System and method for managing and trading auction limit orders in a hybrid auction market
First Claim
1. A method for handling securities orders in an auction market comprising:
- receiving a first buy order with a limit price that is above a published best offer;
representing the first buy order in the auction market;
determining whether the first buy order is immediately executed; and
if the first buy order is not immediately executed, quoting the first buy order at a minimum variation better than a published best bid, whereby the price of the quoted first buy order becomes the published best bid.
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Accused Products
Abstract
A buy order is received with a limit price that is above a published best offer, and represented in the auction market. If the buy order is not immediately executed, it is quoted at a minimum variation better than a published best bid, and the price of the quoted buy order becomes the published best bid. Alternatively, a sell order is received with a limit price that is below a published best bid, and represented in the auction market. If the sell order is not immediately executed, it is quoted at a minimum variation better than a published best offer, and the price of the quoted sell order becomes the published best offer.
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Citations
17 Claims
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1. A method for handling securities orders in an auction market comprising:
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receiving a first buy order with a limit price that is above a published best offer;
representing the first buy order in the auction market;
determining whether the first buy order is immediately executed; and
if the first buy order is not immediately executed, quoting the first buy order at a minimum variation better than a published best bid, whereby the price of the quoted first buy order becomes the published best bid. - View Dependent Claims (2, 3, 4, 5)
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6. A method for handling securities orders in an auction market comprising:
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receiving a first sell order with a limit price that is below a published best bid;
representing the first sell order in the auction market;
determining whether the first sell order is immediately executed; and
if the first sell order is not immediately executed, quoting the first sell order at a minimum variation better than a published best offer, whereby the price of the quoted first sell order becomes the published best offer. - View Dependent Claims (7, 8, 9, 10)
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11. A method for trading a security in an auction market comprising:
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receiving a buy order with a limit price that is above a published best offer;
receiving a sell order with a limit price that is below a published best bid;
determining a midpoint price of the best bid and best offer; and
executing the buy order and the sell order at the midpoint price, whereby the buy order and the sell order both receive price improvement. - View Dependent Claims (12, 13, 14)
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15. A system for handling securities orders in an auction market comprising:
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means for receiving a first buy order with a limit price that is above a published best offer;
means for representing the first buy order in the auction market;
means for determining whether the first buy order is immediately executed; and
if the first buy order is not immediately executed, means for quoting the first buy order at a minimum variation better than a published best bid, whereby the price of the quoted first buy order becomes the published best bid.
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16. A computer-readable medium having computer executable software code stored thereon, the code for handling securities orders in an auction market the code comprising:
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code to receive a first buy order with a limit price that is above a published best offer;
code to represent the first buy order in the auction market;
code to determine whether the first buy order is immediately executed; and
if the first buy order is not immediately executed, code to quote the first buy order at a minimum variation better than a published best bid, whereby the price of the quoted first buy order becomes the published best bid.
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17. A programmed computer for handling securities orders in an auction market comprising:
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a memory having at least one region for storing computer executable program code; and
a processor for executing the program code stored in the memory;
wherein the program code comprises;
code to receive a first buy order with a limit price that is above a published best offer;
code to represent the first buy order in the auction market;
code to determine whether the first buy order is immediately executed; and
if the first buy order is not immediately executed, code to quote the first buy order at a minimum variation better than a published best bid, whereby the price of the quoted first buy order becomes the published best bid.
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Specification