Electronic Trading Auction with Randomized Acceptance Phase and Order Execution

• US 20150006350A1
• 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 & Co., L.P. (d/b/a D.E. Shaw Group)
• Inventors: Prasad, Anoop, Engelman, Joshua Edward
• Application Number:
  US13/930,885
• Publication Number:
  US 20150006350A1
• 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 instructions in an electronic trading exchange environment. Electronic trading instructions can be accepted from auction participants'"'"' electronic devices in a first phase of an electronic auction, which can be terminated after expiration of a random time period. The electronic trading instructions accepted during the first phase can be randomly sorted to generate an order queue and the electronic trading instructions can be matched based on a randomized sequence of electronic orders defined by the order queue.

Claims

1. A method of processing electronic trading instructions in an electronic trading exchange environment comprising:

accepting electronic trading instructions from auction participants'"'"' electronic devices in a first phase of an electronic auction;

programmatically terminating the first phase after expiration of a random time period;

executing code to randomly sort the electronic trading instructions to generate an order queue; and

programmatically matching the electronic trading instructions based on a randomized sequence of electronic orders defined by the order queue.

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

grouping the electronic trading instructions accepted during the first phase to generate groups of electronic trading instructions based on participant identifiers associated with the electronic trading instructions; and

executing code to randomly sort the groups of electronic trading instructions to generate a random ordering of the groups of electronic trading instructions.

3. The method of claim 1, wherein the random time period is not disclosed to auction participants.

4. The method of claim 1, further comprising restricting an accepted quantity of the electronic trading instructions from each auction participant to a specified quantity of electronic trading instructions.

5. The method of claim 1, further comprising:

monitoring a quantity of electronic trading instructions submitted by an auction participant based on participant identifiers associated with the electronic trading instructions;

comparing the quantity of electronic trading instructions submitted by the auction participant to a specified value; and

rejecting electronic trading instructions from the auction participant in response to the quantity exceeding the specified value.

6. The method of claim 1, further comprising executing a subsequent auction after the auction ends, wherein the subsequent auction applies a different random time period, the expiration of which determines when the first phase of the subsequent auction is terminated.

7. The method of claim 6, wherein at least one of the electronic trading instructions that is not matched in the auction is entered into the subsequent auction automatically.

8. The method of claim 1, wherein at least one of the electronic trading instructions that is not matched in the auction is automatically canceled.

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 instructions in the electronic trading exchange environment, the processing comprising:

accepting electronic trading instructions from auction participants'"'"' electronic devices in a first phase of an electronic auction;

programmatically terminating the first phase after expiration of a random time period;

executing code to randomly sort the electronic trading instructions to generate an order queue; and

programmatically matching the electronic trading instructions based on a randomized sequence of electronic orders defined by the order queue.

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

execution of code to group the electronic trading instructions accepted during the first phase to generate groups of electronic trading instructions based on participant identifiers associated with the electronic trading instructions; and

execution of code to randomly sort the groups electronic trading instructions to generate a random ordering of the groups electronic trading instructions.

11. The medium of claim 9, wherein the random time period is not disclosed to auction participants.

12. The medium of claim 9, wherein execution of the instructions causes the processing device to restrict an accepted quantity of the electronic trading instructions from each auction participant to a specified quantity of electronic trading instructions.

13. The medium of claim 9, wherein execution of the instructions causes the processing device to:

monitor a quantity of electronic trading instructions submitted by an auction participant based on participant identifiers associated with the electronic trading instructions;

compare the quantity of electronic trading instructions submitted by the auction participant to a specified value; and

reject electronic trading instructions from the auction participant in response to the quantity exceeding the specified value.

14. The medium of claim 9, 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 period, the expiration of which determines when the first phase of the subsequent auction is terminated.

15. The medium of claim 14, wherein at least one of the electronic trading instructions that is not matched in the auction is entered into the subsequent auction automatically.

16. The medium of claim 9, wherein at least one of the electronic trading instructions that is not matched in the auction is automatically canceled.

17. A system of processing electronic trading instructions in an electronic trading exchange environment comprising:

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

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 instructions from auction participant electronic devices in a first phase of an electronic auction;

terminate the first phase after expiration of a random time period;

randomly sort the electronic trading instructions to generate an order queue; and

match the electronic trading instructions based on a randomized sequence of electronic orders defined by the order queue.

18. The system of claim 17, wherein the processing device is programmed to execute the instructions to randomly sort the electronic trading instructions by:

grouping the electronic trading instructions accepted during the first phase to generate groups of electronic trading instructions based on participant identifiers associated with the electronic trading instructions; and

executing code to randomly sort the groups electronic trading instructions to generate a random ordering of the groups electronic trading instructions.

19. The system of claim 17, wherein the random time period is not disclosed to auction participants.

20. The system of claim 17, wherein the processing device is programmed to execute the instructions to restrict an accepted quantity of the electronic trading instructions from each auction participant to a specified quantity of electronic trading instructions.

21. The system of claim 17, wherein the processing device is programmed to execute the instructions to:

monitor a quantity of electronic trading instructions submitted by an auction participant based on participant identifiers associated with the electronic trading instructions;

compare the quantity of electronic trading instructions submitted by the auction participant to a specified value; and

reject electronic trading instructions from the auction participant in response to the quantity exceeding the specified value.

22. The system of claim 17, wherein the processing device is programmed to execute the instructions to execute a subsequent auction after the auction ends, the subsequent auction applying a different random time period, the expiration of which determines when the first phase of the subsequent auction is terminated.

23. The system of claim 22, wherein at least one of the electronic trading instructions that is not matched in the auction is entered into the subsequent auction automatically.

24. The system of claim 17, wherein at least one of the electronic trading instructions that is not matched in the auction is automatically canceled.