Dynamic aggressive/passive pegged trading

A computer-implemented method of trading a security, comprising the steps of:

• receiving from a customer an order to trade a specified number of shares of a specified security with a price pegged to a current quote for said security;
• forming an initial order to trade said security, said initial order having a peg order price being correlated to a current quote for said security, and calculating a size of said initial order based on historical trading data for said security;
• sending said initial order to a trading medium where shares of said security are traded;
• while an order remains open, periodically checking at a predetermined time interval said current quote to determine whether said peg order price needs to be adjusted;
• upon determination of a need for adjustment, calculating a new peg order price correlated to a current quote for said security;
• and
• sending an adjusted order to said trading medium to replace said open order.

A computer-implemented method of trading a security, comprising the steps of:

• receiving from a customer an order to trade a specified number of shares of a specified security;
• calculating a discretion range for said specified security based on historical trading data for said specified security;
• determining whether the spread between current bid and ask quotes for said specified security is less than or equal to said calculated discretion range;
• and
• sending to a trading medium an order for said specified security at a marketable price when it is determined that said spread is less than or equal to said calculated discretion range.

A computer-implemented method of trading a security, comprising the steps of:

• receiving from a customer an order to trade a specified number of shares of a specified security;
• forming an initial order to trade said security, said initial order having a peg order price being correlated to a current quote for said security;
• sending said initial order to a trading medium where shares of said security are traded;
• while an order remains open, periodically checking at a predetermined time interval said current quote to determine whether said peg order price needs to be adjusted, said predetermined time interval being varied according to a randomization process;
• upon determination of a need for adjustment, calculating a new peg order price correlated to a current quote for said security, said new peg order price being modified from said current quote according to predetermined trading criteria for said security;
• sending an adjusted order to said trading medium to replace said open order;
• calculating a discretion range for said specified security based on historical trading data for said specified security;
• determining whether the spread between current bid and ask quotes for said specified security is less than or equal to said calculated discretion range;
• and
• sending to a trading medium an order for said specified security having at a marketable price when it is determined that said spread is less than or equal to said calculated discretion range.

A computer-implemented method of executing a plurality of orders to trade specified securities within a specified time horizon, comprising the steps of

• receiving from a customer over a communication medium a plurality of client orders, each client order specifying a security to be traded, a quantity of shares of said security to be traded, a trade side, and a time horizon within which said orders are to be completed;
• sending to a trading medium orders having prices pegged to a current quote for each said security and sizes determined in accordance with historical trading data for each said security, said orders being corrected in accordance with market activity for said specified securities at randomized intervals;
• calculating for each of said securities a discretion range based on historical trading data for each said security and as a function of the ratio of order completion with respect to said specified time horizon;
• and
• sending to said trading medium marketable orders for certain of said specified securities when a current spread between bid and ask quotes for said certain securities is less than or equal to said calculated discretion range.

A computer-implemented method of trading a security, comprising the steps of:

• receiving from a customer an order to trade a specified number of shares of a specified security;
• calculating a discretion price for said specified security based on historical trading data for said specified security;
• determining whether the current ask quote for said specified security is less than or equal to said calculated discretion price;
• and
• sending to a trading medium an order for said specified security at a marketable price when it is determined that said current ask quote is less than or equal to said calculated discretion price.