AUCTIONING MECHANISMS FOR DARK ORDER BLOCK TRADING

摘要

Auctioning mechanisms adapted to improve the integrity of dark order block trading is provided.

主权项

1. A computer-implemented method of conducting an auction, said method comprising:
receiving a firm limit order from an auction initiator; generating a request for auction in response to the firm limit order; transmitting the request for auction to a plurality of market participants; building an order book based on orders received from the plurality of market participants; selecting an auction price from a plurality of prices associated with a plurality of orders received from the plurality of market participants, the auction price selected permitting maximum volume execution; and filling orders using the selected auction price.