Auctioning mechanisms for dark order block trading
Auctioning mechanisms adapted to improve the integrity of dark order block trading is provided.
1. A computer-implemented method of preventing information leakage while initiating and conducting an auction, said method implemented by one or more special-purpose processing devices and comprising:
activating, via a computer device of a remote auction initiator, an order management module, the order management module configured to internally manage all aspects of initiating and conducting the auction;
receiving, by the order management module, a firm limit order from the computer device of the auction initiator;
responsive to receiving the firm limit order, causing the order management module to automatically initiate and conduct the auction by:
generating, by the order management module, a request for auction in response to the firm limit order, said request for auction excluding a combination of a side, a price, and a size associated with the firm limit order, and an identity of the auction initiator,
transmitting, by the order management module, the request for auction only to a plurality of select market participants meeting predetermined criteria,
receiving, by the order management module, at least one order from among the plurality of select market participants responsive to the transmitted request for auction,
receiving, by the order management module, at least one competing order from at least one competing participant among the plurality of select market participants, responsive to the transmitted request for auction, the at least one competing order competing with the firm limit order from the computer device of the auction initiator, and
building, by the order management module, an order book based on the at least one order received from among the plurality of select market participants and the at least one competing order received from the at least one competing participant; and
when an auction time associated with the auction is reached, automatically activating an order matching module which automatically fills one or more orders by:
selecting, by the order matching module, an auction price from a plurality of prices associated with the at least one order received from among the plurality of select market participants and the at least one competing order received from the at least one competing participant, the auction price selected permitting maximum volume execution, and
filling, by the order matching module, one or more orders in the order book using the selected auction price,
wherein the order management module and the order matching module each comprise respective specialized programmed instructions executed by the one or more special-purpose processing devices.
2. The method of claim 1 , wherein the firm limit order is a dark order, the dark order not being visible to a broader market.
3. The method of claim 1 , wherein a subset of fewer than all of a plurality of market participants are selected to receive.
4. The method of claim 1 , wherein the plurality of select market participants receive limited or no information in the request for auction as to the auction time associated with the firm limit order.
5. The method of claim 4 , wherein the auction time is defined by the auction initiator.
6. The method of claim 5 , wherein the auction time is calculated via a random timer function using the auction time defined by the auction initiator.
7. The method of claim 1 , wherein the plurality of select market participants receive limited or no information in the request for auction as to the price associated with the firm limit order.
8. The method of claim 7 , wherein the price associated with the firm limit order is a reference price, the reference price being an external price that is determined based on market data retrieved from one or more markets.
9. The method of claim 1 , further comprising determining, by the order matching module, whether a preference is given to the auction initiator in filling the one or more orders.
10. The method of claim 9 , wherein a determination that no preference is given to the auction initiator results in the one or more orders being filled in favor of a market participant among the plurality of select market participants having a most aggressive price.
11. The method of claim 9 , wherein a determination that no preference is given to the auction initiator results in the one or more orders being filled in favor of a market participant among the plurality of select market participants having a largest order.
12. The method of claim 1 , wherein the auction price selected is based on a least aggressive price from the plurality of prices that permits maximum volume execution.
13. A computer system for preventing information leakage while initiating and conducting an auction, comprising:
a memory component storing specialized program instructions defining an order management module and an order matching module;
a special purpose processing component coupled to said memory component and executing the specialized program instructions, thereby causing the computer system to:
activate, upon receiving a signal from a computer device of a remote auction initiator, the order management module, the order management module configured to internally manage all aspects of initiating and conducting the auction;
receive, by the order management module, a firm limit order from the computer device of the remote auction initiator;
responsive to receiving the firm limit order, automatically cause the order management module to automatically:
generate a request for auction in response to the firm limit order, said request for auction excluding a combination of a side, a price and a size associated with the firm limit order, and an identity of the auction initiator,
transmit the request for auction only to a plurality of select market participants meeting predetermined criteria,
receive at least one order from among the plurality of select market participants responsive to the transmitted request for auction,
receive at least one competing order from at least one competing participant among the plurality of select market participants, responsive to the transmitted request for auction, the at least one competing order competing with the firm limit order from the computer device of the auction initiator, and
build an order book based on the at least one order received from among the plurality of select market participants and the at least one competing order received from the at least one competing participant; and
when an auction time associated with the auction is reached, automatically activate the order matching module to cause the order matching module to automatically:
select an auction price from a plurality of prices associated with the at least one order received from among the plurality of select market participants and the at least one competing order received from the at least one competing participant, the auction price selected permitting maximum volume execution, and
fill one or more orders in the order book using the selected auction price.
14. A non-transitory computer-readable storage medium programmed to include specialized programmed instructions that, when executed by one or more special-purpose processing devices, cause the one or more special-purpose processing devices to perform a method of preventing information leakage while initiating and conducting an auction, said method comprising:
activating, upon receiving a signal from a computer device of a remote auction initiator, an order management module, the order management module configured to internally manage all aspects of initiating and conducting the auction;
receiving, by the order management module, a firm limit order from the computer device of the auction initiator;
responsive to receiving the firm limit order, causing the order management module to automatically initiate and conduct the auction by:
generating, by the order management module, a request for auction in response to the firm limit order, said request for auction excluding a combination of a side, a price, and a size associated with the firm limit order, and an identity of the auction initiator,
transmitting, by the order management module, the request for auction only to a plurality of select market participants meeting predetermined criteria,
receiving, by the order management module, at least one order from among the plurality of select market participants responsive to the transmitted request for auction,
receiving, by the order management module, at least one competing order from at least one competing participant among the plurality of select market participants, responsive to the transmitted request for auction, the at least one competing order competing with the firm limit order from the computer device of the auction initiator, and
building, by the order management module, an order book based on the at least one order received from among the plurality of select market participants and the at least one competing order received from the at least one competing participant; and
when an auction time associated with the auction is reached, activating an order matching module to automatically fill one or more orders by:
selecting, by the order matching module, an auction price from a plurality of prices associated with the at least one order received from among the plurality of select market participants and the at least one competing order received from the at least one competing participant, the auction price selected permitting maximum volume execution, and
filling, by the order matching module, one or more orders in the order book using the selected auction price,
wherein the order management module and the order matching module each comprise respective specialized programmed instructions executed by the one or more special-purpose processing devices.
15. The method of claim 9 , further comprising filling, by the order matching module, the one or more orders in favor of the auction initiator prior to the at least one competing participant, when it is determined that preference is given to the auction initiator.
16. The method of claim 9 , further comprising filling, by the order matching module, the one or more orders in favor of the at least one competing participant having at least one of a more aggressive price and a larger order compared to the auction initiator, when it is determined that no preference is given to the auction initiator.
17. The computer system of claim 13 , wherein the order matching module is configured to determine whether a preference is given to the auction initiator in filling the one or more orders.
18. The computer system of claim 17 , wherein the order matching module is configured to:
fill the one or more orders in favor of the auction initiator prior to the at least one competing participant, when it is determined that preference is given to the auction initiator, and
fill the one or more orders in favor of the at least one competing participant having at least one of a more aggressive price and a larger order compared to the auction initiator, when it is determined that no preference is given to the auction initiator.
19. The non-transitory computer-readable storage medium of claim 14 , wherein the instructions include further instructions to cause the order matching module to determine whether a preference is given to the auction initiator in filling the one or more orders.
20. The non-transitory computer-readable storage medium of claim 19 , wherein the instructions include further instructions to cause the order matching module to:
fill the one or more orders in favor of the auction initiator prior to the at least one competing participant, when it is determined that preference is given to the auction initiator, and
fill the one or more orders in favor of the at least one competing participant having at least one of a more aggressive price and a larger order compared to the auction initiator, when it is determined that no preference is given to the auction initiator.