| 主权项 |
1. A computer-implemented method of conducting an auction, said method comprising:
creating an auction, by a programmed computer, having a minimum fill size, wherein the auction is automatically created based on monitored activity in a market; transmitting, by the programmed computer, a notification of the auction to a plurality of market participants; building, by the programmed computer, an order book for the auction based on firm limit orders received from the plurality of market participants; identifying, by the programmed computer, a reference price for conducting the auction, the reference price calculated as a midpoint of bid and ask prices in the market; and filling, by the programmed computer, qualifying orders received from the plurality of market participants based on the reference price. |
