System and method for managing and trading auction limit orders in a hybrid auction market

Abstract

A buy order is received with a limit price that is above a published best offer, and represented in the auction market. If the buy order is not immediately executed, it is quoted at a minimum variation better than a published best bid, and the price of the quoted buy order becomes the published best bid. Alternatively, a sell order is received with a limit price that is below a published best bid, and represented in the auction market. If the sell order is not immediately executed, it is quoted at a minimum variation better than a published best offer, and the price of the quoted sell order becomes the published best offer.

1 - 10 . (canceled) 
     
     
         11 . A method implemented at least partially in a programmed computer for trading a security in an auction market comprising:
 receiving by the programmed computer, an auction limit buy order with a limit price that is above a published best offer;   receiving by the programmed computer, an auction limit sell order with a limit price that is below a published best bid;   determining by the programmed computer, a midpoint price of the best bid and best offer; and   executing by the programmed computer, the auction limit buy order and the auction limit sell order at the midpoint price, whereby the auction limit buy order and the auction limit sell order both receive price improvement.   
     
     
         12 . A method according to  claim 11 , further comprising:
 determining by the programmed computer, that the midpoint price is not an even penny; and   adjusting by the programmed computer, the midpoint price to give more price improvement to the order with time priority.   
     
     
         13 . A method according to  claim 12 , wherein the adjustment to the midpoint price is a minimum price variation. 
     
     
         14 . A method according to  claim 12 , wherein the adjustment to the midpoint price is to the next penny. 
     
     
         15 - 17 . (canceled) 
     
     
         18 . A system implemented at least partially in a programmed computer for trading a security in an auction market comprising:
 computer program means for receiving an auction limit buy order with a limit price that is above a published best offer;   computer program means for receiving an auction limit sell order with a limit price that is below a published best bid;   computer program means for determining a midpoint price of the best bid and best offer; and   computer program means for executing the auction limit buy order and the auction limit sell order at the midpoint price, whereby the auction limit buy order and the auction limit sell order both receive price improvement.   
     
     
         19 . A computer-readable medium having computer executable software code stored thereon, the code for trading a security in an auction market comprising:
 code to receive an auction limit buy order with a limit price that is above a published best offer;   code to receive an auction limit sell order with a limit price that is below a published best bid;   code to determine a midpoint price of the best bid and best offer; and   code to execute the auction limit buy order and the auction limit sell order at the midpoint price, whereby the auction limit buy order and the auction limit sell order both receive price improvement.   
     
     
         20 . A programmed computer for trading a security in an auction market comprising:
 a memory having at least one region for storing computer executable program code; and   a processor for executing the program code stored in the memory; wherein the program code comprises:   code to receive an auction limit buy order with a limit price that is above a published best offer;   code to receive an auction limit sell order with a limit price that is below a published best bid;   code to determine a midpoint price of the best bid and best offer; and   code to execute the auction limit buy order and the auction limit sell order at the midpoint price, whereby the auction limit buy order and the auction limit sell order both receive price improvement.