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

1. A method for prevention of manipulation in an electronic trading system comprising:

using at least one processing device:

obtaining a first plurality of orders related to an asset from an electronic trading system;

identifying a first value for the asset to be used during an intraday auction involving the asset, the identified first value based on a first detected order cross within the first plurality of orders, wherein the first value is identified and set prior to the intraday auction, the first value is located within a best bid and best offer spread (BBO) band, and changes to the BBO band during the intraday auction do not affect the identified and set first value;

determining whether the BBO band has remained unchanged for a specified time period after the first detected order cross; and

responsive to determining that the BBO band changed during the specified time period after the first detected order cross:

obtaining a second plurality of orders related to the asset from the electronic trading system,

identifying a second value for the asset to be used during the intraday auction involving the asset, the identified value based on a second detected order cross within the second plurality of orders,

determining whether the BBO band has remained unchanged for the specified time period after the second detected order cross, and

responsive to determining that the BBO band remained unchanged during the specified time period after the second detected order cross, initiating the intraday auction involving the asset based on the identified and set second value and the second detected order cross.

2. The method of claim 1 , further comprising:

determining that the BBO band has not changed for a specified time before the second detected order cross;

wherein the intraday auction is initiated based on the determination.

3. The method of claim 2 , wherein initiating the intraday auction is further responsive to determining that the BBO band has not changed for the specified time before the second 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 , wherein the specified period of time restarts if a change in the BBO band is detected.

6. The method of claim 1 , further comprising:

creating trades using order messages associated with the intraday auction based on a prioritization.

7. 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.

8. 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 a first plurality of orders related to an asset from an electronic trading system;

identifying a first value for the asset to be used during an intraday auction involving the asset, the identified first value based on a first detected order cross within the first plurality of orders, wherein the first value is identified and set prior to the intraday auction, the first value is located within a best bid and best offer spread (BBO) band, and changes to the BBO band during the intraday auction do not affect the identified and set first value;

determining whether the BBO band has remained unchanged for a specified time period after the first detected order cross; and

responsive to determining that the BBO band changed during the specified time period after the first detected order cross:

obtaining a second plurality of orders related to the asset from the electronic trading system,

identifying a second value for the asset to be used during the intraday auction involving the asset, the identified value based on a second detected order cross within the second plurality of orders,

determining whether the BBO band has remained unchanged for the specified time period after the second detected order cross, and

responsive to determining that the BBO band remained unchanged during the specified time period after the second detected order cross, initiating the intraday auction involving the asset based on the identified and set second value and the second detected order cross.

9. The apparatus of claim 8 , 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 second detected order cross;

wherein the intraday auction is initiated based on the determination.

10. The apparatus of claim 9 , wherein initiating the intraday auction is further responsive to determining that the BBO band has not changed for the specified time before the second detected order cross.

11. The apparatus of claim 10 , wherein the specified period of time restarts if a change in the BBO band is detected.

12. The apparatus of claim 8 , wherein the specified period of time restarts if a change in the BBO band is detected.

13. The apparatus of claim 8 , 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.

14. The apparatus of claim 8 , 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.

15. 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 operations comprising:

obtaining a first plurality of orders related to an asset from an electronic trading system;

identifying a first value for the asset to be used during an intraday auction involving the asset, the identified first value based on a first detected order cross within first plurality of the orders, wherein the value is identified and set prior to the intraday auction, the first value is located within a best bid and best offer spread (BBO) band, and changes to the BBO band during the intraday auction do not affect the identified and set first value;

determining whether the BBO band has remained unchanged for a specified time period after the first detected order cross; and

responsive to determining that the BBO band changed during the specified time period after the first detected order cross:

obtaining a second plurality of orders related to the asset from the electronic trading system,

identifying a second value for the asset to be used during the intraday auction involving the asset, the identified value based on a second detected order cross within the second plurality of orders,

determining whether the BBO band has remained unchanged for the specified time period after the second detected order cross, and

responsive to determining that the BBO band remained unchanged during the specified time period after the second detected order cross, initiating the intraday auction involving the asset based on the identified and set second value and the second detected order cross.

16. The non-transitory computer readable medium of claim 15 , wherein the operations further comprise:

determining that the BBO band has not changed for a specified time before the second detected order cross;

wherein the intraday auction is initiated based on the determination.

17. The non-transitory computer readable medium of claim 15 , wherein initiating the intraday auction is further responsive to determining that the BBO band has not changed for the specified time before the second detected order cross.

18. The non-transitory computer readable medium of claim 17 , wherein the specified period of time restarts if a change in the BBO band is detected.

19. The non-transitory computer readable medium of claim 15 , wherein the operations further comprise:

creating trades using order messages associated with the intraday auction based on a prioritization.

20. The non-transitory computer readable medium of claim 15 , wherein the operations further comprise:

receiving conditional offers for the asset during the intraday auction; and

matching the conditional offers from different parties.