Price improvement crossing system
View Patent ↗A method provided for matching a buy order having a buy order price and a sell order having a sell order price that includes the step of determining if the buy order price is not less than the sell order price. Next, an NBBO price range is identified and it is determined whether the buy order price and the sell order price are within the NBBO range. A midpoint between the buy order price and the sell order price is then calculated. Finally, the buy order and the sell order is matched at the midpoint if the buy order price is not less than the sell order price and the buy order price and the sell order price are within the NBBO range.
1. A computer-implemented method for matching a buy order having a buy order price and a sell order having a sell order price with a system comprising one or more computer processors, said method comprising the steps of:
identifying with one of said computer processors a national best bid and offer (NBBO) price range, said NBBO price range having a best offer price and a best bid price;
determining with one of said computer processors if said buy order price and said sell order price are within said NBBO price range;
determining with one of said computer processors if said buy order price is not less than said sell order price;
calculating with one of said computer processors a midpoint between said buy order price and said sell order price; and
only matching with one of said computer processors said buy order and said sell order at said midpoint if said buy order price is not less than said sell order price and said buy order price and said sell order price are within said NBBO price range.
2. A computer-implemented system for matching a buy order having a buy order price and a sell order having a sell order price, comprising:
at least one computer processor programmed to:
identify a national best bid and offer (NBBO) price range, said NBBO price range having a best offer price and a best bid price;
determine if said buy order price and said sell order price are within said NBBO price range;
determine if said buy order price is not less than said sell order price;
calculate a midpoint between said buy order price and said sell order price; and
only match said buy order and said sell order at said midpoint if said buy order price is not less than said sell order price and said buy order price and said sell order price are within said NBBO price range.