METHOD AND SYSTEM FOR PROVIDING AN AUTOMATED AUCTION FOR INTERNALIZATION AND COMPLEX ORDERS IN A HYBRID TRADING SYSTEM
2 Assignments
0 Petitions
Accused Products
Abstract
A method of providing an automated auction for internalization for the purchase or sale of securities or derivatives in an exchange is disclosed. The method may include receiving an order at an electronic trade engine, disseminating a request for price message to at least one user in response to receiving the order, receiving a one-sided response message representative of a participant-type in response to the request for price message, selecting an allocation algorithm from a plurality of allocation algorithms, initiating the selected allocation algorithm and allocating the order according to the participant-type upon termination of the selected auction. The system may include an electronic trading engine configured to disseminate an auction message in response to an order, a database of allocation algorithms, and a trade processor for initiating an auction according the one of the allocation algorithms and terminating the auction upon defined early termination events.
5 Citations
43 Claims
-
1-14. -14. (canceled)
-
15. A method of auctioning complex orders for the purchase or sale of securities or derivatives in an exchange configured for trading securities or derivatives by a combination of electronic and open-outcry trading mechanisms, the method comprising:
-
receiving a complex order at an electronic trade engine; adding a top-of-the-spread market to the complex order; verifying the complex order qualifies for auction; disseminating a request for price message from the electronic trade engine to at least one user; receiving a two-sided response message comprising a participant-type at the electronic trade engine from the at least one user in response to the request for price message; selecting a starting price for the auction, the starting price equal to a better of an exchange market spread, a customer limit price or a limit price on any resting spread order; initiating the auction substantially instantaneously upon receipt of the two-sided response message, wherein the auction occurs for a period between M and N seconds; and allocating the complex order based on participant-type priority. - View Dependent Claims (16)
-
-
17. A method for providing an automated auction for the purchase or sale of securities or derivatives in an exchange configured for trading securities or derivatives, the method comprising:
-
receiving an order at an electronic trade engine; disseminating an auction message to all market makers quoting a class in response to receiving the order; initiating an auction for the order when a size from a market maker is sufficient to fulfill a firm quote obligation; prohibiting the market maker quoters in a series from moving quotes on a side being auctioned; and wherein the auction terminates prior to an auction expiration upon an occurrence of an early termination event. - View Dependent Claims (18, 19, 20, 21)
-
-
22. A method of providing an automated auction for complex orders for the purchase or sale of securities or derivatives in an exchange configured for trading securities or derivatives, the method comprising:
-
receiving an order at an electronic trade engine; disseminating a request for price message from the electronic trade engine to at least one user in response to receiving the order; receiving a two-sided response message comprising a participant-type at the electronic trade engine in response to the request for price message from the at least one user; selecting an allocation algorithm from a plurality of allocation algorithms, each allocation algorithm representative of an auction-type and having at least one starting price associated therewith; initiating the selected allocation algorithm, wherein the auction occurs for a period between M and N seconds; and allocating the order according to the participant-type upon termination of the auction. - View Dependent Claims (23, 24, 25, 26, 27, 28, 29, 30, 32, 33, 34, 35)
-
-
31. (canceled)
-
36-41. -41. (canceled)
-
42. A method of auctioning complex orders for the purchase or sale of securities or derivatives in an exchange configured for trading securities or derivatives by a combination of electronic and open-outcry trading mechanisms, the method comprising:
-
receiving a complex order at an automated electronic order routing system of an exchange, the complex order including more than one series of options or at least one series of options coupled with another security; the automated electronic order routing system routing the complex order to an electronic trade engine if the complex order satisfies routing parameters associated with the complex order; and the automated electronic order routing system routing the complex order for manual handling if the complex order does not satisfy routing parameters associated with the complex order. - View Dependent Claims (43)
-
Specification