Order routing system and method incorporating dark pools

An automated order routing system adapted to a route financial instrument order to a plurality of dark pools and an electronic communication network (ECN) or an exchange, the automated order routing system comprising:

• an input interface for placing the financial instrument order with the automated order routing system, the financial instrument order having a plurality of parameters including:
• an identification of a financial instrument;
• one of a bid price or an ask price;
• and
• an order number of units of the financial instrument to be traded by the financial instrument order;
• a ping order processor coupled to the input interface, the ping order processor adapted to determine a ping order of the dark pools based on historic information about each of the plurality of dark pools and the financial instrument;
• a dark pool router coupled to the ping order processor and the plurality of dark pools, the order router adapted to route the financial instrument order to the plurality of dark pools one at a time in the ping order as immediate or cancel (IOC) orders until the financial instrument order is flagged as completed or the ping order is flagged as completed;
• an IOC feedback processor coupled to the dark pool router and the plurality of dark pools, the IOC feedback processor adapted to:
• receive a response to the IOC order from a most recently pinged dark pool,
• reduce the order number of the financial instrument order by a filled number of units of the financial instrument traded with the pinged dark pool as a result of the IOC,
• flag the financial instrument order as completed, if the order number of the financial instrument order equals zero,
• remove the most recently pinged dark pool from the ping order, and
• flag the ping order as completed, if no dark pools remain in the ping order;
• and
• an order completion router coupled to the IOC feedback processor and the plurality of dark pools and the ECN or exchange, the order completion router adapted to route a remaining portion of the financial instrument order to one of the plurality of dark pools or to the ECN or exchange as a limit order, if the ping order is flagged as completed.

A method for routing a financial instrument order incorporating a plurality of dark pools, the financial instrument order having a plurality of parameters including an identification of a financial instrument, one of a bid price, or an ask price, and an order number of units of the financial instrument to be traded by the financial instrument order, the method comprising the steps of:

• a) placing the financial instrument order with an automated order router adapted to route financial instrument orders to the plurality of dark pools;
• b) determining a ping order of the dark pools in the plurality of dark pools;
• c) routing the financial instrument order to a top dark pool in the ping order as an immediate or cancel (IOC) order;
• d) reducing the order number of the financial instrument order by a filled number of units of the financial instrument traded with the top dark pool as a result of the IOC order routed in step (c);
• e) updating the ping order by removing the top dark pool from the ping order;
• f) if the financial instrument order is not complete and the updated ping order includes at least one dark pool, repeating steps (c), (d), (e), and (f).