Method and system for providing an automated auction for internalization and complex orders in a hybrid trading system

Abstract

A method of providing an automated auction for internalization for the purchase or sale of securities or derivatives in an exchange is disclosed. The method may include receiving an order at an electronic trade engine, disseminating a request for price message to at least one user in response to receiving the order, receiving a one-sided response message representative of a participant-type in response to the request for price message, selecting an allocation algorithm from a plurality of allocation algorithms, initiating the selected allocation algorithm and allocating the order according to the participant-type upon termination of the selected auction. The system may include an electronic trading engine configured to disseminate an auction message in response to an order, a database of allocation algorithms, and a trade processor for initiating an auction according the one of the allocation algorithms and terminating the auction upon defined early termination events.

1 - 20 . (canceled) 
     
     
         21 . A continuous trade match system for providing open-outcry participation in automated electronic auction, comprising:
 input components configured to input electronic messages from and output components configured to out electronic communications to computer terminals that are either collocated with the continuous trade match system for open-outcry participation or geographically remote from the continuous trade match system for remote electronic participation; and   processing components configured to apply computer encoded logic to:
 process a first received electronic message, wherein the first received electronic message is one of the electronic messages inputted into said continuous trade match system via said input components, containing a request for the continuous trade match system to execute computer encoded logic specific to an auction process having an order quantity; 
 initiate the auction process, wherein processing components are configured to:
 generate a second electronic message that is communicated, via the output components, to the terminals that are either collocated with the continuous trade match system or geographically remote from the continuous trade match system; 
 initiate a receiving process, which monitors the input components for responses to the second electronic message for no more than a predetermined time period or a randomized period of time bounded by a minimum time threshold and a maximum time threshold; and 
 allocate the order quantity of the auction process contained in the first received electronic message to a set of terminals including at least one terminal collocated with the continuous trade match system according to a capped pro rata share determined by quote quantities indicated in the responses corresponding to the set of terminals modified to include an order-quantity-independent allocation component. 
 
   
     
     
         22 . A method for providing an automated auction for the purchase or sale of securities or derivatives in an exchange configured for trading securities or derivatives and for providing participation of open-outcry participation in the automated electronic auction, the method comprising:
 receiving an order at an electronic trade engine;   disseminating an auction message to all market makers quoting a class in response to receiving the order;   initiating an auction for the order when the size from a market maker is sufficient to fulfill a firm quote obligation;   prohibiting the market maker quoters in a series from moving quotes on the side being auctioned; and   wherein the auction terminates prior to an auction expiration upon an occurrence of an early termination event.