SYSTEM AND METHOD FOR PERFORMING AN OPENING AUCTION OF A DERIVATIVE
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United States of America Patent
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Issued Date -
May 19, 2011
app pub date -
Nov 13, 2009
filing date -
Nov 13, 2009
priority date (Note) -
Abandoned
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Abstract
A computer system performs an opening auction of a derivative such as a financial futures. The computer system comprises an order maintenance module and an optimizing module. The order maintenance module maintains a plurality of order books for said derivative. The plurality of order books comprises a first set of order books and a second set of order books. Each order book of the first set of order books comprises bid and ask orders for a specific tradable series of the derivative. Each order book of the second set of order books comprises bid and ask orders for a specific combination of two tradable series of the derivative. Each bid and ask order is associated with an integer volume of tradable contracts of the derivative. The optimizing module maximizes a total volume of executed contracts using integer optimization to determine opening prices for the tradable series of the derivative.
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