Crossing network utilizing optimal mutual satisfaction density profile

Claim 1

A crossing network that matches orders for a plurality of instruments based upon a satisfaction and size profile, the crossing network comprising: a plurality of trader terminals for entering an order for an instrument in the form of a satisfaction density profile that represents a degree of satisfaction to trade the instrument at a plurality of (price, quantity) combinations, each satisfaction density profile representing either a buy order or a sell order for the instrument; and a matching controller computer coupled to each one of the plurality of trader terminals over a communications network and receiving as input each satisfaction density profile entered at each one of the plurality of trading terminals, the matching controller computer comprising means for pairing each satisfaction density profile representing a buy order with each satisfaction density profile representing a sell order, means for calculating for each satisfaction density profile pair a mutual satisfaction function, each mutual satisfaction function including a plurality of (price, quantity) combinations representing a degree of mutual satisfaction for trading said quantity at said price, means for ranking according to the degree of mutual satisfaction every (price, quantity) combination of every mutual satisfaction function, and means for matching, in accordance with the ranking, buy orders with sell orders.