Opening cross in electronic market

A method, executed in a computer system, for opening an electronic market for trading of a security is described. The method includes receiving by the computer system eligible orders and quotes for the security traded in the electronic market and disseminating an order imbalance indicator indicative...

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Bibliographic Details
Main Authors COX TIMOTHY E, FRANKS DAN B, HATHEWAY FRANK, MCCORMICK TIMOTHY, MOORE DANIEL F, MARTYN PETER J, NUNES ADAM S
Format Patent
LanguageEnglish
Published 04.12.2012
Subjects
CALCULATING
COMPUTING
COUNTING
DATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FORADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORYOR FORECASTING PURPOSES
PHYSICS
SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE,COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTINGPURPOSES, NOT OTHERWISE PROVIDED FOR
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Summary:A method, executed in a computer system, for opening an electronic market for trading of a security is described. The method includes receiving by the computer system eligible orders and quotes for the security traded in the electronic market and disseminating an order imbalance indicator indicative of predicted trading characteristics of the security at the open of trading. The method also includes determining by the computer system a price or prices at which the maximum shares would be executed and determining which price would minimize any imbalance of eligible orders and executing at least some of the eligible orders at the determined opening price.
Bibliography:Application Number: US20100917545