-sequential
steps of:
electronically receiving an order by a broker-dealer system including order characteristics;
determining at least one toxicity quotient responsive to the order characteristics, the toxicity quotient defining when the
order, if executed, comprises one of no profit, reduced profit or a loss when a wholesaler or a market maker provides market
liquidity;
analyzing the order to determine eligibility for execution using the at least one toxicity quotient; and
determining whether the order is eligible for execution; and
electronically transmitting the order by the broker-dealer system to the computer trading system for execution responsive
to the eligibility for execution as determined by the analyzing the order using the at least one toxicity quotient.
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