Random-Time Auctions in an Electronic Trading System

摘要

A system is configured to hold price improvement auctions for customer orders for a duration that is based on a random timer. The system receives an initiating order from an auction guarantor that describes the financial instrument that a customer wishes to trade. The auction guarantor provides a guaranteed order that can fill the initiating order. A random time period to hold the auction is selected. The system solicits responses from other market participants for the financial instrument. When the random time period expires the system matches the initiating order against the responses, existing orders in an order book, and the guaranteed order.

主权项

1. A method for providing price improvement for a customer order in an electronic trading system, comprising:
receiving at a computing system an initiating order from an auction guarantor, the auction guarantor acting as a broker for the customer, and the initiating order describing a financial instrument, a volume, a side, and an initiating price; initiating a random timer, the random timer configured to terminate after running for a random time period; broadcasting an auction initiation message to a plurality of market participants, the market participants comprising agency brokers and brokers; receiving a plurality of auction participant responses from one or more auction participants, the auction participants comprising a subset of the market participants, and the auction participant responses each including price and volume information for an auction participant; determining if the random timer has terminated; and matching, responsive to determining that the random timer has terminated, the auction participant responses, existing orders in an order book of the electronic trading system, and a contra guarantee order, the contra guarantee order comprising the contra guarantee price, against the initiating order.