Importance

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Abstract

A method for determining execution states, market clearing prices and bid and ask prices for futures products at an opening auction. A plurality of orders is received, each order is associated with a price limit, a quantity, a participant and a futures product. For each order a quantity vector is determined, is based on the futures product associated with the order. Further, for each order a price vector is determined, based on the price limit and the futures product associated with the order. Then, an execution state vector is determined by using the determined price and quantity vectors to maximize an objective function subject to constraints. Market clearing prices and best, not executed, buy and sell orders are determined for each product using the execution state vector. Finally the bid and ask prices are given by the price limits of the best, not executed, buy and sell orders.

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First Claim