Opening price process for trading system

Abstract

The present application describes a method including a step of receiving, at a trading system via graphical user interfaces of respective order systems of participants, buy and sell orders for a product and a predefined relative indication (PRI) associated therewith. The buy and sell orders are received prior to opening of trading on a trading day. The method includes a step of transmitting, to the graphical user interfaces, a message identifying a determined imbalance between the buy and sell orders. The method also includes a step of transmitting, to the graphical user interfaces, an anticipated quantity of the product for each of the participants at the opening of the trading day. The method also includes a step of applying one or more of an additional buy or sell order, and the received PRI on the opposite side of the determined imbalance. The PRI is priced at a dynamically changing national best bid offer (NBBO) plus an optional price improvement value. The method further includes a step of allocating any remaining imbalance among the participants at the opening of the trading day. The method even further includes a step of executing the buy and sell orders at the opening of the trading day at an opening price dependent upon the any remaining balance.

What is claimed is: 
     
         1 . A method comprising:
 receiving, at a trading system via graphical user interfaces of respective order systems of participants, buy and sell orders for a product and a predefined relative indication (PRI) associated therewith prior to opening of trading on a trading day;   transmitting, to the graphical user interfaces, a message identifying a determined imbalance between the buy and sell orders;   transmitting, to the graphical user interfaces, an anticipated quantity of the product for each of the participants at the opening of the trading day;   applying one or more of an additional buy or sell order, and the received PRI on the opposite side of the determined imbalance, the PRI being priced at a dynamically changing national best bid offer (NBBO) plus an optional price improvement value;   allocating any remaining imbalance among the participants at the opening of the trading day; and   executing the buy and sell orders at the opening of the trading day at an opening price dependent upon the any remaining balance.   
     
     
         2 . The method of  claim 1 , further comprising:
 continuously disseminating, via the graphical user interfaces, updated imbalance messages to each of the participants to participate on an opposite side of the determined imbalance.   
     
     
         3 . The method of  claim 1 , further comprising:
 determining, prior to the opening, expiration of a lock-in period,   wherein the lock-in period allows the participants to lock in the anticipated quantity of the product.   
     
     
         4 . The method of  claim 3 , wherein the applying step occurs after the expiration of lock-in period. 
     
     
         5 . The method of  claim 4 , wherein the continuously disseminating step occurs before the expiration of the lock-in period. 
     
     
         6 . The method according to  claim 1 , wherein the executing step is performed as a single block at one price for all of the buy and sell orders for the product. 
     
     
         7 . The method according to  claim 1 , further comprising:
 ranking the PRI among plural PRIs according to the optional price improvement value and time.   
     
     
         8 . The method according to  claim 7 , wherein the PRI includes one or more parameters designating a maximum share amount per indication and a maximum share amount per auction. 
     
     
         9 . The method of  claim 1 , wherein the product is a financial security. 
     
     
         10 . The method of  claim 1 , wherein the buy and sell orders include shares of the product. 
     
     
         11 . An apparatus comprising:
 a non-transitory memory including instructions stored thereon for trading a product; and   a processor operably coupled to the non-transitory memory and configured to execute the instructions including:
 receiving, at the apparatus, via graphical user interfaces of respective order systems of participants, buy and sell orders for the product and a predefined relative indication (PRI) associated therewith prior to opening on a trading day; 
 transmitting, to the graphical user interfaces, a message identifying a determined imbalance between the buy and sell orders; 
 transmitting, to the graphical user interfaces, an anticipated quantity of the product for each of the participants at the opening of the trading day; 
 applying one or more of an additional buy or sell order, and the received PRI on the opposite side of the determined imbalance, the PRI being priced at a dynamically changing national best bid offer (NBBO) plus an optional price improvement value; 
 allocating any remaining imbalance among the participants at the opening of the trading day; and 
 executing the buy and sell orders at the opening of the trading day. 
   
     
     
         12 . The apparatus of  claim 11 , wherein the processor is further configured to execute the instructions of continuously disseminating, via the graphical user interfaces, updated imbalance messages to each of the participants to participate on an opposite side of the determined imbalance. 
     
     
         13 . The apparatus of  claim 11 , wherein the processor is further configured to execute the instructions of determining, prior to the opening, expiration of a lock-in period. 
     
     
         14 . The apparatus of  claim 13 , wherein the processor is further configured to execute the instructions of receiving a request from one of the participants to lock in the anticipated quantity of the product, and updating the any remaining balance. 
     
     
         15 . The apparatus of  claim 13 , wherein the applying instructions occur after the expiration of lock-in period. 
     
     
         16 . The apparatus of  claim 13 , wherein the continuously disseminating instructions occur before the expiration of the lock-in period. 
     
     
         17 . The apparatus according to  claim 11 , wherein the executing instructions are performed as a single block at one price for all of the buy and sell orders for the product. 
     
     
         18 . The apparatus according to  claim 11 , wherein the processor is further configured to execute the instructions of ranking the PRI among plural PRIs according to the optional price improvement value. 
     
     
         19 . The apparatus according to  claim 18 , wherein the PRI includes one or more parameters designating a maximum share amount per indication and a maximum share amount per auction. 
     
     
         20 . The apparatus of  claim 11 , wherein the product is a financial security, and wherein the buy and sell orders include shares of the product.