Trading system with price improvement

Abstract

A computer trading system has price improvement features.

1 . (canceled) 
     
     
         2 . A method comprising:
 managing, by at least one processor, a stack of data in a memory coupled to the at least one processor, the stack of data representing a plurality of orders for a financial instrument, each order having a side, a price, and a timestamp;   maintaining, by the at least one processor, a trading priority in the stack of data in the memory such that at least some orders are traded against opposite-side orders based at least partially on a primary trading priority by price and a secondary trading priority by timestamp;   varying, by the at least one processor, a price of at least some of the orders that are designated as price-improvement orders over time until a contra-matching order is detected;   transmitting commands to graphical user interfaces of computing devices to prevent display indicia of price improvement used on a standard price level and indicia of other price improved orders; and   deleting, by the at least one processor, an order from the stack of data;   transmitting, by the at least one processor, the order removed from the stack to an electronic trading market; inserting, by the at least one processor, received neutral orders into the stack of data in the memory, wherein the received neutral orders are not subject to the trading priority; and varying, by the at least one processor, the price of the neutral orders in the stack.   
     
     
         3 . The method of  claim 2 , wherein the price improvement orders are either an offer to sell at a price lower that a lowest price offer to sell currently in the stack or a bid to buy at a price higher than a highest price bid to buy currently in the stack. 
     
     
         4 . The method of  claim 2 , further comprising: configuring, by the at least one processor, a standard price increment for prices of the plurality of orders in the stack and a price improvement protocol for improving prices in the stack. 
     
     
         5 . The method of  claim 4 , further comprising: configuring, by at least one processor, a size limit for a received neutral order based at least partially on a cumulative size of same-side order in the stack with a higher priority that the received neutral order, when the at least one processor inserts the received neutral order into the stack; and maintaining, by the at least one processor, a trading priority of the received neutral order in the stack against subsequently received orders that have a higher trading priority than the received neutral order; and in response to determining that the received neutral order has reached a position size limit, maintaining, by the at least one processor, the received neutral order at a current priority in the stack. 
     
     
         6 . The method of  claim 5 , further comprising: reducing, by the at least one processor, the position size limit of the received neutral order by a traded size of at least one higher priority order. 
     
     
         7 . The method of  claim 2 , further comprising: in response to removing a price-improvement order with a higher priority than a given neutral order and the given neutral order having reached a position size limit, moving a price-improvement order with a priority lower than that of the given neutral order to a position in the stack that is higher than the given neutral order. 
     
     
         8 . The method of  claim 7 , further comprising splitting, by the at least one processor, a given price improvement order into at least a first price improvement order and a second price improvement order; and setting, by the at least one processor, a priority of the first improvement order or the second improvement order higher that the neutral order. 
     
     
         9 . The method of  claim 2 , further comprising in response to removing an order with a higher priority than a given neutral order from the stack, reducing, by the at least one processor, a size limit of the given neutral order by a size of the remove order. 
     
     
         10 . The method of  claim 2 , preventing a total size of the orders with a higher priority than a given neutral order from exceeding a position size limit. 
     
     
         11 . An apparatus comprising:
 a memory;   at least one processor to:   manage a stack of data in the memory, the stack of data representing a plurality of orders for purchase and sale of a financial instrument, each order having a side, a price, and a timestamp maintain a trading priority in the stack of data in the memory such that at least some orders are traded against opposite-side orders based at least partially on a primary trading priority by price and a secondary trading priority by time stamp;   transmit commands to graphical user interfaces of remoted computing devices to prevent display of indicia regarding price improvement used on a standard price level and prevent indicia of other price improved orders; and,   vary a price of at least some of the orders that are designated at price-improvement orders over time until a contra-matching order is detected;   remove an order from the stack; transmit the order removed from the stack to an electronic trading market; insert received neutral orders into the stack of data in the memory, wherein the received neutral orders are not subject to the trading priority; and   vary the price of the neutral orders in the stack.   
     
     
         12 . The apparatus of  claim 11 , wherein price improvement orders are either an offer to sell at a price lower than a lowest price offer to sell currently in the stack or a bid to buy at a price higher than a highest price bid to buy currently in the stack. 
     
     
         13 . The apparatus of  claim 11 , wherein the at least one processor is further configured to generate a standard price increment for prices of the plurality of orders in the stack and a price improvement protocol for improving prices in the stack. 
     
     
         14 . The apparatus of  claim 13 , wherein the at least one processor is further configured to generate a size limit for a received neutral order based at least partially on a cumulative size of same-side orders in the stack with a higher priority than the received neutral order, when the at least one processor inserts the received neutral order into the stack; and maintain a trading priority of the received neutral order in the stack against subsequently received orders that have a higher trading priority than the received neutral order; and in response to determining that the received neutral order has reached a position size limit, maintain the receive neutral order at a current priority in the stack. 
     
     
         15 . The apparatus of  claim 14 , wherein the at least one processor is further configured to reduce the position size limit of the received neutral order by a traded size of at least one higher priority order. 
     
     
         16 . The apparatus of  claim 11 , wherein the at least one processor is further configured to move a price-improvement order with a priority lower than that of a given neutral order to a position in the stack that is higher than the given neutral order, in response to removing a price-improvement order with a higher priority than a given neutral order and the given neutral order having reached a position size limit. 
     
     
         17 . The apparatus of  claim 16 , wherein the at least one processor is further configure to: split a given price improvement order into at least a first price improvement order and a second price improvement order; and set a priority of the first price improvement order or the second price improvement order higher that the neutral order. 
     
     
         18 . The apparatus of  claim 11 , wherein the at least one processor is further configured to reduce a size limit of a given neutral order by a size of the removed order, in response to removing an order with a higher priority than the given neutral order from the stack. 
     
     
         19 . The apparatus of  claim 11 , wherein the at least on processor is further configured to prevent a total size of the orders with a higher priority than a given neutral order from exceeding a position size limit.