Systems and methods for prevention of manipulation and gaming in electronic intraday auctions

Patent metadata

Field	Value
Publication number	US-2018308163-A1
Application number	US-201815961684-A
Country	US
Kind code	A1
Filing date	Apr 24, 2018
Priority date	Apr 24, 2017
Publication date	Oct 25, 2018
Grant date	—

Abstract

This disclosure provides systems and methods for prevention of manipulation and gaming in electronic intraday auctions. The system includes using at least one processing device for obtaining orders related to an asset from an electronic trading system. The system includes using at least one processing device for identifying a value for the asset to be used during an intraday auction involving the asset. The identified value is based on a detected order cross within the orders. The value is identified and set prior to the intraday auction. The value is located within a best bid and best offer spread (BBO) band. The system includes using at least one processing device for initiating the intraday auction involving the asset based on the identified and set value and the detected order cross. Changes to the BBO band during the intraday auction do not affect the identified and set value.

First claim

What is claimed is:

1 . A method for prevention of manipulation in an electronic trading system comprising:
using at least one processing device:
obtaining orders related to an asset from an electronic trading system;
identifying a value for the asset to be used during an intraday auction involving the asset, the identified value based on a detected order cross within the orders, wherein the value is identified and set prior to the intraday auction, and wherein the value is located within a best bid and best offer spread (BBO) band; and
initiating the intraday auction involving the asset based on the identified and set value and the detected order cross;
wherein changes to the BBO band during the intraday auction do not affect the identified and set value.

2 . The method of claim 1 , further comprising:
determining that the BBO band has not changed for a specified time before the detected order cross; wherein the intraday auction is initiated based on the determination.

3 . The method of claim 2 , wherein the intraday auction is initiated based on determining that the BBO band has not changed for the specified time before the detected order cross.

4 . The method of claim 3 , wherein the specified period of time restarts if a change in the BBO band is detected.

5 . The method of claim 1 , further comprising:
determining that the BBO band has not changed for a specified time after the detected order cross; wherein the intraday auction is initiated based on the determination.

6 . The method of claim 5 , wherein the intraday auction is initiated based on determining that the BBO band has not changed for the specified time after the detected order cross.

7 . The method of claim 6 , wherein the specified period of time restarts if a change in the BBO band is detected.

8 . The method of claim 1 , further comprising:
creating trades using order messages associated with the intraday auction based on a prioritization.

9 . The method of claim 1 , further comprising:
receiving conditional offers for the asset during the intraday auction; and matching the conditional offers from different parties.

10 . An apparatus comprising:
at least one processing device; and at least one memory storing instructions that, when executed by the at least one processing device, cause the at least one processing device to perform:
obtaining orders related to an asset from an electronic trading system;
identifying a value for the asset to be used during an intraday auction involving the asset, the identified value based on a detected order cross within the orders, wherein the value is identified and set prior to the intraday auction, and wherein the value is located within a best bid and best offer spread (BBO) band; and
initiating the intraday auction involving the asset based on the identified and set value and the detected order cross;
wherein changes to the BBO band during the intraday auction do not affect the identified and set value.

11 . The apparatus of claim 10 , wherein the at least one processing device is further configured to perform:
determining that the BBO band has not changed for a specified time before the detected order cross; wherein the intraday auction is initiated based on the determination.

12 . The apparatus of claim 11 , wherein the intraday auction is initiated based on determining that the BBO band has not changed for the specified time before the detected order cross.

13 . The apparatus of claim 12 , wherein the specified period of time restarts if a change in the BBO band is detected.

14 . The apparatus of claim 10 , wherein the at least one processing device is further configured to perform:
determining that the BBO band has not changed for a specified time after the detected order cross; wherein the intraday auction is initiated based on the determination.

15 . The apparatus of claim 14 , wherein the intraday auction is initiated based on determining that the BBO band has not changed for the specified time after the detected order cross.

16 . The apparatus of claim 15 , wherein the specified period of time restarts if a change in the BBO band is detected.

17 . The apparatus of claim 10 , wherein the at least one processing device is further configured to perform:
creating trades using order messages associated with the intraday auction based on a prioritization.

18 . The apparatus of claim 10 , wherein the at least one processing device is further configured to perform:
receiving conditional offers for the asset during the intraday auction; and matching the conditional offers from different parties.

19 . A non-transitory computer readable medium containing instructions that, when executed by at least one processing device, cause the at least one processing device to perform:
obtaining orders related to an asset from an electronic trading system; identifying a value for the asset to be used during an intraday auction involving the asset, the identified value based on a detected order cross within the orders, wherein the value is identified and set prior to the intraday auction, and wherein the value is located within a best bid and best offer spread (BBO) band; and initiating the intraday auction involving the asset based on the identified and set value and the detected order cross; wherein changes to the BBO band during the intraday auction do not affect the identified and set value.

20 . The non-transitory computer readable medium of claim 19 , further comprising:
determining that the BBO band has not changed for a specified time before the detected order cross; wherein the intraday auction is initiated based on the determination.

Assignees

• Goldman Sachs & Co Llc

Inventors

• Brennan Paul M
• Broussin Charles

Classifications

• G06Q40/06

  Asset management; Financial planning or analysis · CPC title

• G06Q40/04 Primary

  Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange · CPC title

• G06Q30/08

  Auctions · CPC title