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

1. A method of using at least one processing device to prevent manipulation in an electronic trading system comprising:

obtaining an order 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 of the order, wherein the value is identified and set prior to the intraday auction, and the value is located within a best bid and best offer spread (BBO) band;

determining whether the BBO band has remained unchanged for a specified time period; and

responsive to determining that the BBO band remained unchanged during the specified time period, 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, responsive to determining that the BBO band changed during the specified time period, repeating the obtaining, identifying, and determining whether the BBO band has remained unchanged until the BBO band has remained unchanged for the specified time period.

3. The method of claim 1 , wherein the specified time period is before the detected order cross.

4. The method of claim 1 , wherein the specified time period is after the detected order cross.

5. The method of claim 1 , further comprising:

creating trades using order messages associated with the intraday auction based on a prioritization, the order related to the asset from the electronic trading system included in the order messages.

6. 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.

7. The method of claim 1 , further comprising:

determining whether the identified value is within the BBO band; and

responsive to determining that the identified value is outside the BBO band, repeating the obtaining, identifying, and determining whether the identified value is within the BBO band until the identified value is inside the BBO band.

8. The method of claim 1 , further comprising, responsive to determining that the BBO band remained unchanged during the specified time period, initiating an auction call phase in which one or more orders of the initiated intraday auction are received.

9. The method of claim 8 , further comprising:

determining whether the set value is within the BBO band after a duration of the auction call phase has passed; and

responsive to determining that the set value is outside of the BBO band, cancelling the initiated intraday auction such that the one or more orders of the initiated intraday auction are not initiated.

10. The method of claim 1 , wherein the set value is an indicative matching price (IMP) representative of a price that maximizes crossing opportunities in the electronic trading system.

11. The method of claim 1 , wherein the BBO band is susceptible to manipulation through access by a first trader to the electronic trading system that is sub-milliseconds ahead of access by a second trader to the electronic trading system.

12. 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 an order 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 of the order, wherein the value is identified and set prior to the intraday auction, and the value is located within a best bid and best offer spread (BBO) band;

determining whether the BBO band has remained unchanged for a specified time period; and

responsive to determining that the BBO band remained unchanged during the specified time period, 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.

13. The apparatus of claim 12 , wherein the at least one processing device is further configured to perform, responsive to determining that the BBO band changed during the specified time period, repeating the obtaining, identifying, and determining whether the BBO band has remained unchanged until the BBO band has remained unchanged for the specified time period.

14. The apparatus of claim 12 , wherein the specified time period is before the detected order cross.

15. The apparatus of claim 12 , 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, the order related to the asset from the electronic trading system included in the order messages.

16. The apparatus of claim 12 , 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.

17. The apparatus of claim 12 , wherein the at least one processing device is further configured to perform:

determining whether the identified value is within the BBO band; and

responsive to determining that the identified value is outside the BBO band, repeating the obtaining, identifying, and determining whether the identified value is within the BBO band until the identified value is inside the BBO band.

18. The apparatus of claim 12 , wherein the at least one processing device is further configured to perform, responsive to determining that the BBO band remained unchanged during the specified time period, initiating an auction call phase in which one or more orders of the initiated intraday auction are received.

19. The apparatus of claim 18 , wherein the at least one processing device is further configured to perform:

determining whether the set value is within the BBO band after a duration of the auction call phase has passed; and

responsive to determining that the set value is within the BBO band, initiating an auction uncross phase in which the one or more orders of the initiated intraday auction are initiated.

20. 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 an order 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 of the order, wherein the value is identified and set prior to the intraday auction, and the value is located within a best bid and best offer spread (BBO) band;

determining whether the BBO band has remained unchanged for a specified time period; and

responsive to determining that the BBO band remained unchanged during the specified time period, 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.