Electronic Trading Auction With Orders Interpreted Using Future Information

• US 20150006349A1
• Filed: 06/28/2013
• Published: 01/01/2015
• Est. Priority Date: 06/28/2013
• Status: Abandoned Application

• Current Assignee: D E SHAW & Company LP
• Original Assignee: D E SHAW & Company LP
• Inventors: Eddy, Jonathan David, Barnet-Lamb, Thomas
• Application Number:
  US13/930,843
• Publication Number:
  US 20150006349A1
• Time in Patent Office: Days
• US Class Current: 705/37
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Abstract

Exemplary embodiments are related to processing electronic trading orders in an electronic trading exchange environment. Electronic trading orders can be accepted from auction participants'"'"' electronic devices in a first time period of an electronic auction. A random time delay can be applied in response to expiration of the first time period and the electronic trading orders can be randomly sorted to generate one or more order queues. The electronic trading orders can be matched based on a randomized sequence of electronic orders defined by such order queues. In exemplary embodiments, the electronic trading environment can accept parameterized orders having one or more unspecified parameters. The parameterized orders can be transformed into concrete orders after the parameterized orders are accepted using future information ascertained at some randomized time after the first time period has expired.

Claims

1. A method of implementing an electronic trading exchange comprising:

accepting electronic trading orders from auction participants'"'"' electronic devices in a first time period of an electronic auction;

applying a random time delay in response to expiration of the first time period;

executing code to randomly sort the electronic trading orders to generate one or more order queues; and

programmatically matching the electronic trading orders based on a randomized sequence of electronic orders defined by the one or more order queues.

2. The method of claim 1, wherein executing code to randomly sort the electronic trading orders comprises:

programmatically grouping the electronic trading orders for a price level based on participant identifiers associated with the electronic trading orders within the price level subsequent to an expiration of a second time period; and

executing code to randomly sort the groups electronic trading orders within the price level to generate a price level order queue.

3. The method of claim 2, wherein programmatically matching the electronic trading orders comprises programmatically matching orders based on the price level and a randomized sequence of electronic orders defined by the price level order queue.

4. The method of claim 1, wherein accepting electronic trading orders comprises accepting parameterized orders having one or more order parameters to be determined subsequent to acceptance and concrete orders having parameters specified prior to acceptance.

5. The method of claim 4, further comprising executing code to transform the parameterized orders into concrete orders.

6. The method of claim 5, wherein executing code to transform the parameterized orders into concrete orders is performed based on information ascertained after the expiration of the second time period.

7. The method of claim 5, wherein executing code to transform the parameterized orders into concrete orders is performed prior to executing code to randomly sort the groups of electronic trading orders.

8. The method of claim 7, further comprising executing a subsequent auction after the auction ends, wherein the subsequent auction applies a different random time delay.

9. A non-transitory computer-readable medium storing instruction executable by a processing device in an electronic trading exchange environment, wherein execution of the instructions by the processing device causes processing of electronic trading orders in the electronic trading exchange environment, the processing comprising:

accepting electronic trading orders from auction participants'"'"' electronic devices in a first time period of an electronic auction;

applying a random time delay in response to expiration of the first time period;

executing code to randomly sort the electronic trading orders to generate one or more order queues; and

programmatically matching the electronic trading orders based on a randomized sequence of electronic orders defined by the one or more order queues.

10. The medium of claim 9, wherein executing code to randomly sort the electronic trading orders comprises:

programmatically grouping the electronic trading orders for a price level based on participant identifiers associated with the electronic trading orders within the price level subsequent to an expiration of a second time period; and

executing code to randomly sort the groups of electronic trading orders within the price level to generate a price level order queue.

11. The medium of claim 10, wherein programmatically matching the electronic trading orders comprises programmatically matching the electronic trading orders based on the price level and a randomized sequence of electronic trading orders defined by the price level order queue.

12. The medium of claim 9, wherein accepting electronic orders comprises accepting parameterized orders having one or more order parameters to be determined subsequent to acceptance and concrete orders having parameters specified prior to acceptance.

13. The medium of claim 12, wherein execution of the instructions causes the processing device to transform the parameterized orders into concrete orders.

14. The medium of claim 13, wherein executing code to transform the parameterized orders into concrete orders is performed based on information ascertained after the expiration of the second time period.

15. The medium of claim 13, wherein executing code to transform the parameterized orders into concrete orders is performed prior to executing code to randomly sort the groups of electronic orders.

16. The medium of claim 9, wherein the second time period is defined by a random time delay applied in response to a termination of the first time period.

17. The medium of claim 16, wherein execution of the instructions causes the processing device to execute a subsequent auction after the auction ends, the subsequent auction applying a different random time delay.

18. A system of processing electronic trading orders in an electronic trading exchange environment comprising:

at least one storage device storing instructions for an order handling process; and

a processing device communicatively coupled to the at least one storage device, the processing device being programmed to execute the instructions to;

accept electronic trading orders from auction participants'"'"' electronic devices in a first time period of an electronic auction;

apply a random time delay in response to expiration of the first time period;

execute code to randomly sort the electronic trading orders to generate one or more order queues; and

match the electronic trading orders based on a randomized sequence of electronic orders defined by the one or more order queues.

19. The system of claim 18, wherein executing code to randomly sort the electronic trading orders comprises:

programmatically grouping the electronic trading orders for a price level based on participant identifiers associated with the electronic trading orders within the price level subsequent to an expiration of a second time period; and

executing code to randomly sort the groups electronic trading orders within the price level to generate a price level order queue.

20. The system of claim 19, wherein programmatically matching the electronic trading orders comprises programmatically matching the electronic trading orders based on the price level and a randomized sequence of electronic trading orders defined by the price level order queue.

21. The system of claim 18, wherein accepting electronic orders comprises accepting parameterized orders having one or more order parameters to be determined subsequent to acceptance and concrete orders having parameters specified prior to acceptance.

22. The system of claim 21, further comprising executing code to transform the parameterized orders into concrete orders.

23. The system of claim 22, wherein executing code to transform the parameterized orders into concrete orders is performed based on information ascertained after the expiration of the second time period.

24. The system of claim 22, wherein executing code to transform the parameterized orders into concrete orders is performed prior to executing code to randomly sort the groups of electronic orders.

25. The system of claim 24, further comprising executing a subsequent auction after the auction ends, the subsequent auction applying a different random time delay.