Auction for financially settled contracts

• US 20090132408A1
• Filed: 11/20/2007
• Published: 05/21/2009
• Est. Priority Date: 11/20/2007
• Status: Active Grant

• Current Assignee: DCC Energy Limited (DCC PLC)
• Original Assignee: DCC Energy Limited (DCC PLC)
• Inventors: Wilde, Dean L. II, Tate, Matthew R., Bulkeley, Mark A., Stevens, Andrew J.
• Granted Patent: US 7,676,424 B2
• Time in Patent Office: Days
• US Class Current: 705/37
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Abstract

Various embodiments show a system for conducting an auction for a plurality of financially settled contracts: The system may comprise at least one processor. The at least one processor may be programmed to receive a plurality of first participant bids from a first participant and a plurality of second participant bids from a second participant. The at least one processor may also be programmed to match a batch of bids to create a plurality of awarded bids. The contracts may include, for example, an oil contract, a coal contract, a natural gas contract, an electricity contract, a weather contract, a weather-related events contract, a commodities contract, location specific service contracts (e.g., passenger contract and/or freight contracts).

Claims

1. A computer system for conducting an auction for a plurality of financially settled contracts, the computer system adapted to execute the method comprising:

receiving with the system a plurality of first participant bids from a first participant;

receiving with the system a plurality of second participant bids from a second participant; and

matching with the system a batch of bids to create a plurality of awarded bids, wherein the batch of bids comprises the plurality of first participant bids and the plurality of second participant bids, wherein each bid of the batch of bids relates to at least a portion of the plurality of financially settled contracts, and wherein the matching comprises matching an outright bid with at least one leg of at least one non-outright bid.

2. The system of claim 1, wherein the plurality of awarded bids maximizes at least one auction variable selected from the group consisting of auction revenue and transaction volume.

3. The system of claim 1, wherein the system is further adapted to execute the steps of:

receiving with the system a first participant constraint;

generating with the system a preliminary awarded portfolio for the first participant, wherein the preliminary awarded portfolio comprises at least one awarded bid selected from the plurality of first participant bids; and

if the preliminary awarded portfolio does not meet the first participant constraint, discard a portion of the plurality of first participant bids.

4. The system of claim 3, wherein the portion of the plurality of bids is selected considering at least one factor selected from the group consisting of a bid priority received from the first participant;

and the first participant'"'"'s economic surplus.

5. The system of claim 3, wherein the first participant constraint is at least one constraint selected from the group consisting of a trade limit and a collateral limit.

6. The system of claim 1, wherein the plurality of awarded bids comprises an equal volume of long bids and short bids for each of the plurality of financially settled contracts with at least one set of awarded bids.

7. The system of claim 1, wherein matching the batch of bids comprises maximizing:

$\underset{n}{\sum <br><br>}<br><br>\underset{b}{\sum <br><br>}<br><br><br><br>{\mathrm{AwardP}}_{n,b}\times <br><br>{\mathrm{AwardQ}}_{n,b}<br><br>.$

8. The system of claim 7, wherein the maximizing comprises maximizing according to the constraint that

$\sum _{}$

b 

AwardQ n , b = 0.

9. The system of claim 7, wherein the maximizing comprises maximizing according to the constraints that:

0≦

AwardQ_n,b≦

BidQ_n,b;

0≧

AwardQ_n,b≧

Bid_n,b;

AwardP_n,b≦

BidP_n,b; and

AwardTP_b≦

BidTP_b.

10. The system of claim 1, wherein the system is further adapted to derive a price for all of the plurality of financially settled contracts.

11. The system of claim 1, wherein the system is further adapted to execute the step of deriving a price for a contract selected from the plurality of financially settled contracts, wherein the contract has no awarded bids in the plurality of awarded bids.

12. The method of claim 11, wherein deriving the price comprises setting the price to a mid-point between a lowest short bid and a highest long bid for the contract selected from the batch of bids.

13. The system of claim 11, wherein deriving the price comprises modifying a price for the contract from a previous auction by an amount proportional to a price change of a second contract correlated to the first contract.

14. The system of claim 1, wherein the system is further adapted to publish at least a portion of un-awarded bids from the batch of bids to at least one broker.

15. The system of claim 1, wherein the matching comprises resolving at least one degenerate solution selected from the group consisting of a degenerate price solution and a degenerate volume solution.

16. The system of claim 1, wherein the plurality of financially settled contracts each settle on the price of a commodity type at a location over a settlement period.

17. The system of claim 1, wherein the plurality of contracts comprises at least one contract selected from the group consisting of an electricity contract, a congestion contract and a loss contract.

18. The system of claim 1, wherein the at least one non-outright bid comprises a non-outright bid comprising a first leg and a second leg, and wherein the first leg and the second leg relate to underlying contracts settling on the price of different underlying values at different locations over different settlement periods.

19. The system of claim 1, wherein the batch of bids comprises at least one bid type selected from the group consisting of:

a spread bid, a strip bid, a spread of spreads bid, a single period bid, a multi-period bid, a non-contiguous multi-period bid, a proportional bid, a multi-class bid, a multi-period/multi-class bid, a locational bid, a temporal bid, a locational/temporal bid.

20. The system of claim 1, wherein the plurality of financially settled contracts comprises at least one contract selected from the group consisting of an oil contract, a coal contract, a natural gas contract, an electricity contract, a weather contract, a weather-related events contract, a commodities contract, a passenger contract;

and a freight contract.

21. The system of claim 1, wherein the matching further comprises matching at least one bid with a synthetic equivalent.

22. A method for conducting an auction for a plurality of financially settled contracts, the method comprising:

receiving, with a programmable device, a plurality of first participant bids from a first participant;

receiving, with the programmable device, a plurality of second participant bids from a second participant; and

matching a batch of bids with the programmable device to create a plurality of awarded bids, wherein the batch of bids comprises the plurality of first participant bids and the plurality of second participant bids, wherein each bid of the batch of bids relates to at least a portion of the plurality of financially settled contracts, and wherein the matching comprises matching an outright bid with at least one leg of at least one non-outright bid.

23. A programmable apparatus with a trade platform for conducting an auction for a plurality of financially settled contracts, the trade platform comprising:

a programmable apparatus with an auction engine configured to generate awarded bids by matching bids selected from a batch of bids received from a plurality of participants, wherein each bid of the batch of bids relates to at least a portion of the plurality of financially settled contracts, and wherein the matching comprises matching an outright bid selected from the batch of bids with at least one leg of at least one non-outright bid selected from the batch of bids.

24. The trade platform of claim 23, wherein the plurality of financially settled contracts comprises at least one contract selected from the group consisting of an oil contract, a coal contract, a natural gas contract, an electricity contract, a weather contract, a weather-related events contract, a commodities contract, a passenger contract;

and a freight contract.

25. The trade platform of claim 23, further comprising a trade capture system, wherein the trade capture system is configured to:

receive matched bids from a broker;

verify that the broker is authorized to transact on the trade platform; and

verify that completing a transaction for the matched bids would not violate a constraint of participants making the matched bids.

26. The trade platform of claim 23, wherein the auction engine is also configured to send a portion of the batch of bids that are unmatched to at least one broker.

28. The trade platform of claim 23, wherein the awarded bids comprise an equal volume of long bids and short bids for each of the plurality of financially settled contracts with at least one set of awarded bids.

29. The trade platform of claim 23, wherein the awarded bids maximize at least one auction variable selected from the group consisting of auction revenue and transaction volume.

30. The trade platform of claim 23, wherein the batch of bids comprises at least one bid selected from the group consisting of:

a spread bid, a strip bid, a spread of spreads bid, a single period bid, a multi-period bid, a non-contiguous multi-period bid, a proportional bid, a multi-class bid, a multi-period/multi-class bid, a locational bid, a temporal bid, a locational/temporal bid.

27. The trade platform of 23, further comprising:

a participant interface for receiving bids from at least a portion of the plurality of participants and forwarding the bids to the auction engine; and

a clearing interface for sending awarded bids to a clearing corporation and for receiving participant constraints from the clearing corporation.

31. A computer system for conducting an auction for a plurality of financially settled forward electricity contracts corresponding to a first spot market, the computer system adapted to executed the method comprising:

receiving with the system a plurality of first participant bids from a first participant;

receiving with the system a plurality of second participant bids from a second participant; and

matching with the system a batch of bids to create a plurality of awarded bids, wherein the batch of bids comprises the plurality of first participant bids and the plurality of second participant bids, wherein each bid of the batch of bids relates to at least a portion of the plurality of financially settled contracts, wherein the matching comprises matching an outright bid with at least one leg of at least one non-outright bid, and wherein the plurality of financially settled forward electricity contracts comprises a plurality of nodal contracts.

32. The system of claim 31, wherein the plurality of nodal contracts each settle on a price of electricity at a node over a settlement period.

33. The system of claim 31, wherein the at least one non-outright bid comprises a non-outright bid comprising a first leg and a second leg, and wherein the first leg and the second leg relate to underlying contracts settling at different nodes and over different settlement periods.

34. The system of claim 31, wherein the plurality of financially settled forward electricity contracts comprises contracts that settle at substantially all of the nodes of the spot market.

35. The system of claim 31, wherein the plurality of awarded bids maximizes at least one auction variable selected from the group consisting of auction revenue and transaction volume.

36. The system of claim 31, wherein the plurality of financially settled forward electricity contracts comprises at least one hundred thousand contracts.

37. The system of claim 31, wherein the batch of bids comprises at least one bid selected from the group consisting of:

a spread bid, a strip bid, a spread of spreads bid, a single period bid, a multi-period bid, a non-contiguous multi-period bid, a proportional bid, a multi-class bid, a multi-period/multi-class bid, a locational bid, a temporal bid, a locational/temporal bid.

38. The system of claim 31, wherein the plurality of financially settled forward electricity contracts comprise at least one price contract and at least one congestion contract.

39. The system of claim 31, wherein the plurality of financially settled forward electricity contracts comprise at least one loss contract.

40. The system of claim 31, wherein the matching further comprises matching at least one bid with a synthetic equivalent.

41. A method using a programmable device for conducting an auction for a plurality of financially settled forward electricity contracts corresponding to a first spot market, the method comprising:

receiving, with a programmable device, a plurality of first participant bids from a first participant;

receiving, with the programmable device, a plurality of second participant bids from a second participant; and

matching a batch of bids with the programmable device to create a plurality of awarded bids, wherein the batch of bids comprises the plurality of first participant bids and the plurality of second participant bids, wherein each bid of the batch of bids relates to at least a portion of the plurality of financially settled contracts, wherein the matching comprises matching an outright bid with at least one leg of at least one non-outright bid, and wherein the plurality of financially settled forward electricity contracts comprises a plurality of nodal contracts.

42. A programmable apparatus with a trade platform for conducting an auction for a plurality of financially settled forward electricity contracts corresponding to a first spot market, the trade platform comprising:

a programmable apparatus with an auction engine configured to generate awarded bids by matching bids selected from a batch of bids received from a plurality of participants, wherein each bid selected from the batch of bids relates to at least a portion of the plurality of financially settled contracts, wherein the matching comprises matching an outright bid selected from the batch of bids with at least one leg of at least one non-outright bid selected from the batch of bids, and wherein the plurality of financially settled forward electricity contracts comprises a plurality of nodal contracts.

43. The trade platform of claim 42, further comprising a trade capture system, wherein the trade capture system is configured to:

receive matched bids from a broker;

verify that the broker is authorized to transact on the trade platform; and

verify that completing a transaction for the matched bids would not violate a constraint of participants making the matched bids.

44. The trade platform of claim 42, wherein the auction engine is also configured to send a portion of the batch of bids that are unmatched to at least one broker.

46. The trade platform of claim 42, wherein the awarded bids comprise an equal volume of long bids and short bids for each of the plurality of financially settled contracts with at least one set of awarded bids.

47. The trade platform of claim 42, wherein the awarded bids maximize at least one auction variable selected from the group consisting of auction revenue and transaction volume.

48. The trade platform of claim 42, wherein the batch of bids comprises at least one bid selected from the group consisting of:

a spread bid, a strip bid,, a spread of spreads bid, a single period bid, a multi-period bid, a non-contiguous multi-period bid, a proportional bid, a multi-class bid, a multi-period/multi-class bid, a locational bid, a temporal bid, a locational/temporal bid.

49. The trade platform of claim 42, wherein the batch of bids comprises at least two bids that differ across a class dimension, a locational dimension and a settlement period dimension.

50. The trade platform of claim 42, wherein the plurality of financially settled forward electricity contracts comprises contracts that settle at substantially all of the nodes of the spot market.

45. The trade platform of 42, further comprising:

a participant interface for receiving bids from at least a portion of the plurality of participants and forwarding the bids to the auction engine; and

a clearing interface for sending match bids to a clearing corporation and for receiving participant constraints from the clearing corporation.