Complex Trading Mechanism

Abstract

To provide a system, device, and method for complex trading mechanisms.SOLUTION: A trading device 100 of a trading system disclosed herein comprises an order receiver 102, an order storage module 104, a trade generator 106, and a reporting module 108. The trading device 100 may be attached internally or externally to an auctioneer's system 114. The trading device 100 is wired and / or wirelessly connected to a bidder system 110. The trading device is also coupled with an exogenous variable, such as another trading venue. The bidder system 110 receives bids from bidders.SELECTED DRAWING: Figure 1A

Description

[Technical Field]

[0001] The present disclosure relates generally to composite trading mechanisms. (Priority claim) This application claims priority to U.S. Provisional Patent Application No. 61 / 298,542, filed January 26, 2010. [Background technology]

[0002] Typically, during the bidding (pre-bidding) phase of an auction, bidders face significant uncertainty about information of interest that affects the valuation of the auction item and / or the optimal bidding strategy for that item, thereby affecting the auction price.

[0003] Some of this uncertain and relevant information in the ex-ante stage will become realizable in the ex-post stage (including the possibility that a bidder will win) once the auction begins. In the following paragraphs, for the sake of convenience, bidders will generally be referred to as buyers, and the same will apply to sellers.

[0004] Bidders are interested in the overall item distribution of the items on offer, in the sense that, for example, the estimated price of a successful item or set of items depends on information such as total sales volume in a multi-item auction and who else has won what and for how much. For example, in a securities auction, bidders may be interested in the total issue amount because it likely affects liquidity in the secondary market. Similarly, in a liquidation auction or privatization of a retail chain, a bidder holding 20% ​​of the market share may be interested in information such as whether his secondary shareholding is less than 5% or whether the remaining 80% is held equally by other bidders, because the successful bidder's market share will affect the competitive situation in the retail market after the auction is completed.

[0005] Bidders are also interested in winning criteria, such as the level of oversubscription, the average winning bid in a multi-item auction, or statistics on the win-loss ratio for a particular auction. For example, when auctions of U.S. Treasury securities are held, the U.S. Treasury Department and other government agencies periodically publish statistics such as average winning bid prices. If bidders have predictable knowledge of such information, the more oversubscribed the auction becomes, the more aggressively bidders can place their bids. Additionally, or alternatively, bidders can adjust their price assessments for common-price or independent-price items (i.e., a bidder's bid price for a particular item depends, at least in part, on the prices offered by other bidders).

[0006] Furthermore, consider a multiple auction scenario, where a stock is auctioned three times a day, for example. A bidder looking to buy the stock on the day may be interested in which auction has more liquidity (i.e., how many sellers are selling their stock) in order to minimize the impact of their bid price on the winning bid by choosing the most liquid auction.

[0007] Bidders understand that their bids in an auction affect their chances of winning the desired item and, in many auction systems, the winning bid price. Uncertainty during the bidding process may lead bidders to pay more than necessary to win, or to shade their bids (i.e., submit conservative prices), bid on fewer items or sets of items, or not participate in bidding at all, out of fear that they will pay more than the item's ex post valuation.

[0008] The term "winner's curse" is well known to describe the risk of overpaying in common-price auction markets. This means that bidders must adjust their bid prices downward, assuming they will win. If bidders know that aggressive bidding (e.g., in a multi-item auction) will increase the winning bid, they will anticipate the winner's curse and submit conservative bids.

[0009] Another related concept is "exposure risk." For example, a buyer seeking to purchase a set of items that they view as complementary may end up winning the set at a price much higher than the original bid price because they can only bid on each item individually, risking winning only a few of them rather than the entire set. As a result, the buyer may decide not to bid on the items or may lower their bid. A bidder who submits a conservative price faces the broader exposure risk mentioned above due to the risk of winning a set of items when the overall item allocation is unfavorable to the bidder.

[0010] On the other hand, shading of bid prices or a decrease in the number of bidders will result in an item allocation situation below the appropriate value, such as too little trading volume or profit. Summary of the Invention [Means for solving the problem]

[0011] This Summary is intended to introduce concepts described in the following description of embodiments in a simplified form and is not intended to identify key features or important features of the claimed subject matter, nor to determine the scope of such subject matter.

[0012] Various embodiments of the present disclosure are described, namely, a method of trading. In one embodiment, orders are received from at least one trader, the orders including at least one composite order. In another embodiment, the orders are stored. In another embodiment, trades are generated based on the orders and a trading mechanism. In yet another embodiment, reports are generated on the trades.

[0013] Various embodiments of the present disclosure are described, namely, a trading instrument. The trading instrument includes an order receiver, an order storage module, a trade generator, and a reporting module. The order receiver receives orders from at least one trader, the orders including at least one composite order. The order storage module stores the orders. The trade generator generates trades based on a trading mechanism. The reporting module reports the trades.

[0014] This disclosure generally describes a composite trading mechanism. [Brief explanation of the drawings]

[0015] [Figure 1A] 1 is a block diagram illustrating an example system for implementing a trading method in accordance with an embodiment of the present technology. [Figure 1B] FIG. 1 is a block diagram illustrating another example system for implementing a trading method in accordance with an embodiment of the present technology. [Figure 1C] FIG. 10 is a block diagram illustrating yet another example system for implementing a trading method in accordance with an embodiment of the present technology. [Figure 2A] 1 is a flowchart illustrating an exemplary trading method in accordance with an embodiment of the present technology. [Figure 2B] 10 is a flowchart illustrating another exemplary trading method in accordance with an embodiment of the present technology. [Figure 3] FIG. 1 is a block diagram illustrating an example of a computer system used for trading in accordance with an embodiment of the present technology. [Figure 4] 1 is a flowchart illustrating a method for increasing trading volume in a trading mechanism in accordance with an embodiment of the present technology. [Figure 5] 1 is a flowchart illustrating a method for increasing auction revenue in an auction mechanism according to an embodiment of the present technology. [Figure 6]1 is a flowchart illustrating a method for increasing profits in a trading mechanism in accordance with an embodiment of the present technology. [Figure 7] It shows how to increase the profitability of a trading mechanism. [Figure 8] 1 illustrates an auction apparatus in accordance with an embodiment of the present technology. [Figure 9] 1 illustrates another auction apparatus in accordance with an embodiment of the present technology. [Figure 10] 1 illustrates yet another auction apparatus in accordance with an embodiment of the present technology. [Figure 11] 1 illustrates a trading device in accordance with an embodiment of the present technology. DETAILED DESCRIPTION OF THE INVENTION

[0016] The drawings illustrated in this description should not be considered to be drawn to scale unless otherwise noted. Detailed descriptions of embodiments of the present technology are provided below, with examples shown in the accompanying drawings. While the technology is described in connection with various embodiments, the present technology is not limited to these embodiments. Rather, the present technology encompasses alternatives, modifications, and equivalents, which may be included within the spirit and scope of the various embodiments, as defined by the appended claims.

[0017] Furthermore, in the following detailed description, numerous specific details are set forth in order to provide a thorough understanding of the present technology. However, the present technology may be practiced without these specific details. In other instances, descriptions of well-known methods, procedures, components, and circuits are omitted to avoid unnecessarily obscuring aspects of the present embodiments.

[0018] In the following description, unless otherwise indicated, and throughout the present detailed description, terms such as "receive," "store," "generate," "report," "manage," "communicate," "transmit," "compare," "execute," "validate," "utilize," and the like refer to the operations and processes of a computer system or similar electronic device that processes data represented as physical (electronic) quantities in the system's registers or memory and converts that data into data similarly represented as physical quantities in the computer system's memory or registers, stored information, transmitted signals, or display devices. The present technology is also suitable for other computer systems, such as optical computers.

[0019] The following are definitions of terms used in this document. This document considers trading mechanisms and the subset of auction mechanisms that they encompass. It also considers simple and more advanced configurations. general definition A trading mechanism is the mechanism used to generate trades in response to a set of orders, including the clearing method and other trading rules.

[0020] A clearing method is an algorithm used to generate trades, including trading formats, target rules, tie-breaking rules, and other rules as needed.

[0021] Auctions or auction mechanisms are a subset of trading mechanisms, and the trading format used in them is an auction format. Auctions in this context include classic auctions (bidders buy items), reverse auctions (bidders sell items), and double auctions (bidders both buy and sell items) for more than one item (i.e., single-item auctions and multi-item auctions, hereafter referred to as multi-item auctions).

[0022] It should be understood that descriptions of embodiments of the present technology relating to the use of the technology in a trading mechanism also apply to auctions (or auction mechanisms). Furthermore, unless otherwise specified in this document, descriptions using the term "auction" also apply to trading. Thus, for example, "orders," "bidders," and "transaction results" (or "transactions" and "transaction item allocations and payment" in a trading mechanism) can be applied to auctions as "bids," "bidders," and "auction item allocations and payment" unless otherwise specified, and vice versa. Auction terminology is used throughout much of this document for ease of explanation.

[0023] A composite auction or composite auction mechanism is an auction (or auction mechanism) that allows for composite bidding. Composite bidding is defined in the Structure section.

[0024] Composite Trading Mechanism means a trading mechanism that allows for composite orders, as defined in the "Structure" section. The terms "goods," "units," "articles," and "items" are used interchangeably and may refer to both tangible and intangible goods. Moreover, embodiments of the present technology may apply to single goods or multiple goods. Multiple goods may include multiple identical goods and / or multiple dissimilar goods. Identical goods may refer to items that are actually identical (e.g., a particular bond issue) or items that bidders view as nearly identical substitutes.

[0025] Finally, choices are discussed throughout this document that should or can apply to specific embodiments for specific applications. These choices are left to the discretion of the auction designer (or mechanism designer), who is often the same person as the auctioneer, which is why the terms can be used interchangeably when making mechanism design choices. Simple Settings A simplified setup is a setup that applies to a one-off sealed-bid auction (or trading mechanism) that does not require access to information outside the auction to settle the trade and does not introduce a time element (which would distinguish between cases where a bidder submits the same bid at different times). Such setups are commonly used in auctions such as government bond auctions, IPOs, real estate auctions, and airwaves.

[0026] Allowable Bid Set: The types of bids that bidders can submit in an auction. For example, in a multi-item auction, bidders are only allowed to indicate that they are willing to purchase up to a certain quantity q of an item at a certain price p. If a bidder is willing to purchase at least a certain minimum quantity q, min If you state that you will not purchase the item unless you win the bid, then a minimum quantity bid is an acceptable second bid in addition to the unconditional bid described first.

[0027] The simple setting terms are explained below, but they will be expanded and applied to the advanced setting below. Bid Set Submitted at Auction: means all bids submitted by a bidder, some of which may be found to be invalid, revoked by the bidder, or changed.

[0028] Auction Bid Set or Valid and Open Bid Set: A subset of submitted bids, i.e., bids that are valid and open at the settlement stage of an auction (not revoked or modified by a bidder).

[0029] Bid information for individual bids by bidder i: Information that is usually understood as the content of the bid (which item, at what price, and under what conditions) and information including the bidder's identity.

[0030] Bid information of bidder i: A valid and unsettled bid at the settlement stage of the auction, containing the comprehensive bid information of all bids submitted by the bidder. Auction Bid Information: Information containing the bid information of each participating bidder.

[0031] Bid information excluding bidder i: Information obtained by excluding bid information related to bidder i from the auction bid information. Auction item set: Generated during the settlement phase of the auction from among the candidate item sets to be bought and sold in the auction (known from the start of the auction).

[0032] Candidate itemsets to be sold in the auction: A set of items that may be sold in the auction. In some embodiments of the technology of the present invention, the determination of which items and how many of them to sell can be made at the auction settlement stage (i.e., at the time of item allocation and payment). For example, the auction organizer can designate candidate items for sale at the beginning of the auction by announcing that the shares to be sold in the auction are between 1 million and 2 million, or that they intend to sell bonds for an expected amount between 1 billion and 2 billion. At the settlement stage, the auction organizer can determine the total amount to be sold based on the submitted bids. Alternatively, the auction organizer can designate candidate itemsets for sale by announcing that two types of bonds A and B will be auctioned together for an expected amount of 2 billion, and then determine the respective quantities of bonds A and B (i.e., the itemsets for sale) at the time of the auction settlement. Note that in a double auction, there is naturally a difference between the candidate itemsets and the itemsets that result at the time of settlement. For example, bidders in a double auction for stocks know that stocks will be traded (which defines the candidate set), but they also understand that the total volume (the set of items being bought and sold in the auction) will vary depending on the bids submitted by buyers and sellers in the auction.

[0033] Auction item allocation: X={X i ,···X n}, and each participating bidder i iIdentify which sets of items were bought and sold. Auction price exchange: T={T i ,···T n}, which specifies how much consideration (usually price) each participating bidder i has given or received.

[0034] Item allocation and payment for bidder i in the auction: X respectively i and T i and refers to the item purchased or sold by the bidder and the amount paid or received at the auction.

[0035] Item allocation and payment in the auction excluding bidder i: XX respectively i and T.T. i X is the item bought and sold by bidder i and the payment received. i and T i For example, if buyer i wins an auction for items A and B at prices 5 and 6 in an auction for products A, B, C, and D, then X i =(X iA ,X iB ,X iC ,X iD )=(1,1,0,0) and T i = (5,6,0,0). Depending on whether the item is sold or purchased, X i Note that can be positive or negative. Therefore, X i =(X iA ,X iB ,X iC ,X iD) = (1,-1,0,0) indicates that bidder i bought product A and sold product B. Similarly, the payment for a particular item need not be positive (a negative payment indicates that the bidder sold an item), and even if a bidder "purchases" an item (e.g., in an auction-like setting, when applying an auction mechanism for coordination purposes), the payment need not be zero, and the payment need not be monetary (bidders participating in an auction can "pay" in points equivalent to a certain amount). Furthermore, X i and T i The way in which X is specified depends on which method is most convenient. For example, for bidder j who wins 100 shares in a securities auction at $7 per share, X j =100, T j It may be convenient to write =7.

[0036] Local Auction Information: refers to information contained in messages sent by the auction organizer to bidders or otherwise made publicly available to bidders through the System. Altitude settings Advanced configuration: The simple configuration is enriched by adding a time element as a variable (e.g., when the time of bid submission matters) or by coupling the trading mechanism to exogenous variables and / or the platform (here, exogenous means generated outside the trading mechanism). An embodiment tailored for this configuration can be applied to creating a trading platform, for example, by holding hourly auctions for buying and selling stocks.

[0037] This setting is more comprehensive than the Simple setting, so all of the functionality of the embodiments of the invention described in the Simple setting section is still present in the Advanced setting (the Advanced setting simply adds functionality of potential embodiments of the invention).

[0038] In this setting, all submitted bids and other information are time-stamped, and therefore it becomes necessary to distinguish between the current value of a variable at time t and the history of the variable up to time t (or, in the following, the history up to time t), which is defined as the collection of variable values ​​from the start of the auction up to time t.

[0039] Local auction information at time t: This refers to information contained in messages sent by the auction organizer to bidders at time t during the auction, or information that is made public to bidders in some way through the system.

[0040] History of regional auction information at time t: Contains the collection of regional auction information from the start of the auction until time t. Local auction information for bidder i at time t: refers to the local auction information sent to bidder i at time t.

[0041] History of local auction information for bidder i up to time t (or history of local auction information up to time t): refers to the history of local auction information for bidder i. Regional auction information excluding bidder i at time t: Information obtained by excluding the regional auction information of bidder i at time t from the collection of regional auction information of bidders at time t.

[0042] History of local auction information up to time t excluding bidder i: The history of local auction information for bidder i up to time t can be obtained by excluding the information included in the history of local auction information up to time t sent to all bidders.

[0043] Advanced auction mechanisms allow bids on auction items to depend on exogenous variables, or allow bidders to buy and sell goods directly on an exogenous platform. The term "exogenous" means generated outside the auction. Again, it is important to distinguish between the value of an exogenous variable at time t and the history of the value up to time t, which includes the collection of values ​​from the start of the auction up to time t. In an exogenous trading arena, the value at time t can refer to the best prices and the quantity of exogenous trading available at those prices, and the history of the value is again the collection of values ​​from the start of the auction up to time t.

[0044] In terms of auction bids, in the advanced setting, each bid from bidder i is time-stamped in addition to the simple setting. The set of valid and outstanding bids for bidder i at time t includes all bids submitted by bidder i from the start of the auction through time t that are valid up to time t. Combining these bids across all bidders yields the set of valid and outstanding bids for the auction at time t.

[0045] Bid history of bidder i up to time t: consists of all bids submitted by that bidder up to time t, including, for example, bids that are still valid and outstanding and bids that have expired. Bid history in the auction up to time t: The combined bidding history of all bidders. The bidding history in the auction up to time t, excluding bidder i, can be calculated by subtracting the auction bidding history of that bidder.

[0046] In some embodiments, the present invention is implemented as a trading platform, i.e., a series of auctions are held at intervals such as one day or one hour. In this case, in the context of the above history, the auction start time does not refer to the start of the current auction, but rather to the start of the first auction in the sequence to which the current auction belongs. The sequence is left to the discretion of the auction designer. For example, if auctions run every hour from 9:00 AM to 5:00 PM on any given trading day, a sequence is naturally defined as a series of auctions held on the same day, and the relevant start time for the 3:00 PM auction, in the context of the considered history, is the start time of the first auction on that day, which is 9:00 AM.

[0047] Assuming that auctions are actually conducted in sequence, it is also useful to define a transaction history up to time t. This history refers to information about successful transactions (i.e., item allocations and price exchanges for successful auctions) from the start of the series of auctions up to time t. Note that the auction settlement process takes a certain amount of time D, which can be problematic in high-speed trading applications. If so, the transaction history up to time t would also include transactions that occurred through the settlement process initiated at time t (in the sense that valid, unsettled bids at time t were taken as input data). It is at the discretion of the auction organizer of the present invention to provide none, all, or part of the transaction history to bidders. However, in practice, regulatory requirements regarding transaction reporting may apply. For example, if a series of auctions is held for stocks, regulatory requirements may specify the obligation to report the price and quantity of successful transactions.

[0048] An overview of embodiments of the present technology will now be provided, with the discussion focusing on embodiments of the present technology that provide trading apparatus and methods. overview Generally, embodiments of the present technology provide systems and methods for composite trading mechanisms in which a participating trader's message field contains a composite order (i.e., a set of permissible orders). Simply put, a composite order contains terms and conditions that are ascertainable only upon confirmation of orders submitted by other traders and / or the outcome of the transaction other than the trade (quantity and price) assigned to that trader.

[0049] For example, a composite order may specify features such as allowing all traders to purchase a certain quantity of an item only if the total amount sold in a multi-item auction exceeds a certain minimum, or specifying that the maximum quantity that other winning traders can purchase must be below a certain limit. A composite order may also include conditions related to statistics generated by other traders' successful and unsuccessful bids, allowing a trader to bid a certain quantity of a certain item only if there are no minimum bids within a certain range of items being bid on, or to bid a certain price and quantity in a uniform-price multi-item auction only if the average value of the items that could be won is a certain amount lower than the last winning order quantity if the trader had not participated in the current auction.

[0050] In the following description, the structure of the components of the present technology will be described first, followed by a description of the components in operation. structure 1A and 1B are block diagrams illustrating an example trading instrument according to one embodiment of the present technology for use in a simplified configuration as described below. Referring to FIG. 1A, trading instrument 100 according to the present technology includes order taker 102, order storage module 104, trade generator 106, and reporting module 108.

[0051] In one embodiment, trading device 100 is connected, via wires or wirelessly, to participating entities in the transaction and / or auction. For example, but not necessarily, trading device 100 is attached, either internally or externally, to auction organizer system 114. In another embodiment, trading device 100 is connected, via wires or wirelessly, to bidder system 110. In yet another embodiment, trading device 100 is connected to exogenous variables, such as another trading market. In another embodiment, bidder system 110 receives bids from bidders.

[0052] In one embodiment, the order taker 102 receives orders from at least one trader. The "order" includes at least one composite order. In one embodiment, the order taker 102 receives at least one composite order with conditions selected from the following group of condition categories: items for purchase, items for sale, auction item allocation and payment, statistical data derived from information contained in the order, variables that require the use of at least some information contained in the order, itemless transactions, order functions appropriate for at least one composite order, and impact on local transaction information. Note that these condition categories are by no means exhaustive.

[0053] Additionally, in another embodiment, the order taker 102 receives at least one composite order that includes a condition on a variable representing one of a group of concepts consisting of price impact of the order, auction size, market size, liquidity, oversubscription, competition level, equity (balance), variance, supply / demand imbalance, stability, and market momentum.

[0054] The order storage module 104, in one embodiment, stores orders. In one embodiment, the order storage module 104 stores information including, but not limited to, the items being auctioned, the trader's identity, the trader's password, and the trader's bid information (including submitted bid sets and valid and outstanding transactions derived from the auction item allocations and quantities).

[0055] 1A and 1B, in one embodiment, the trade generator 106 generates trades based on the orders and the trading mechanism 146. In one embodiment, the trade generator 106 includes a comparator 120 and a trade execution device 122. The comparator 120 compares the stored orders with the trading mechanism 146, while the trade execution device 122 executes the trade based on the comparison of the comparator 120. In another embodiment, the trade generator 106 includes a settlement method module 124 that executes a settlement method 148 (of the trading mechanism 146, described below).

[0056] In one embodiment, the reporting module 108 reports on transactions involving items such as, but not limited to, government bonds, private bonds, currency exchanges, bills, stocks, mutual funds, derivatives, options, credit default swaps (CDS), variance swaps (VAR), commodities, electricity, oil permits, carbon allowances, carbon credits, real estate, online advertising rights, patents, airwave licenses, airport slots, data capacity, and other tangible and intangible goods.

[0057] In still other various embodiments, trading device 100 includes one or more of the following: order manager 158, local auction information module 128, trading mechanism storage module 138, selectable order entry form 140, transaction storage module 142, instruction receiver 144, and trading mechanism 146.

[0058] In one embodiment, the order manager 158 manages order-related events. In one embodiment, the order manager 158 is configured to manage order-related events selected from the following: submitting an order, modifying an order, canceling an order, creating a valid and open order set from orders, acknowledging receipt of an order, releasing a portion of an order, and transactions generated in response to an order. Note, however, that the above events are not exhaustive.

[0059] 1A and 1B, in one embodiment, trading instrument 100 includes a local trade information module 128. Local trade information module 128 reports and generates local trade information based on orders and / or transactions.

[0060] 1A and 1B, in one embodiment, trading instrument 100 includes trading mechanism storage module 138. Trading mechanism storage module 138 stores trading mechanisms 146. In one embodiment, trading mechanism storage module 138 is accessible by trade generator 106.

[0061] In one embodiment, trading device 100 includes selectable order entry forms 140 that can be selected by at least one trader 112. Furthermore, in one embodiment, the selectable order entry forms are selected from a group of selectable order entry forms consisting of the following: a text specifier, a mathematical condition specifier, a function specifier, a domain specifier, and a trading objective of at least one trader 112. Note, however, that the above selectable order entry forms are not exhaustive.

[0062] Additionally, mathematical expressions may be selected using selectable input forms, including, but not limited to, selecting from a finite set of options, specifying text, specifying mathematical conditions, functions, or domains.

[0063] Additionally, as described in more detail in the Operations section below, the non-compound conditions include, but are not necessarily limited to, the following: price-linked conditions, routing conditions, trade-affected conditions, minimum execution quantities, and blanket conditions. In another embodiment, each of the at least one composite order includes at least one composite condition and at least one non-compound condition selected from the following group of conditions: price-linked conditions, routing conditions, trade-affected conditions, minimum execution quantities, and blanket conditions.

[0064] In one embodiment, the trading mechanism storage module 138 stores all trading mechanisms 146 and local transaction information used to conduct the auction.

[0065] In one embodiment, trading device 100 includes a trade storage module 142. This trade storage module 142 stores trade-related information. For example, but not necessarily in this example, the trade storage module stores auction item allocations, quantities, and other additional information derived from the trade generator 106, which obtains relevant information from trading mechanism 146 and settles the auction.

[0066] In one embodiment, trading device 100 includes an instruction receiver 144. This instruction receiver 144 receives instructions regarding the reporting of trades. In one embodiment, trading instrument 100 operates at least one round of a dynamic auction. In one embodiment, trading mechanism 126 includes a settlement method 148. In another embodiment, trading mechanism 146 includes at least one trading rule 156. In one embodiment, the at least one trading rule 156 associated with the trading mechanism is selected from the following rule groups: rules regarding orders, rules regarding liquidation, rules regarding candidate sets of items, and rules regarding when to settle a trade. Note that these rules are not exhaustive. Furthermore, in one embodiment, the at least one trading rule associated with a trading mechanism may be one of, but is not limited to, a parameter specifying acceptance criteria for the at least one composite order, a parameter specifying acceptance criteria for the non-composite order, a parameter for modifying the order, a parameter specifying timing requirements for submitting the order, a candidate set of items to be traded, the number of participating traders and their identities, a predetermined trade deposit, a parameter specifying an event that will cause the trade generator to compare the stored order with the trading mechanism, a parameter specifying an event that will cause the trade generator to execute the trade, information about the trade to be communicated to at least one of the traders after the trade is generated, rules for communicating with other trading markets, local trade information to be communicated to at least one of the traders, a parameter specifying communication with the trader regarding the trading mechanism, a monetary payment for each execution of the order, a monetary payment for each execution based on at least one characteristic of the order, a monetary payment for each execution of an order based on information generated at the time the trade is generated and / or information used to generate the trade, and a budget balancing rule.

[0067] In one embodiment, the settlement method 148 includes at least one of the following: a trading format 150, a trading objective 152, and a tiebreaker 154.

[0068] In another embodiment, trading format 150 used in trading device 100 is selected from the group including the following formats: a first price auction format, a second price auction format, a first price combination auction format, a second price combination auction format, a differential price auction format, a uniform price auction format, a differential price combination auction format, a uniform price combination auction format, and a combination auction format, although it should be noted that these trading formats are not exhaustive.

[0069] In another embodiment, optimizing trading objectives 152 involves considering the effect of trades generated based on at least one selection criterion selected from the group consisting of: auctioneer revenue, auctioneer costs, trading profit, trading volume, auctioneer revenue maximization, equity, diversification, and price stability, although it should be noted that these selection criteria are not exhaustive. Quick setup for bidding / ordering One embodiment of the present technology is a class of auction mechanisms, the most important feature of which is that bidders can submit a new type of composite bid. In particular, in our auction, at least one bidder i can submit at least one composite bid, where the composite bid includes at least one composite condition that must be satisfied when the auction is settled.

[0070] The conditions included in the bid by bidder i are called complex conditions if they have the following two characteristics (a) and (b): Confirming the bidding conditions (a) is not always possible in the following cases (1) and (2): (1) bidder i's item allocation and price payment (X i ,T i), and (2) when only the specific information of bidder i is known (here, "not necessarily" means that many bidders submit many bids, and ascertaining their terms is impossible with only the information contained in (a)), and (b) at least sometimes, the item allocation and payment of the auction excluding bidder i (XX i ,TT i ) and / or information contained in or derived from all or part of the bids in the auction (where "at least sometimes" means that many bidders submit many bids and ascertaining their terms requires at least some use of the information in (b)).

[0071] Below, we describe acceptable bids for the simplified setup, starting with the five categories of complex terms. Note that there may be many more complex terms categories in the simplified setup. These five category descriptions are not mutually exclusive or exhaustive.

[0072] The first category of complex conditions are conditions on the set of items being sold in the auction. These conditions become important, for example, if only a single set of potential items is known in advance. In that case, a) this is true because a bidder who wins, say, 100,000 shares in a stock auction has no way of knowing from that number alone how many shares were sold overall, and therefore b) this bidder needs to find information about the distribution of items throughout the auction (in this case, the total amount being sold). An example of this first category of complex bid is a double-auction bid that requires the total volume to be above a certain amount (because that total is unknown in advance, depending on the bids submitted for sale or purchase), or a bid in a securities auction that includes a constraint on the total amount being sold or issued (unless the total amount is predetermined by the auction organizer).

[0073] The second category of complex conditions are conditions on the allocation of items and / or payment in the auction, excluding bidder i, other than the conditions on the set of items being bought and sold. An example of the second composite category is as follows: In an auction of heterogeneous items, bidder i bids $5 for item A on the condition that item B is not won by another specific bidder j. This bid satisfies both conditions a) and b) above. In other words, if bidder i happens to not place a bid and is unable to win both item A and item B, then for bidder i, the item (X i It is impossible to know whether bidder j won item B or not, but it is impossible to know whether bidder j won item B or not, based on only the information about item allocation XX except for himself. i This is possible by using information about who else besides bidder i has won item B. Conditions a) and b) use the words "not always" and "at least sometimes." This means that if bidder i happens to place a bid and wins item B, he can certainly know that bidder j did not win item B, and therefore, the price of item X that he won is also different from the price of bidder j. i Based on the knowledge of the other bidder, it is possible to check the conditions of item A (in this case, to confirm that the conditions are met), but the other bidder has won the bid for item XX. i Since we have no knowledge of, it is not possible to satisfy both conditions a) and b).

[0074] The third category of composite conditions is the condition of statistical data derived from information contained in the bid information excluding bidder i (which may be both successful and unsuccessful), in which case statistical data can be formed simply by knowing at least some information contained in the submitted bid set.

[0075] An example of the third category is when bidder i bids on item A and includes a condition that there must be at least three other bidders who offer a bid of $4 or more for item A. This bid is (X i ,T i), but can be confirmed using simple statistical data formed by the information contained in the bid information excluding bidder i.

[0076] A fourth category of complex conditions are conditions on variables that can only be computed using at least some information contained in the bid information excluding bidder i (in which case the computation may require, for example, using a separate hypothetical auction as both a set of successful and unsuccessful bids in the current auction that excludes some or all of bidder i's bids, and resolving that as the set of bids in the hypothetical auction).

[0077] An example of the fourth category of bid is as follows: Suppose bidder j in the uniform price auction for stocks is willing to buy 1,000 shares at a price of no more than $7 per share, provided that the price impact of the winning bids is, on average, at most $0.0001 per share (alternatively, each share purchased could be capped at $0.0001). The variable bidder j is conditioned on is the price impact of his or her bid, which is related to the liquidity and size of the auction. The Operation section of this document explains how to calculate price impact and what different versions of price impact constraints look like. However, the basic idea behind such constraints is to capture how much a winning bidder i will change the price at the time the auction settles, compared to if he or she had not participated in the auction. Since the calculation of price impact requires using the bids in the auction bid set excluding bidder i (both successful and unsuccessful bids in the auction) and using these bids to resolve other hypothetical auctions (in which bidder i does not participate), this bid falls into the third category above.

[0078] In addition to conditioning on price impact, bidders may condition on variables including, but not limited to, auction size, market size, supply / demand imbalance (e.g., there are many more sellers than buyers), oversubscription, competition, liquidity, the variance of the auction's item distribution (i.e., a small number of bidders winning a majority of all items in a multi-item auction, or a large number of "small" winners), or equity (e.g., capturing the case where a particular group of bidders wins many items, but unlike variance, the identity of the winners is important in this case). The specific definition of these variables, and the choice of which, if any, bidders are allowed to submit conditions on these variables, are left to the auction (or mechanism) designer.

[0079] Also compatible with the present invention are the fifth category of multiple bids. These bids are unrelated multiple bids. That is, they may include the conditions of the first through fourth categories, but are distinct from any of them. That is, bidders do not bid on any items in the auction, but instead bid on a price or quantity based on valid conditions. For example, in the first example above, bidder k may offer $1 if item C is not won by a specific bidder h (this is similar to the second category of multiple bids, except that there are no conditions attached to the bid for, say, item A). The fifth category of multiple bids may be particularly useful in auction-like settings, where the present invention can be used to coordinate decision-making.

[0080] In some embodiments of the auction of the present invention, bidders may submit bids with multiple composite conditions. In particular, conditions from the above categories may be combined, either from the same category or from different categories, or from both. Thus, a bidder in an auction of securities may indicate a willingness to purchase up to $1,000 of stock at no more than $70 per share, provided that the price impact per share is $0.0001 and that the total number of shares outstanding is greater than or equal to a certain number. A bidder's bid, whether composite or non-composite, may include conditions standardly used in auctions, such as a minimum execution size. That is, bidder j in the previous example may be required to condition that he or she is willing to purchase at least 600 shares in the auction. In some embodiments, composite bidding and prior art conditional bidding may be combined. For example, bidder i may submit a winning bid for set X i You may wish to purchase items A and B together, with the condition that you will only purchase them if another specific bidder does not win item C.

[0081] Bidders in some embodiments of the present invention may submit multiple composite bids (each composite bid with multiple terms). Recall that a composite bid is a bid that includes at least one composite term (and may include multiple composite terms and any number of prior art terms).

[0082] In some embodiments of the present technology, the composite bids described above may be submitted as valid bids in any round of a conventional dynamic auction, including, but not necessarily limited to, at least one round in which bids for current and / or future rounds can be manually and / or automatically adjusted and entered. For example, an auction of the present invention may be conducted in one or more rounds, the results of which (or information derived from the results) may be communicated to bidders in that round without performing item allocation (in the sense that no items are sold or bought) until the final round of a preferential dynamic auction.

[0083] In some embodiments, the set of allowable bids may include composite bids, but may also include other bids commonly used in the prior art, such other bids being unconditional and / or subject to one or more non-composite conditions. Advanced bidding / ordering FIG. 1C is a block diagram illustrating an example of a trading device according to an embodiment of the present technology used in an advanced configuration, as described below.

[0084] In one embodiment, trading instrument 100 includes external communications module 130. External communications module 130 communicates with external exchanges and / or databases. An external exchange is an exchange other than the exchange that includes trading instrument 100.

[0085] In one embodiment, external communications module 130 includes an order routing module 132 and / or an exogenous information accessor 134. Order routing module 132 routes a portion of an order to an external trading market. Note that "portion" refers to less than the entire order as well as the entire order. Exogenous information accessor 134 accesses information from the external trading market and / or database.

[0086] In embodiments of the present invention with the advanced setting, bidders may submit many more types of bids than in the simple setting, including price-linked bids, routed bids, and transaction-influenced bids, as described below, as well as a detailed description of how the advanced setting carries over and enriches composite bids from the simple setting.

[0087] It is useful to first discuss a trading concept: price-linked orders. Price-linking orders is advantageous in volatile, continuous markets (e.g., the U.S. stock market, where millisecond execution and high-frequency trading strategies are common). Specifically, a bidder can place an order linked to a variable representing the highest bid (or ask, or midpoint) price for a stock by indicating their willingness to purchase a specific quantity of shares at a price equal to the current midpoint minus a certain number of cents (the minimum price fluctuation). The price of the price-linked order is continuously adjusted to the variable to which the order is linked, without the trader having to constantly monitor it (which would otherwise require the trader to repeatedly place and cancel price-linked orders, resulting in missed opportunities in rapidly moving markets). Next, as a feature of the present invention, a more general version of price-linking is described.

[0088] In some embodiments of the present invention, bidders may submit conditional price-linked bids (as with composite bids), and it is useful to distinguish between different categories depending on the conditions included in the price-linked bids.

[0089] A first category of price-linked bids includes a condition upon the settlement of the auction. For example, if the auction of the present invention is for a particular listed stock on the New York Stock Exchange (NYSE), a bidder may specify that they are willing to purchase only if the auction settles within five minutes or by 3:00 PM, and may specify that the settlement of the auction will be conditional upon the order of 10,000 shares at $30 each. Alternatively, a bidder may specify that they will cancel their bid at a particular price and quantity after 4:00 PM.

[0090] The second category of price-linked bids involves conditioning the bid on at least one exogenous variable, i.e., the actual realization of that variable at the time of settlement of the auction. The bidder in the previous example could condition his bid on statistics formed by other exogenous variables, such as the midpoint of the stock's National Best Bid and Offer price (NBBO) at the time of settlement, the price movement within a specified interval of that midpoint, the occurrence of volatility in the three minutes leading up to settlement, or the price of a call option and the volume of the highest outstanding bid at the time of settlement of that call option.

[0091] An example of a bid involving conditions in the first and second categories above is when a bidder specifies that they will purchase shares unless the price of a particular stock (or some exogenous variable) deviates from a specified interval by 3:00 p.m.

[0092] A third category of linked bidding involves local auction information sent by an auction organizer. For example, if a local auction message sent by an auction organizer includes a price range applicable to a certain fixed-size order, a bidder can submit a bid to purchase a specific quantity of shares, provided that the price range falls within a specified interval. Alternatively, if the local auction information includes information regarding the number of bids or the total amount of bids submitted within the last three minutes, a bidder can submit a bid provided that the number or amount of bids meets or exceeds a certain threshold.

[0093] In some embodiments of the present invention, bidders may include combinations of exogenous variable conditions and / or combinations of those conditions with other conditions described above in connection with composite bids. In one embodiment, these combinations of exogenous variable conditions with other conditions include at least one composite condition.

[0094] In embodiments of the present technology, bidders are permitted to submit routed bids, i.e., bids where at least a portion of the bid can or must be sent to another (external) exchange for execution. For example, a bidder in an auction could bid 100,000 shares of stock at $5 per share or less and purchase a specified number of other shares for each share won in the auction, specifying that the routed portion be sent (perhaps using an order forwarding system) at a limit (or market) price, provided that the price impact of the bid is no more than a specified amount.

[0095] Also compatible with the auction format of the present invention are trade-inspired bids, i.e., bids that: a) are natural analogs of order structures existing in the prior art for trading mechanisms (in the sense that they are submitted to a stock exchange or other trading market); and b) are not simply price and quantity (they may have other specifications). A natural analog means that the bid utilizes characteristics that define an order. For example, an "immediately execute or cancel" (IOC) order is submitted to the market, which immediately cancels the order if no trade is executed. A bid analog is a bid that is submitted immediately and then immediately canceled if it does not win when the auction settles. In some embodiments of the present invention, bidders can then submit "good-till-cancel / crossing" orders, stop orders, and other standard orders that meet the conditions in a) and b) above. Bidders can specify that their bids expire depending on other variables (e.g., depending on the midpoint of the NBBO for some stocks), specify public and private portions (as in the case of a pre-order), and include compound terms in the private portion of their bids.

[0096] In the advanced setting section of this chapter, composite bidding is expanded compared to the definition in the simple setting. In particular, given that bidder i submits a bid at auction time t, the settlement process begins at time t (and is therefore based on the valid and outstanding bids at time t), as well as the auction item allocation and payment (X,T) (where (X i ,T i Let us consider a case where a bidder i has a condition that is satisfied only when the auction is settled, generating a bid (X ) that represents the item allocation and payment of the bidder i). A condition included in such a bid is called a compound condition if it has the following two characteristics. That is, the condition cannot necessarily be confirmed by a) knowing only the following 1-6: 1. The item allocation and payment of the bidder i (X i ,T i ), 2. the bidding history of bidder i, 3. the start time t of the settlement process, 4. exogenous variables up to time t, 5. the transaction history up to time t minus information about (X,T) ("up to time t" means up to just before time t), 6. the history of regional auction information for bidder i up to time t minus information about item allocation and payment (X,T) (the "not necessarily" above means that many bidders submit many bids, and it is impossible to ascertain the terms of the bids simply by having the information in (a)), and b) at least sometimes, the item allocation and payment (XX) of auctions other than bidder i. i ,TT i ) and / or information contained in or derived from all or part of the auction information up to time t (where "at least sometimes" means that many bidders submit many bids and ascertaining their terms requires at least some use of the information in (b)).

[0097] Conditions a) and b) above mimic the analogous conditions in the simplified setting, but are slightly different. Simply put, in a multi-bid scenario, bidder i can condition his or her bid on something that he or she would not have discovered by relying solely on the information available to him or her. Conditions 1 and 2 above are nearly identical to those in the simplified setting, except that bidder i now has a history of bidding, whereas in the simplified setting he or she only had one valid, outstanding bid.

[0098] Information 3 about the settlement time t and exogenous variables 4 are included in condition a) because otherwise, bids linked to the value of time t or the history of exogenous variables up to time t would be considered composite, which is not the original intention. Similarly, the transaction history up to time t is also included because otherwise, algorithmic trading strategies would be considered composite, assuming that bidders submit bids based on the transaction history, which is also not the original intention. Note that transactions at time t are explicitly excluded, so these bids are not linked bids. The reason for excluding transaction information at time t is that all item allocations and payment / received values ​​(X,T) are included, which allows us to specifically exclude (XX i ,TT i ) will be included. Finally, the local auction information is included in 5. This is because, otherwise, orders linked to auction information or algorithmic orders based on the local auction information as described above would be compounded, which is also not the original intention. Moreover, in the general configuration of the mechanism, it is not possible to prevent the local auction information sent at time t from being included in the local auction mechanism, so it is necessary to subtract information about the item allocation and price exchange (X,T) at time t (in practice, if the settlement process is virtually instantaneous, it is possible to include (X,T) for application purposes).

[0099] The first general statement about the definition of composite bidding is that whether a bid is composite depends on the specific mechanism chosen, and more precisely, on the history of the regional auction information available to bidder i at time t. Consider the case where bidder i bids 10,000 shares at $5 each, but with the condition that at least three other bidders also bid 10,000 shares at $4.50 or more per share. If only sealed bids are allowed in this auction, the bid is composite. If all submitted bids are immediately published, the bid is non-composite, since the history of regional auction messages available to bidder i up to time t contains information about all submitted bids and thus confirms bidder i's condition. If bidders have the option of publishing their bids or not, the above bid is also composite, since there are many bidders and bids and condition a) above holds (i.e., whenever at most two bidders bidding 10,000 shares at $4.50 or more per share choose to publish their bids).

[0100] The multiple bid categories from the simplified setup are carried over. This is evident for the first and second categories (defined by the terms of the items bought and sold and the item allocation and price exchange, respectively).

[0101] In the third category of composite bidding (conditional on information contained in bids other than bidder i's bid), a bidder could submit a bid to buy at $50 per unit, for example, contingent on at least a certain quantity being bid at $49 per unit in the last three minutes. Note that this example takes into account the bidding history of other bidders, not just open bids (as in the simplified example, where a bid at $5 per unit on item A is contingent on at least three bids on item A at $4.50 per unit or more).

[0102] The fourth category of composite bidding also allows more flexibility in the advanced setting compared to the simple setting. A bidder can, for example, bid for a particular share based not just on the price impact of this bid, but also on the change in price impact compared to the magnitude of the bid's price impact, say, the highest or lowest price over the last five minutes. Again, this example takes history into account.

[0103] The fifth category, like the first four categories, is a conditional bid, but since you do not bid on the item directly (as explained in the simple setup section), if you assume that bids in each of the four categories are carried over, then the fifth category will also be carried over.

[0104] In the advanced setting, it is useful to describe two additional categories of composite bids. Note, however, that these additional categories, whether present or absent, are not exclusive or exhaustive as a set of categories (much like the simple setting). Note also that in the advanced setting, bidders may condition on all of the variables already described in the simple setting, but the addition of a time element gives them even more flexibility in doing so. The addition of a time element also allows bidders to condition on variables such as stability and market momentum. Stability, here, refers to the lack of expectation of significant price fluctuations. For example, a bidder may condition their bid on a larger number of bids at a lower price, assuming a smaller quantity (the greater the number of such bids, the more likely price declines or illiquidity). Market momentum is described by conditioning a bid on the number of (unfilled) bids submitted above or below the current price in the last three minutes.

[0105] In some embodiments of the present technology, bidders can submit a sixth category of composite bids that include conditions regarding bid information that will be matched with the bidder during the settlement process. For example, a bidder in a double auction can specify that they are willing to purchase a particular item only if the bidder against whom they are purchasing the item submits a bid within a certain time interval (e.g., at least five seconds before the auction settles). Or, a bidder can condition their queue order. For example, if they want to purchase a set of items at a certain price, they can condition their bid by not being the last bidder to purchase at that price (bids at the same price are sorted by time priority, i.e., earlier submitted bids take precedence over later submitted bids at the same price). Or, a bidder can condition their bid on the identity of other bidders who will win a particular item, or the amount of time that has passed since the other bidders won the item.

[0106] In some embodiments of the present technology, a bidder may submit a seventh category of composite bid, contingent on the effect that the bid will have on the variables included in the local auction message, provided that the bid is included in a valid, outstanding set of bids and the variables are updated accordingly. Note that whether a bid is composite or not will, of course, depend on the local auction information available to the bidder. This type of bid also has a linking function. Finally, the bid conditions may be met well before the bid is executed during the auction settlement phase. In practice, to prevent bidders from gaming the bidder, it may be best not to inform the bidder when the conditions are met. Another way to prevent such abuse of bids is to specify that this category of bid cannot be revoked for at least a certain time (e.g., three seconds) after submission.

[0107] An example of a seventh category of bid is as follows: if a regional auction message includes a price range that is likely to apply to a fixed-size order, a bidder can include a condition in their bid that the price impact of that price range not exceed a certain amount per share (or some fixed amount for the entire order). Note that this example is intuitively similar to making a bid conditional on the bidder's price impact. This bid is a composite bid because, at the time of bid settlement (which may be long after the condition is fulfilled), the condition cannot be ascertained by the bidder knowing only their item allocation and payment, timing, and other information available in a) above, but can be ascertained with knowledge of the full auction information.

[0108] In the seventh category of composite bidding, the terms are easier to calculate, which allows for a less computationally intensive auction than the calculations required for the fourth category of composite bidding, which is conditional on price impact.

[0109] Finally, to reiterate, all aspects of the present invention described in the simplified configuration are also included in the advanced configuration. Moreover, auction mechanism features and bidding features can be combined in any combination. Specifically, therefore, bidders can submit multiple composite bids (each of which may have multiple composite conditions). A composite bid, as used herein, refers to a bid that includes at least one composite condition, but may also include two or more composite conditions, and may include any number of conditions already present in the prior art. Bidders can also submit bids that include any subset of the non-composite conditions described in this section (i.e., linked bids with routing and / or other trade-inspired conditions). An auction in accordance with the present invention can also be held once as a round or as part of a dynamic auction (as described in the simplified configuration).

[0110] In this regard, the auction designer determines which of the composite bids described in this application to submit and how to formulate the composite bid, i.e., composite conditions, including, but not limited to, the following: a selection from a finite set of options, a statement specification, a mathematical condition, a function or domain specification.

[0111] Furthermore, for ease of explanation, the following is a non-exhaustive list of products to which the present invention may be applied: public and private bonds, foreign exchange, bills, stocks (including baskets such as ETFs), derivatives (including options, credit default swaps (CDS), variance swaps (VAR), etc.), commodity trading (including electricity), oil drilling rights, emission allowances or credits, real estate, online advertising rights, airwave licenses, airport slots, data capacity, and other tangible and intangible goods. operation Trading rules (excluding settlement) Payment Rules Payment Process, Components Payment Methods: Theory and Advantages operation Simple Settings The basic timeline for an auction process using the present technology is standard in the sense that an auction must be initiated, bids must be solicited, settlement must occur, and related results must be communicated to bidders. An embodiment of the present technology provides an auction organizer system (10) that sends auction messages to all participating bidders over a communications network (30)(101). These messages may include auction rules, specifically trading rules (including potential sets of items to be auctioned, bidding timeframes, acceptable bid types, bid deposit amounts, etc.), and / or the settlement method to be used to settle the auction, as well as other related information.

[0112] Bidders submit bids to the bidding system (20i), which are transmitted (30) over the network and received and stored in the auction database (30) (102). Bidders may receive a message from the auction computer confirming that their bids have been received. Bidders may modify or cancel their bids before settlement of the auction begins. Bids are stored in the auction database (45) and accessed by the auction program (46) to check the validity of the bids and generate the set of valid, open bids for the auction (103).

[0113] As the auction database receives bidders' bids, it calculates and updates the valid and outstanding set. In particular, how this set is determined is up to the auction designer. In this case, design choices can include simple methods for canceling isolated invalid bids (e.g., bids to purchase an item after the bidding deadline has passed) or more proactive intervention (e.g., the designer may discard the most recent bid if it is found to be invalid among earlier submitted bids, or discard the oldest bid that creates a conflict of interest in relation to the set of outstanding bids).

[0114] The auction program (46) settles the auction using the valid and outstanding sets and settlement methods at the predetermined time of settlement, stores the results (i.e., performs item allocation and price exchange (45-5)), and derives additional information (45-6) from the auction results and / or bid contents, some or all of which is stored in the auction database (45)(104). The auction settlement process is described in more detail at the end of this chapter, after the description of the allowable bid set (which is part of the inventive auction system), because the characteristics of allowable bids affect the components of the settlement mechanism that the bid solicitor must specify to settle the auction, and the process for executing settlement based on the specified settlement mechanism.

[0115] An example of information derived from the auction results (45-6) in step (104) is the average winning bid in a multi-item auction, i.e., the average winning bid. Information derived from the bids can include statistics generated during bidding (e.g., statistics indicating the level of oversubscription in an auction based on the number of unsuccessful bids above a certain reserve price), as well as more sophisticated computational derivatives based on the content of the bids (e.g., a variable representing the price impact of the three largest winning bids in a multi-item auction, which must be solved from several hypothetical auctions based on both winning and unsuccessful bids in that auction; this example is explained in more detail in the Examples section of this document).

[0116] The auction computer (40) returns user-specific relevant information to the auctioneer and bidders, which may include any subset of the information in (45-5) and (45-6). Since such information varies depending on the bidder, the auctioneer may, for example, inform bidder i of the item allocation and payment (X i ,T i ), or in a multi-item auction, they can decide to communicate only the average winning bid.

[0117] The auction organizer has several options regarding the liquidation of the auction, i.e., tying the transfer of cash to and from bidders to the trade execution of the trade. For ease of explanation, these options are shown in an advanced configuration because embodiments of the present invention may be used to implement trading platforms in advanced configurations, where trading platforms typically charge transaction fees and rebates (i.e., cash transfers) (as opposed to single auctions, which only charge participation fees).

[0118] 2A and 2B are flowcharts illustrating an exemplary trading method in accordance with an embodiment of the present technology. Note that the steps illustrated therein can occur simultaneously or sequentially.

[0119] 1A-1C, 2A, and 2B, in one embodiment, orders are received from at least one trader 112, in step 202. The orders include at least one composite order as described in this section.

[0120] As described in this section, in one embodiment, the orders are stored in step 204. In one embodiment, the orders are stored internally within trading device 100, however, in another embodiment, the orders are stored on an external storage medium connected to the trading device via wired or wireless connections.

[0121] In one embodiment, a trade is generated at 206 based on the order and trading mechanism 146. In one embodiment, the order stored at 204 is compared to the trading mechanism 146. The trade is executed based on this comparison. In one embodiment, the trade is generated through execution of a settlement method 148.

[0122] In one embodiment, the trade is reported in step 208. In one embodiment, the trade is reported to at least one trader 112. As described in this section, in one embodiment, step 210 manages order-related events selected from the following group of events: order submission, order modification, order cancellation, creation of a valid and open order set, order receipt confirmation, partial order release, and trades generated in response to the order. In another embodiment, step 212 reports and generates local trade information based on the order and / or trades.

[0123] As described in this section, in one embodiment, the trading mechanism is stored in step 216. As described in this section, in step 218, a selection of a selectable order entry is received from at least one trader 112. In an embodiment, such a selection of a selectable order entry is received by trading device 100 using any number of input forms, including, but not limited to, voice command, touch screen, keyboard entry, icon selection using input controls, etc.

[0124] In one embodiment, information related to the trade is saved in step 220. In one embodiment, trade reporting instructions are received in step 222. In one embodiment, these trade reporting instructions instruct the reporting module on what to report and where. In one embodiment, these reporting instructions are entered through an input device connected to trading device 100. In one embodiment, the reporting instructions may be received from auction organizer system 114. In another embodiment, the reporting instructions may be received from an entity different from auction organizer system 114.

[0125] As described in this section, in one embodiment, trading method 200 operates on at least one round of a dynamic auction. Altitude settings In one embodiment, an auction database receives bids from bidders and calculates and updates the valid and outstanding bids.

[0126] 1A, 2A, and 2B, in step 214, one embodiment communicates with an external trading market and / or database. The external trading market is a market different from the trading market, including but not limited to, trading instruments 100 that receive orders from at least one trader 112. In one embodiment, communicating in step 214 includes sending a portion of the order to the external trading market and / or accessing information from the external trading market and / or database. Trading rules (excluding settlement) The following rules, and any combination thereof, are compatible with the present invention and are left to the discretion of the auction designer to define.

[0127] A bidder may withdraw a bid at any time after a specified or arbitrary waiting period, but this rule may apply to some or all bids, may vary over time, and may depend on the individual bids and / or combinations of bids previously submitted.

[0128] Bidders may modify some or all of their bids, and the priority of a bid may be maintained or delayed for a specific or arbitrary time period or according to other rules. There may be rules regarding the bids ever submitted, up to a certain point in time, including but not limited to rules that apply to any time interval, such as a maximum number of outstanding bids or a maximum number of times a bidder may modify a bid within a certain time period. Moreover, these rules may differ depending on the type of bid.

[0129] Regarding transparency requirements, the auctions of the present invention leave some freedom for the auction designer to choose a particular implementation. For example, the designer can choose to have the auction organizer or bidders publish some or all of the bids, either for each bid or for all bids, through the overall regional auction information, or after the auction is settled. Bidders can choose to publish information or send a message to all participating bidders.

[0130] The regional auction information that the auction organizer may choose to make public may include information about current bids, information derived from current bids, auction results history, and other optional information, such as the realized volatility (RV) of all auctions settled over the last three minutes, expressions of interest in trading stock (without disclosing whether they are interested in buying or selling), and information about the price range at which a bid of a given size is likely to execute (i.e., what the expected winning price, if any, is in a double auction). Additionally, at one or more points in time, or at any one time, the auction organizer may decide which regional auction messages its group of bidders will receive (meaning that not all bidders will receive the same regional auction information).

[0131] In the auction of the present invention, one can exercise a choice over the set of items to be sold in the auction, or simply announce a candidate set of items to be sold (e.g., by including such information in the initial local auction message).

[0132] For cashing out of an auction, the auctioneer may charge a participation fee, and bidders may be charged or paid for the goods being bought or sold, much like a stock exchange charges transaction fees and / or pays rebates on executed orders. It is useful to distinguish between three categories of fees / rebates. The first category is the standard fees / rebates found in the prior art of trading mechanisms and / or auctions, i.e., the fees and rebates per pair of goods, which may vary depending, for example, on whether the order is posted to the ledger (providing liquidity and thus paying a rebate upon execution) or a market order submitted for execution in response to an order on the ledger (losing liquidity and thus charging a fee). In some embodiments of the present invention, a second category may exist, i.e., differential fees / rebates. That is, depending on the characteristics of the bid, the auctioneer may charge bidders a fee. For example, successful bidders may pay a higher per-share fee if their submitted bids included constraints, such as minimum execution size or conditions on the price impact of the order. Alternatively, a bidder may pay a larger fee if they place "split orders" on the exchange, such as when a bidder wins a total quantity but that quantity is made up of many smaller orders.

[0133] In some embodiments, the auction organizer may also charge a third category of fee or pay a rebate that depends on the settlement terms at the time of the bid's execution. The fee and / or rebate payment varies depending on the length of time between the bid's inclusion in the set of valid, outstanding bids and the auction settling (which a bidder can always estimate if they know when they bid). Other criteria for determining payment amounts include, but are not necessarily limited to, the ranking of the winning bid (depending on the auction's item allocation, which may be very difficult or impossible for a bidder to estimate) and the amount of liquidity the bid or bidder provided (measured by how much the bidder's bid affected the item allocation, e.g., by increasing the total trading volume compared to the volume that would have been generated without the bidder). Also, in some embodiments of the present invention, bidders have the option to specify the maximum fee per share they are willing to pay, e.g., upon execution of their bid.

[0134] In some embodiments of the present invention, the total rebates paid by bidders and fees received from bidders during item allocation may always be positive, but this is not required. Auctioneers can charge fees and pay rebates in four different ways: they can exercise budgetary discretion and choose only to balance their budget for some item allocations (thus offsetting rebates and fees), or they can require the ability to pay other item allocations at settlement (if the rebates exceed the fees collected). This flexibility potentially gives auctioneers running a series of auctions greater control over volume and price stability, for example.

[0135] The auctioneer may choose to include any combination of the four types of fees and / or rebates listed above. Payment Rules In some embodiments of the present invention, orders are routed to other exchanges and / or trading markets (e.g., alternative execution markets, or ATSs, for equities) during the auction settlement phase. This is particularly necessary if routed bids (defined below) are permitted. The auction's settlement program must access and retrieve open volume information at the NBBO, for example, for inclusion in the auction's database of valid and open bids. This is particularly necessary in applications where regulations, such as trade-through rules, require a trading market to settle at a price outside the NBBO to liquidate (off-market) available trades below a certain price. In that case, the auction program must route orders to trade with each seller or buyer in the market currently offering the best price. From the auction's perspective, this presents an execution risk, such as the order being filled in whole or in part, or not trading at the expected price. The auction organizer then gives traders a choice of how much risk they are willing to take (e.g., up to a 10% deviation in trading volume) and / or the option to compensate for some or all of the variance due to partial execution of their orders (e.g., by compensating for price differences incurred in trying to hit a target volume at the time of auction settlement).

[0136] Regarding the timing of auction settlement, the auctioneer has several options in a sophisticated environment. They can choose to settle at a specific time (e.g., every hour between 9:00 AM and 5:00 PM) or based on conditions that can be verified against information derived from valid bids in a database and / or from outside the auction. For example, the auctioneer could continuously monitor the set of valid, open bids, calculate the resulting item allocation, and settle (execute) that item allocation only when the resulting trades reach a certain volume and / or if the volatility of an exogenous variable is below a certain number. Alternatively, the auction could be settled only when a minimum volume of a stock is reached and the difference between the previous and current auction settlement prices is below a certain number. Alternatively, the auctioneer could exercise discretion over whether to allow trading to occur under certain conditions, such as when the auctioneer wants to manually halt trading due to a large drop in price from one auction to the next.

[0137] The auctioneer's ability to choose when the auction will settle means that in some embodiments, bidders do not know exactly when or if a transaction will be settled at all.

[0138] The process of calculating the resulting item allocation based on the current set of valid, outstanding bids can be time-consuming. Once the settlement process is initiated based on valid, outstanding bids at time t, the process may not finish until time t+D. Therefore, it is necessary to specify how to handle bids submitted in the time interval [t, t+D] and how to handle cancellations that occur during that same time period, which affect the valid, outstanding bids currently being used in the settlement process. The auction organizer can specify that new bids be collected in a database and merged with valid bids from settled auctions. The auction organizer can allow bidders to cancel bids at any time, but can also delay cancellation of bids used in the settlement process until the settlement process is complete. Note that a design choice must be made regarding how to handle unfilled or partially filled bids in the settlement process. One possible option is to include the unfilled portions of these bids in the valid, outstanding bids after settlement.

[0139] The following describes the transition from one auction to the next when a series of auctions is conducted. First, information about exogenous variables and regional auction messages can be transmitted at any time. Consider an auction that began at time t'. Assume that the settlement process for this auction begins at time t (t>t') and is completed at time t+D (the transaction is also executed at that time). The database of valid and outstanding bids is then updated (e.g., by combining bids that were partially filled but still valid at settlement with the set of valid bids submitted between times t and t+D) to serve as the first valid and outstanding bids submitted in the next auction. Such a next auction is designed to begin at time t+D. Transaction information for the auction that began at time t' is also announced at time t+D and added to the transaction history available in the next auction. In general, at the start of the next auction, the entire history up to time t+D (including the history of regional auction information, exogenous variable information, and the set of submitted bids and valid and outstanding bids) is accessible. Payment Method The settlement mechanism for a composite auction mechanism may use any standard auction format used in the prior art, including first- or second-price auctions for individual items, differential and uniform prices in multi-item auctions, combined versions of these formats, other combinatorial auctions, and the general composite transaction format described below. It is also consistent with the present invention to include other standard features, such as reserve prices for some or all of the potential items in the auction. The auction organizer may also specify tie-breaking rules, indicating, for example, that pricing in a uniform price auction may be pro rata. (A more specialized alternative is to allow time priority between bids of the same price, so that the earlier bid is filled. Another alternative is to give priority to bids that do not include constraints such as minimum size or specific composite limits.) In particular, tie-breaking rules are meant to include rules regarding how to select among several settlement prices (e.g., when multiple bids match any item allocation in a double auction where one auction price must apply to all items being sold).

[0140] Furthermore, selecting a settlement method also involves selecting an objective function, which determines the item allocation and price transfer from among multiple options selected by the settlement method and tie-breaking rules in the auction. The term objective function does not necessarily refer to a mathematical function that automates the selection, but rather refers to the criteria the auctioneer considers to select among the options. Potential selection criteria include the revenue the auctioneer expects to receive from the auction, the auction costs, the profit from the transaction, or other variables such as equity and variance in the auction (which can be represented by statistical data based on the auction results). The auctioneer can choose to maximize any of these selection criteria or any combination based on a value function of their own choosing. The value function can change over time, allowing the auctioneer to "manually" select from among the options. In practice, it may be desirable to announce the exact method for determining the winning bidder, including disclosing the auctioneer's objective function, prior to the start of the auction.

[0141] To illustrate the meaning of the objective function and allowable bids in the settlement process, consider a simple example of a bond issuer that decides to sell either 1 billion or 2 billion face value bonds and allows bidders to submit bids contingent on the total issue amount. (In the example above, bidder j indicates that he or she is willing to purchase a minimum of 600 shares and a maximum of 1,000 shares at $7 per share if the total issue amount is 1 billion and $6.50 per share if the total issue amount is 2 billion.) If the bond issuer's objective is to maximize revenue and chooses a uniform price auction format, then the settlement process for this simple case essentially amounts to settling two separate uniform price auctions: one for 1 billion face value bonds and one for 2 billion face value bonds (considering only valid bids contingent on the respective issue amounts) and choosing the one with the higher revenue. The settlement method for composite auctions is discussed in more detail below.

[0142] In the advanced configuration, the auction organizer has more options regarding settlement methods than an auction organizer running an auction using the simple configuration described in Chapter 1. For example, the auction organizer may seek to maximize not only revenue but also a combination of revenue and price stability criteria. A natural price stability criterion for an auction organizer running a double auction of stocks using a uniform price auction might be the difference between the stock's most recently bid price and the potential price of the current auction, or, once the potential price of the current auction is included, the realized volatility of the auction price within a specific time interval leading up to the current auction. In general, in some embodiments of the present invention, the auction organizer may select objective functions that include metrics shaped by the results of past auctions, and these objective functions change over time (e.g., the auction organizer may include price stability in the objective function only if the price volatility of the auctioned item or related asset becomes high before and after the auction).

[0143] Generally, the settlement process of a trading mechanism (i.e., a trading mechanism that is not necessarily an auction mechanism) involves taking the set of valid, outstanding bids and applying a settlement method to that set of orders. This settlement method can be any method specified by the mechanism designer (the designer has full control and can, for example, ignore all orders submitted on odd seconds and initiate an auction of the remaining set of bids, even if that is clearly not a sensible trading format). If the trading format happens to be an auction format, then the trading mechanism belongs to the subgroup of trading mechanisms that are also auction mechanisms.

[0144] At this point, it is useful to introduce some non-auction mechanisms that are in use in practice and explain what composite ordering looks like in relation to those mechanisms. First, consider the trading mechanism used by most exchanges, such as the NYSE. Using the terminology introduced in the Advanced Settings section, this mechanism includes the following elements: the set of allowable bids / orders (including limit orders, market orders, and usually many other types of orders), rules for calculating the set of active and outstanding orders (e.g., a sell stop order is triggered the moment the stock price falls below a certain limit), rules for local trade information and trade information (to fully or partially disclose orders in the ledger, as in the case of pending orders; trades are reported under the SEC's Post-Trade Price Transparency). The mechanism also includes rules for crossing orders (i.e., how to generate trades based on the set of active and outstanding orders), which represent the trade format (including tie-breaking rules).

[0145] Embodiments of the present invention also include augmentation of prior art trading mechanisms, such as those used in exchanges and other alternative execution markets for securities, where the modification or augmentation of these mechanisms results in composite trading mechanisms through the introduction of composite orders. As noted above, there are numerous potential composite orders, many of which are used in composite trading mechanisms. The following paragraphs provide very brief examples of composite orders in three types of trading mechanisms. It should again be noted that any of the above redemption options (e.g., differential commissions / rebates) may be applied to the trading venue.

[0146] The trading mechanism used by exchanges allows traders to submit compound orders: one that is private (not displayed in the ledger), specifies a price, a quantity, and perhaps a minimum size, and that can only be matched by orders submitted at least three minutes before the order is executed (if the execution is within the NBBO). Alternatively, a trader can include a compound condition stating that he or she wishes to buy or sell a specific quantity only if the total volume exceeds a certain amount or a certain multiple of the quantity ultimately purchased. (For completeness, it should be noted that any order entered in the ledger, or more precisely, any quantity offered, may be prohibited from having a compound condition attached.) Another compound order may specify a trade price and quantity, provided that the compound order submitted in the last few seconds is of at least the specified quantity, is not immediately canceled, and is priced above a certain threshold.

[0147] As another example, consider a mechanism such as the NYSE match point. In this case, submitted orders contain only the quantity a trader wants to buy or sell. Orders are crossed / cleared multiple times throughout the day at prices determined by other trading venues (e.g., by averaging the price over a randomly selected number of minutes prior to the NYSE cross). Because the price is determined elsewhere, balancing supply and demand is impossible, so orders must be prorated at settlement. When there are more buy orders than sell orders, all sell orders are filled and buy orders are prorated. When there are more sell orders than buy orders, the opposite is true. In this case, traders are concerned about getting their orders filled when they are exactly on the wrong side (when there are more sellers, all sell orders are filled, potentially causing prices to fall). This concern is even more acute for those trading large volumes. A composite bid in this situation may include a condition that the ratio of supply to demand exceeds or falls below a certain number. Alternatively, a condition could be included that a composite bid to buy up to a certain quantity must be made only if the total trading volume is at least a certain number times the quantity the trader is buying in the cross order.

[0148] As another example, consider a pipeline trade, which broadcasts local trade information based in part on orders currently in the system. For large orders, a pipeline trade devised a unique block price range, such as the price at which a 100,000-share order would be executed. This price range takes into account information about the set of active, open orders in the system as well as fundamental information such as stock volatility. Therefore, the seventh category of complex orders introduced above can include conditions that affect such a block price range. Note that if the conditions are not met or if there is insufficient interest on the other side (no corresponding buy or sell orders), traders will not know whether their order has been executed. To prevent trader gaming, the auction organizer can always specify that this type of complex order (or complex orders in general) cannot be canceled for at least a certain number of seconds.

[0149] In other embodiments, a bank may utilize embodiments of the present invention by allowing a customer to submit a composite order that results in a transaction that either a) executes the transaction and then executes the outstanding customer order elsewhere, or b) does not execute the transaction but uses information derived from the results of the transaction to execute all or part of the customer order elsewhere.

[0150] Note that if composite orders are permitted on an exchange or other trading platform, algorithmic trading strategies that send orders to those markets may be modified to also send composite orders and to utilize information gathered from the execution of those composite orders. Trading Mechanism and Settlement Procedures Before describing the settlement procedure, it should be noted that once a settlement method is selected and all bids are collected, the mathematical problem surrounding auction settlement is fully defined.

[0151] Simply put, any auction (or trading mechanism) that allows multiple bids (i.e., both simple and advanced settings), and any trading mechanism more generally (including auctions and other mechanisms) that allows multiple bids, executes the two stages described below. For ease of explanation, the following description is written in auction terms, but please note that the same applies to multiple trading mechanisms. (Indeed, multiple trading mechanisms derived from trading mechanisms actually used in exchanges and the like may have much less computational complexity in each of the two stages than a typical auction.)

[0152] The resolution of the composite auction mechanism is as follows: 1. Resolve / settle virtual auctions across a variety of market conditions (using auction formats and tie-breaking rules as settlement methods). 2. Select the outcome of the hypothetical auction whose outcome is relevant to the corresponding market equilibrium state (using an objective function defined as part of the selected settlement method).

[0153] The above terms are defined below. The concept of market conditions comes from game theory. For a prospective viewer, there are two possible worlds: with and without adverse winds. Or, a game show contestant, wondering what is currently hiding behind a door, might consider three possible states: nothing, $100, and $10,000. The contestant can also assign probabilities to each of the market conditions. Similarly, in an auction, each bidder imagines market conditions unknown at the bidding stage: a bond auction where other bidders are highly or less interested, resulting in oversubscription or undersubscription; particular bidders succeeding or failing to win a particular item; or the auctioneer deciding to issue a larger or smaller amount of bonds within a previously announced range of potential issuances.

[0154] In practice, bidders who choose optimal bidding strategies make estimates about possible market conditions and their likelihoods before submitting their bids. The difficulty bidders face, however, is that certain market conditions may make certain bids unwise. Bidders in heavily oversubscribed multi-item auctions do not simply regret not bidding higher, but regret not making such a choice in the first place, knowing that their bids affect the price (in both uniform and differential price auctions) and that if the items in the auction are commonly or independently priced (i.e., if each bidder's valuation of the item depends at least in part on the valuations of the other bidders), they further risk the "winner's curse."

[0155] The composite bidding of the present invention allows bidders to intuitively include conditions that are of interest to them. In a real estate auction, if a bidder wants to buy a house only if a friend can win the house next door, this can be included in the second category of conditions. In this case, the relevant market conditions are "my friend wins the house next door" and "my friend does not win the house next door."

[0156] Bidders in a bond auction may submit composite bids conditional on the number of bids above a certain price p exceeding n (corresponding to a third category composite bid), with the relevant market conditions being "the number of bids above price p exceeds n" and "the number of bids above price p is n or less."

[0157] Alternatively, bidders in a multi-item auction may be interested in total transaction volume (and thus bid more aggressively on a larger total transaction volume) because they know that bids targeting a given quantity and price tend to have a relatively small price impact and result in a larger total transaction volume. Similarly, bidders in a bond auction may be interested in and conditional on the bond issuance size because it likely affects the liquidity of the bond in the secondary market (larger issuance sizes tend to be more liquid). As a result, the auction organizer can allow bidders to identify three market conditions: when total transaction volume is between [0,q1] or [q1,q2], or greater than q2. Alternatively, the auction organizer can announce that the issuance size is in either the range [q1,q2] or [q2,q3].

[0158] In the above example, it appears that the auctioneer considers only a few market conditions. In the example involving total transaction volume, indeed, resolving the auction involves only a few hypothetical auctions, as described below. However, when auctions involve different items, or when the identity of the winning bidder matters, it becomes necessary to refine the market conditions implicitly "identified" by the conditions included in the bidders' composite bids. Consider the above example involving the neighbor's house. There are many possible allocations for the friend to win the neighbor's house, all of which must be considered. As a result, resolving the auction requires defining detailed market conditions, each corresponding to a specific allocation for the friend to win the neighbor's house. This group of refined market conditions corresponds to the broad market condition that the bidder describes as "my friend wins the neighbor's house."

[0159] Refining the market conditions at the time of settlement is especially important when each bidder submits different compound conditions. For example, suppose another bidder includes a condition on whether another specific bidder, Y, wins a specific house, H. In this case, the market conditions are divided into four different groups (e.g., one group is when the first bidder's friend wins the house next door, but Y does not win H). Similarly, if bidders in an auction of different products are allowed to specify the conditions "no bidder wins more than five items" and "at least one bidder wins five or more items," there will be two groups of refined market conditions equivalent to the market conditions identified by each bidder.

[0160] Because identifying distinct (groups of) relevant market conditions is computationally very difficult, choosing what composite bids bidders are allowed to express is an important part of mechanism design. To mitigate the computational difficulty, it may be desirable to allow bidders to submit only one composite bid or to restrict the acceptable conditions (e.g., limiting the total transaction volume to one of three predetermined intervals in the above example). Essentially, this design choice involves making a trade-off between what bidders want and what is computationally possible and appropriate for a particular allocation, as well as taking into account incentives for bidders (who may specify certain conditions because they have more information about the item than other bidders) and their strategic behavior. This design choice / problem is very similar to that arising in prior-art combinatorial auctions, where all-or-nothing bidding increases the settlement complexity for the auctioneer (e.g., a bidder specifying that they are willing to purchase items A, B, and C, but only if they can win all of them).

[0161] After identifying the relevant market conditions, the auctioneer proceeds to solve the virtual auction under the refined market conditions. From a computational perspective, in some auction designs, it is sufficient to solve the virtual auction only for the refined market conditions group, which greatly mitigates the computational challenges (more on this below).

[0162] The first step in resolving a virtual auction involves identifying the open bids in the set of valid and open bids in the auction, i.e., the set of valid bids conditional on market conditions. For example, if a bidder in the above auction conditions the total volume to be traded to be between [0,q1], that bid is valid only if market conditions actually result in the total volume being within [0,q1]. Moreover, all bids without compound conditions are valid, regardless of market conditions. Thus, in the above example, a simple bid containing quantity and price is valid, regardless of the total volume.

[0163] Once the auction organizer has identified a set of valid bids corresponding to the market conditions, they proceed to resolve the auction based on the bids. This auction is referred to as a virtual auction to emphasize the fact that it is only one of many auctions related to various market conditions.

[0164] For a corresponding set of valid bids, how the virtual auction operates is defined by the tie-breaking rules that are part of the specified auction format and settlement method. Note that while resolving a virtual auction can be computationally challenging, methods for doing so are standard in the prior art.

[0165] Steps 1 and 2 are explained below for the very simple case where the auction organizer decides to sell a specific number of shares in the format of a uniform price auction, announces that its objective is to maximize revenue from the auction, and allows bidders to trade between 1 million and 2 million shares, or between 2 million and 3 million shares.

[0166] Step 1 involves identifying a set of valid bids for each market state. Next, for each of the two market states, the auctioneer reconstructs a demand curve from these valid bid sets (by ordering the bids from highest to lowest). For example, the total volume q1 assumed to be sold in the first interval [1 million, 2 million] is * The auction organizer will set the final winning bid at p1 * Identify the related revenue and calculate the * ,p1 * (Formally, the auctioneer solves a uniform price auction for each quantity that can be generated in the interval and calculates the associated auction revenue.) For any quantity in the first interval, suppose Q1 * ,P1 * is the maximum profit (if there is a tie, the auctioneer will select the larger quantity to break the tie). However, Q1 * Q1 may not actually exist. That is, the total demand for all bids, subject to the total volume being in the interval [1 million, 2 million], is less than 1 million. * If there exists a symmetric token whose total transaction volume is in the interval [1 million, 2 million] (and of course, whose supply volume is exactly Q1 * This indicates that the market is in equilibrium (i.e.,

[0167] Next, the auctioneer repeats the same process for the second interval of quantities [2 million, 3 million], Q2 * ,P2 * (Intuitively, this could mean that interest in the auction was relatively high.) Note that for ease of explanation, the auctioneer is defined here as the entity that performs the steps above, but in practice this is done by the algorithm that implements the settlement method.

[0168] In the second step, the auctioneer uses his objective function (i.e., maximizing profit) to choose among the available equilibria. In this case, Q1 * and Q2 * If there exists an equilibrium related to Q1, he will choose the one with the larger revenue. In this example, allowing bidders to bid contingent on the total transaction volume allows the auction to be undersubscribed (hence, Q1 * Also Q2 * Q1 * While there is no advantage to the auctioneer if the auction is actually oversubscribed (i.e., the auctioneer can take advantage of the oversubscription to issue, say, 2.3 million shares, as opposed to choosing a pre-determined sale quantity of, say, 1.5 million or 2 million shares), the auctioneer can take advantage of the level of oversubscription.

[0169] From a step back, settling a multiple-bid auction requires resolving several virtual auctions for a particular market situation, but each of these virtual auctions has a standard format in the prior art, and standard methods are used to resolve those auctions.

[0170] The above example is quite simple because the hypothetical auction to be solved for each market state is a standard uniform price auction, which is easy to solve. However, solving such auctions in real-world applications of prior art auctions is difficult. For example, the (usual) minimum execution size constraint on bidding in a standard uniform price auction turns the auction into a uniform price combinatorial auction. That is, bidders still must pay the minimum bid price, but determining the winner is a set-packing problem, which belongs to a class of problems considered NP-hard. One way to reduce the complexity is to allow minimum execution sizes to be specified only for large transactions, e.g., 1,000 shares. Similarly, determining the winner in auctions of disparate products, especially in the case of all-or-nothing bidding, requires solving a very difficult combinatorial problem. Such combinatorial problems must include, for example, sophisticated tie-breaking rules, which again depend on the specific application. To make these auctions more manageable in practice, auction designers have chosen to limit the number of allowable bids (e.g., by limiting the number of possible combinations or the number of all-or-nothing bids a bidder can submit) or to limit the number of items for which bids are being made in the first place. There is also some flexibility in how to handle bids with binding constraints. For example, in the past, auction organizers have rejected bids with minimum quantity constraints in unitary price auctions selling fixed quantities, even though including them can lead to high profits. One reason for this decision is to reduce the computational complexity of resolving the auction, and another is that bidders would otherwise be encouraged to include a minimum execution size in the hopes of bidding lower for a larger quantity and then winning a higher bid without a minimum execution size constraint (which may occur depending on the quantity and price of the next lowest bid).

[0171] As is clear from the previous paragraph, allowing the bidders in the previous example to include a minimum size restriction in their composite bids would mean that the virtual auction to be solved would be a uniform price combinatorial auction. As a result, settling the entire composite bid auction, subject to the issue quantity and minimum execution size, would be correspondingly more difficult. Design choices may need to be made to ensure manageability (as in a standard uniform price combinatorial auction), and one option, as noted above, could be to allow a minimum size restriction only when the predetermined size is large.

[0172] In general, the auctions of the present invention are difficult to solve because they involve solving a collection of virtual auctions that are difficult to solve to begin with. It is counterintuitive to try to increase the difficulty of an already difficult theoretical problem. The difficulty of each virtual auction (i.e., the difficulty of each composite auction) depends on the number of items being auctioned, the number of bidders, the number and types of composite constraints that bidders can and do submit, the interactions between these bids, the settlement method chosen by the auctioneer, and so on. Note, however, that auction designers can choose a particular composite auction mechanism in a way that best suits their particular application while still ensuring manageability of the composite auction.

[0173] To better illustrate steps 1 and 2 above, here are some examples of composite auctions: Consider a case where a commodity is put up for sale and bidders submit bids on the condition that there are at least some bids exceeding price P1 or at least some bids within the interval [P2, P3]. In this case, the auction organizer needs to conduct the auction in line with the market situation suggested by the prices included in the bidders' conditions and the minimum number of bids. For a specific market situation, for example, when the price is in the range of [P1, P3] (where P2 < P1 < P3 in the above case) and the number of bids exceeds n, the auction organizer may find that there are no corresponding valid bids within the interval [P1, P3] with the number of bids also being n. If so, this state cannot be said to be an equilibrium state. Instead, in this auction process, another equilibrium state related to a market situation where the price is in the interval [P1, P3] and the number of bids exceeds n' (where n' > n) is found. The type of composite bid in this example is conditional on simple statistical data derived from the submitted bids and thus corresponds to the third category. Similar examples of the third - category composite bids include composite bids in multi - item auctions conditional on the average winning price being within a specific interval or above a certain level. In this case, the auction organizer starts the bids from market situations corresponding to an average value or an interval between average values, conducts a virtual uniform - price auction for each of these market situations, and selects the optimal equilibrium state that can be found.

[0174] Next, an example of the fourth category is when bids are conditional on variables such as price impact. To start with a simple example, consider a multi - item auction of certain securities. The auction organizer puts up a quantity Q of securities for sale using the uniform - price format, with the aim of maximizing revenue. Bidders submit bids conditional on the price impact, that is, the price impact per unit of the lot sold (or per average of each item sold) is L * is as follows (where L *The system announces that bids can be made subject to a price impact (specified by the bidder, in fractions of a cent). Conditioning on price impact is similar to conditioning on the size of the auction or liquidity (the term liquidity is commonly represented by lambda in exchanges and double auction venues), hence the capital letter L, after the Greek letter lambda. After collecting all bids (composite and non-composite), resolving the auction must take into account different market conditions, which can be identified by the price impact L attached to the several winning bids. For any market condition L ** In this case, the set of valid and outstanding bids includes any non-composite bids as well as L * >L ** The price impact when * (i.e., all these bidders can bid up to L * Since we accept price impacts up to L, we accept price impacts below L. ** also accepted).

[0175] After identifying valid bids, these bids are <L ** A limit order is placed to reproduce the market demand curve such that (L <L ** The price impact of a bid (in market conditions where p = 0.01), or more precisely, the price impact of any winning item that is part of a winning bid, is defined as the difference between the price p that would settle a hypothetical auction in that market condition and the price p' that would settle the auction if the winning bid set were excluded; the highest non-winning price is instead included in the winning bid set. Similarly, if a bidder states the average price impact of each winning item, then the n winning bids by a bidder (which may be only a small fraction of the total bids by that bidder) are calculated as the difference between the price when the winning bid is included and the price when the winning bid is replaced on the demand curve by the next n highest-bid items, divided by n.

[0176] L <L **To solve a hypothetical auction in each market situation where <L ** One might find that no set of winning bids is consistent with price impact. Intuitively, the price impact conditional is the shape of the demand curve to the right of the last winning item. This information is important to bidders, especially when goods have common or independent price characteristics, making a bidder's evaluation dependent on the evaluations of other bidders. It is also important for bidders who plan to resell the goods at a later date (e.g., dealers bidding for U.S. Treasury securities with the intention of later reselling them in the secondary market as on-the-run bonds). Conditioning on price impact allows bidders to "see" the shape of the demand curve and "look ahead" (quantity-wise) to the extent that they buy in large quantities. That is, bidders who buy in large quantities in a composite bid conditional on price impact can look further ahead than bidders who make smaller bids. More specifically, starting with an initial unsuccessful bid at price p, the demand curve shifts left by an amount equal to the bidder's winning item (winning bid), until it intersects with a vertical line at some new price p' at point Q, where Q is the total quantity sold in the auction. This essentially prevents bidders from playing the game, since looking further ahead would require them to actually purchase more items. The ability to predict the shape of the demand curve may make bidders less concerned about the "winner's curse." In other words, bidders can submit bids that guarantee a large winning quantity only if the market size is large enough.

[0177] L <L **The problem of determining the set of winning bids in each market condition such that is a combinatorial problem, since the auctioneer must first choose the best (profit-maximizing) way to select the winning bid quantity Q corresponding to the set of winning bids (which, again, may be a small fraction of the total bids submitted), and then choose the auction item allocation and price exchanges that result in the profit-maximizing market condition.

[0178] Another way that bidders can condition on price impact is by assuming that the price impact of a given quantity Q of an item is L * The best way to do this is to include a condition stating that the winning bids must not exceed Q. In this case, all winning bids will be able to "see through" to Q on the demand curve for the relevant market conditions. Such a price impact condition can be useful, for example, when an auctioneer wants bidders to be able to adjust their bids up to the auction's oversubscription level (as opposed to the example above, where multiple bidding provides additional protection for each bidder from the "winner's curse").

[0179] A composite bid with price impact can also be part of a double auction with a uniform price format. Consider the first example of price impact above. In a double auction, buyers D <L * The seller agrees to the terms and conditions set out in S <L S * It is also possible to include a condition that specifies D is the demand side price impact of each item traded, and L S is the supply-side price impact. As a result, the market conditions that the auctioneer needs to consider are: D ** and L S **, which is where the auction process begins, as in the example above. Intuitively, the demand curve starting from the last unsuccessful bid at its intersection with the supply curve shifts left (by the amount of the winning bid for the item) and intersects with the supply curve at a new point p', allowing buyers to "see" what's coming next, according to the price impact term. Price impact thus describes the relative shapes of the demand and supply curves.

[0180] Having a price impact condition in a double auction, or any trading mechanism, is advantageous for traders because they are less concerned about the "winner's curse" and can be more aggressive in a liquid auction (market). Especially when multiple auctions are held throughout the day, bidders will try to bid aggressively out of concern that if they are not large enough in a particular auction, their bid will have a large price impact.

[0181] In practice, there is ample evidence that traders choose to match their trading volume to the market size. To prevent leaks and avoid being the first to market, traders split large orders into smaller ones, each of which is traded on a trading platform for a certain period of time. The smaller orders are "small" compared to the current volume traded on the respective market. Furthermore, dynamic trading strategies, such as the VWAP (Volume Weighted Average Price) algorithm, calculate the historical volume distribution of individual stocks, then dynamically place large buy (or sell) orders for those stocks over a certain period of time, placing more buy (or sell) orders when volume is high (and therefore the price impact is low).

[0182] While it is common for orders to be split into large and small orders, markets are often two-sided in the sense that there may be significant buying and selling activity even though no liquidity is visible in the trading market order book. In a double auction with composite bids that are conditional on price impact, bidders do not need to worry about "getting ahead" to get to the front of the line. Instead, bidders can maintain control over the price impact associated with bidding at a price throughout the composite bidding period.

[0183] Next, it seems important to mention alternative ways to replicate composite auctions. Instead of allowing bidders to condition their bids on market conditions, market conditions can be entered into an otherwise standard auction item definition. For example, instead of allowing bidders to make composite bids on item A conditional on there being five other bids, the auctioneer could allow bids on two items: "item A if there are at least five bids on item A" and "item A if there are fewer than five bids on item A." Similarly, in a multi-item auction, instead of allowing bidders to condition their bids on a total volume greater than or equal to one million shares, bidders could be allowed to bid on two different items: "shares sold as part of a total volume greater than or equal to one million shares" and "shares sold as part of a total volume less than one million shares." In these two example auctions, the auctioneer would pre-announce that only one of the two different items would be available for purchase. Resolving these auctions involves following the same procedure as resolving a virtual auction for a group of market conditions that are refined by items (as in the standard definition of a composite auction, where bids are applied to refine relevant market conditions). Specifically, for each market condition, the auctioneer runs a virtual auction utilizing all bids for items relevant to that market condition (e.g., a virtual auction for a market condition with over 1 million shares for sale would utilize all bids for "shares sold as part of a total volume of over 1 million shares"). Designing such a composite auction is not intuitive, which is why the present invention is directed to allowing composite bids rather than "complex items."

[0184] Second, note that a composite auction mechanism requires solving different types of auctions in different market conditions. For example, in an auction for multiple items, the auctioneer can issue a single product in either a small or large quantity and specify that a differential price auction should be used in the small quantity market conditions. The auctioneer (or auction designer) can also choose to run auctions in some market conditions and adapt the orders received to a non-auction trading format in other market conditions. This means that the overall mechanism is a composite trading mechanism, not a composite auction mechanism.

[0185] Finally, it seems important to apply the composite auction format to dynamic auctions that exist in the prior art. These auctions are held over multiple rounds, beginning with a first round and concluding with a final round. Each round establishes a set of current prices for the items offered for sale (note that the quantity of items offered for sale, e.g., bonds issued, may change over time). As the auction progresses, the auctioneer communicates with bidders and typically allows bidders to change their bids in each round. Bidders submit bids in the current round, where they depend on information revealed in previous rounds, but can also submit bids that will be valid in future rounds. The auction begins with an initial round and ends with a final round, where equilibrium is reached (i.e., supply and demand are equal). Some prior art dynamic auctions attempt to alleviate the same problems that the first and second categories of composite bidding attempt to alleviate. For example, bidder j can adjust his or her bid in each round in a way that prevents certain bidders from winning certain items.

[0186] Our composite auction differs from dynamic auction rounds in two ways: First, the information shared with bidders in each round of a dynamic auction is presumed to include information related to market conditions that become evident once the auction has concluded. For example, bidders in one auction may discover after several rounds that competition is too fierce and the auction is oversubscribed. Conversely, information related to conditions specifically useful for composite bidding must be information not shared by the local auction information. Intuitively, in a dynamic auction, bidders have more options to adjust their bids to what they discover as the auction progresses. In contrast, bidders in a composite auction must specify what they will do about what they discover. Second, even if a dynamic auction is run in a fully automated manner, it still possesses path-dependency by its structure, like a sealed-bid auction (bidders cannot change their bids in any round). That is, a dynamic auction begins at a certain point and ends once an equilibrium state is reached. In particular, if the decision to end the dynamic auction is made in the nth round and is calculated now, the algorithm cannot "look into the future" and the decision on whether to end the auction in the nth round is made based on the bids available in the round after the nth round.

[0187] Sometimes, the equilibrium seen in a dynamic auction is the same as that seen in a composite auction. However, if there are multiple equilibria, there is no guarantee that the equilibrium seen in a dynamic auction is the best one; it is simply the first equilibrium that appears (on the path initiated in the first round). In a composite auction, on the other hand, the set of all equilibria is first identified (regardless of whether they were reached via the dynamic auction path), and then the best equilibrium from that set is selected. Trading Mechanisms and Motivations It is useful to point out a potential advantage of composite auctions. In practice, the fact that bidders anticipate the existence of different potential market conditions, such as "the auction is highly oversubscribed" or "the auction is undersubscribed," and the uncertainty this presents to bidders, complicates the selection of the optimal bidding strategy. Consequently, composite auctions may alleviate this difficulty and allow for easier bidding.

[0188] Hybrid bidding generally benefits bidders by allowing them to identify and essentially eliminate some of the auction outcomes that they deem unfavorable, thereby reducing the ex-ante uncertainty and associated exposure risk they face, thereby allowing them to bid with greater confidence.

[0189] These advantages become more pronounced when the items on offer have common or independent value (in the sense that a bidder's valuation of the item depends at least in part on the valuations of other bidders), and bidders fear the "winner's curse," especially when there is significant uncertainty about the item's value, leading to poor auction results.

[0190] However, even for purely privately valued goods, composite bidding can be attractive when multiple substitute goods are auctioned, or when a series of auctions is conducted (such as stock auctions several times a day) where the liquidity of any one auction fluctuates (so that large buyers may not know which auctions have large sellers). In particular, current auction systems allow bidders to submit more aggressive bids the more liquidity there is in a particular substitute, or in the case of a series of auctions, the more liquidity there is in a particular auction. In both cases, composite bidding implicitly guarantees larger buying and selling when the liquidity and size of the auctions are large. In the case of a series of auctions, composite bidding allows large buyers and sellers to "discover" each other and solve the sequential coordination problem of deciding which auctions to bid in (by submitting large bids without fear of significant price impact).

[0191] In addition to sequential coordination problems, composite bidding can also help alleviate more general coordination problems that arise in auctions, such as the example of two friends wanting to buy adjacent houses in a real estate auction, or another example would be a group of companies trying to decide which technology patents to buy, or which mall to purchase for future development.

[0192] Next, as explained above, settling an auction in accordance with the present invention involves solving several hypothetical auctions (which may also represent combinatorial problems) and selecting the outcome of one such auction such that an equilibrium exists based on the submitted bids. In game theory terms, this process corresponds to identifying a set of possible equilibria in a game and engaging in equilibrium selection, i.e., selecting the equilibrium most likely to produce a favorable outcome. While game theory suggests that many games have multiple equilibria, this is typically an undesirable feature of a game because players in the game cannot coordinate which equilibrium to select (i.e., there is no way to select an equilibrium), potentially resulting in an equilibrium that is unfavorable to all players.

[0193] In reality, multiple equilibria may exist and be important, without any obvious way of selecting one (as discussed below). Moreover, if multiple equilibria exist within the context of an auction, these multiple equilibria may be reflected in the settlement process. However, in this case, the auctioneer can actually select the most advantageous one (or, more precisely, the most advantageous equilibrium is selected by the objective function specified in the settlement process). If this is the case, the existence and selection of multiple equilibria is precisely one of the advantages of the composite bidding method of the present invention.

[0194] Consider the following four examples of multiple equilibria that actually occur. First, most typical examples involve bank management, which can be thought of as (simply put) as cases with two equilibria. One equilibrium: Fearing that the distressed bank will go bankrupt, all customers simultaneously withdraw their deposits, causing the bank to go bankrupt. The other equilibrium: The bank's customers believe that the bank is still viable, and at some point the bank will recover from its difficulties.

[0195] The second example concerns multiple equilibria in the context of systemic risk in the financial system, an issue that has recently attracted attention in regulators and academia. Consider (again for simplicity) two market states / equilibrium for an interconnected system of banks: one in which most or all banks fail (banks are linked by lending relationships and / or hold similar assets, which may well have declined in value due to the forced bankruptcies and liquidations of the failed banks), and one in which all banks remain viable. Selecting an equilibrium state in an auction settlement process is not practically possible. To avoid the failure of systemically important financial institutions, regulators strive to build trust.

[0196] A third example, trading gridlock, is perhaps most relevant to the auction application of the present invention. In a market for securities, where the size is small and bids tend to have a large price impact, buyers and sellers refrain from bidding or placing large orders, resulting in low and potentially persistently low trading volume and price discovery, and the absence of price discovery means that bidders are uncertain about the exact price of large units. However, such markets also exist in a liquidity equilibrium where trading volume is higher and price discovery is easier. Given the high aggregate trading volume (significantly off the asset's accurate valuation), bidders are less concerned about the "winner's curse" and the price impact of their orders, and they submit bids with relatively large quantities and more aggressive prices.

[0197] The practical question that arises is how to move from one market state / equilibrium to the next. If each bidder submits a large bid, the market will be liquid, but large bids will only occur if the market is liquid—a chicken-and-egg problem. In this case, a double auction, where bidders can bid contingently based on trading volume, can help. The settlement process would restore an equilibrium consistent with gridlock (i.e., low total trading volume, with small individual bids contingent on that low volume) and another equilibrium with high liquidity (with larger bids contingent on high total trading volume). The ability to choose a liquid equilibrium rather than a gridlocked one would foster more trading, improving trading volume, the welfare of participating bidders, and price discovery compared to the gridlocked state that preceded the auction.

[0198] As a fourth example, consider a bar. The bar may be full, which makes it popular and attracts more people, so it will always be full. Alternatively, the bar may be mostly empty, which makes it unpopular and attracts no one, so it will remain mostly empty. Once one of the equilibria is settled upon, where the bar remains either popular or unpopular, it becomes difficult to move from one equilibrium to another (i.e., choose between equilibria). Similarly, a company bidding for a booth at an industry trade show may find it difficult to bid or to bid higher if it knows that many other companies will also be exhibiting, increasing the popularity of the show and attracting more media coverage, making it more likely that sending a representative to the show will be worth the investment of time and resources. Trade show or event organizers may find composite auctions useful, knowing that it is usually easier to attract more clients if other clients are already registered.

[0199] Finally, exercising discretion over the set of items offered during the auction settlement phase allows the auction organizer to better control variables that affect the auction outcome, such as the bid price in a multi-item, uniform-price auction. In such an auction, each bidder understands that the set of items offered is endogenous and consequently adjusts their bids accordingly. Nevertheless, having discretion over the items offered gives the auction organizer options similar to those available in prior art, where the organizer can simultaneously run several auctions with different sets of items and select the one that produces the best results. For example, when issuing bonds, specifying only a uniform-price settlement method and a range of issue amounts while allowing bidders to bid based on the total issue amount is similar to running a uniform-price auction for each quantity within that range and selecting the most advantageous auction (e.g., the auction where each quantity produces the maximum profit). Alternatively, specifying a uniform-price settlement method and the total issue size of Bonds A and B is similar to simultaneously running auctions for each combination of issue sizes of Bonds A and B that results in a target transaction amount and selecting the most advantageous combination of issue sizes of Bonds A and B.

[0200] In other words, giving the auctioneer the ability to choose the items for sale at the end of the auction allows the auctioneer to better respond to unforeseen circumstances. For example, a bond issuer might be able to take advantage of higher-than-expected levels of oversubscription by issuing a quantity closer to the maximum issue size. Or, by selecting the optimal combination of issue size and price, the issuer might be able to better control revenue growth. Also, if the bond issuer is interested in controlling the auction price, perhaps due to secondary market influences, it might avoid maximizing non-revenues, i.e., oversupplying the market, and choose a smaller quantity that is in line with the target interest rate.

[0201] Further embodiments of the present technology are presented below. FIG. 4 illustrates a method 400 for increasing trading volume in a trading mechanism, the method comprising: Enabling the trading mechanism to receive composite orders 402; Generating 404 a trade using a composite order, where the use of the composite order increases the trading volume involved in the trade compared to the trading volume involved in a trade not using the composite order.

[0202] FIG. 5 illustrates a method 500 for increasing auction revenue in an auction mechanism, the method comprising: enabling the auction mechanism to receive bids selected from a group consisting of price-linked bids, routed bids, and transaction-affected bids 502; Using bids to generate 504 auction item allocations and price exchanges, the use of bids increases revenue associated with auction item allocations compared to revenue associated with auction item allocations generated without bids.

[0203] FIG. 6 illustrates a method 600 for improving the profitability of a trading mechanism, the method comprising: Enabling the trading mechanism to receive composite orders 602; Utilizing composite orders to generate transactions 604 The use of composite orders increases trading revenues associated with trades relative to trading revenues associated with trades that do not utilize composite orders.

[0204] FIG. 7 illustrates a method 700 for increasing the yield of a trading mechanism, the method comprising: enabling a trading mechanism to determine monetary payments based on at least one of the fulfillment of at least one order characteristic and the role of the at least one order in generating a trade 702; Utilizing the order to generate a transaction 704 By including a mechanism that allows for monetary decisions, the profits associated with a transaction are increased compared to the profits associated with a transaction generated by a trading mechanism without the monetary decisions.

[0205] FIG. 8 shows an auction device 800, which a bid receiver 802 configured to receive bids from at least one bidder, the bid receiver including at least one interlocked bid; a bid storage module 804 configured to store the bids; an auction generator 812 configured to generate an auction item allocation and price exchange based on the bids and the auction mechanism; at least one of an external communication module 806 configured to communicate with a database, and a regional auction information module configured to report and generate regional auction information based on the bids and the auction item allocations and price payments; and a reporting module 810 configured to report the item allocation and price exchanges of the auction.

[0206] FIG. 9 shows an auction device 900, which a bid receiver 902 configured to receive bids from at least one bidder, the bid receiver including at least one routing bid; a bid storage module 904 configured to store the bids; an auction generator 906 configured to generate an auction item allocation and price exchange based on the bids and the auction mechanism; an external communications module 908 configured to communicate with at least one exchange other than the exchange that includes the auction device; a reporting module 910 configured to report the item allocation and payment of the auction; Equipped with.

[0207] FIG. 10 shows an auction device 1000, which includes: a bid receiver 1012 configured to receive bids from at least one bidder, the bids including at least one transaction affected bid; a bid storage module 1002 configured to store the bids; an auction generator 1004 configured to generate an auction item allocation and price exchange based on the bids and the auction mechanism; At least one of an external communication module 1006 configured to communicate with at least one exchange other than the exchange including the auction device and database, and a regional auction information module 1008 configured to report and generate regional auction information based on the bids and the item allocation and price exchanges; a reporting module 1010 configured to report the item allocation and payment of the auction; Equipped with.

[0208] FIG. 11 shows a trading device 1100, which a composite order receiver 1102 configured to receive at least one order from at least one trader; an order storage module 1104 configured to store the at least one order; a trade generator 1106 configured to generate a trade based on the at least one order and a trading mechanism; an accounting module 1108 configured to determine monetary payments based on at least one of the satisfaction of the at least one order characteristic and the role of the at least one order in generating a trade; a reporting module 1110 configured to report the transaction; Equipped with. Example of a computer system environment In Figure 3, portions of the trading technology comprise computer readable and executable instructions residing, for example, on a computer readable storage medium of a computer system. That is, Figure 3 illustrates an example computer (described below) that may be used to implement embodiments of the inventive technology.

[0209] Figure 3 illustrates an example of a computer system 300 that may be used in accordance with an embodiment of the present technology. The system 300 of Figure 3 is merely an example, and it is understood that the present technology may operate on or within many different computer systems, including general-purpose network computer systems, embedded computer systems, routers, switches, server devices, user devices, various intermediary devices / products, stand-alone computer systems, etc. As shown in Figure 3, computer system 300 is well suited to having peripheral computer-readable media 302, such as, for example, a floppy disk, compact disc, etc., coupled thereto.

[0210] System 300 of Figure 3 includes an address / data bus 304 for exchanging information and a processor 306A coupled to bus 304 for processing information and instructions. As shown in Figure 3, system 300 is well suited to a multiprocessor environment in which multiple processors 306A, 306B, and 306C coexist. Conversely, system 300 is well suited to a single processor, such as processor 306A. Processors 306A, 306B, and 306C may be any of a variety of microprocessors. System 300 also includes computer-usable volatile memory 308, such as random access memory (RAM), coupled to bus 304 for storing information and instructions for processors 706A, 706B, and 706C.

[0211] System 300 also includes computer-usable non-volatile memory 310, such as read-only memory (ROM), coupled to bus 304 for storing information and instructions for processors 306A, 306B, and 306C. System 300 also includes data storage 312 (e.g., a magnetic or optical disk and disk drive) coupled to bus 304 for storing information and instructions. System 300 further includes an alphanumeric input device 314, including alphanumeric and function keys, coupled to bus 304 for exchanging information and selecting commands for processor 306A or processors 306A, 306B, and 306C. System 300 also includes an optional cursor control device 316 coupled to bus 304 for exchanging user-input information and selecting commands for processor 306A or processors 306A, 306B, and 306C. Additionally, the system 300 of this embodiment includes an optional display device 318 coupled to the bus 304 for displaying information.

[0212] 3, optional display device 318 may be a liquid crystal display, cathode ray tube, plasma display, or other display device suitable for producing user-discernible graphic images or alphanumeric characters. Optional cursor control device 316 allows a computer user to dynamically signal the movement of a visible symbol (cursor) on the display screen of display device 318. Many embodiments of cursor control device 316 are known as trackballs, mice, touchpads, joysticks, or special keys on alphanumeric input device 314, each capable of signaling a specific type of movement or displacement. Alternatively, the cursor may be directed and / or activated by input from alphanumeric input device 314 using special keys or key combination commands.

[0213] System 300 is also well suited for directing a cursor in other ways, such as by voice commands. System 300 further includes an input / output device 320 for connecting external devices. For example, in one embodiment, input / output device 320 is a modem that allows wired or wireless communication between system 300 and an external network, including but not limited to the Internet. A detailed description of the present technology is provided below.

[0214] Referring again to FIG. 3 , various other components of system 300 are shown. Specifically, operating system 322, applications 324, modules 326, and data 328, if any, typically reside in computer-usable volatile memory 308, i.e., random access memory (RAM) and / or data storage 312. However, it is understood that in some embodiments, operating system 322 may be stored elsewhere, such as on a network or flash drive, and operating system 322 may be accessed remotely, for example, via an Internet connection. In one embodiment, for example, the present technology is stored as applications 324 or modules 326 in memory locations within RAM 308 and in memory areas of data storage 312. The present technology may be applied to one or more of the components of system 300 described above. For example, a method for identifying devices involved in a content transfer may be applied to operating system 322, applications 324, modules 326, and / or data 328.

[0215] The computer system 300 is only one example of a suitable computing environment and is not intended to suggest any limitation as to the scope of use or functionality of the present technology, nor should the computer system 300 environment be interpreted as having any dependency or requirement relating to any one or combination of components illustrated in the example.

[0216] The present technology may be described in the general context of computer-executable instructions, where program modules are executed by a computer. Generally, program modules include routines, programs, objects, components, data structures, etc. that perform particular tasks or implement particular abstract data types. The present technology may also be practiced in distributed computing environments where tasks are performed by remote processing devices that are linked through a communications network. In a distributed computing environment, program modules may reside in both local and remote computer storage media, including memory storage devices.

[0217] The description herein of principles, aspects, and embodiments of the present invention, as well as specific examples thereof, are intended to encompass both structural and functional equivalents. Additionally, these equivalents include both currently known equivalents and equivalents developed in the future, i.e., any components developed in the future that perform the same function, regardless of structure. Accordingly, the scope of the present invention is not limited to the exemplary embodiments shown and described herein. Rather, the scope and spirit of the present invention is embodied by the appended claims. concept This specification discloses at least the following concepts.

[0218] [Concept 1] A trading device comprising: an order receiver configured to receive orders from at least one trader, the order including at least one composite order; an order storage module configured to store the order; a trade generator configured to generate a trade based on the order and a trading mechanism; a reporting module configured to report the transaction; A trading device comprising:

[0219] [Concept 2] an order management unit configured to manage events related to the order selected from the group consisting of submitting the order, modifying the order, canceling the order, creating a set of valid and outstanding orders, acknowledging receipt of the order, publishing a portion of the order, and a trade generated based on the order. 10. The trading device of Concept 1 further comprising:

[0220] [Concept 3] a regional transaction information module configured to report and generate regional transaction information based on at least one of the order and the transaction; 10. The trading device of Concept 1 further comprising:

[0221] [Concept 4] 10. The trading instrument of Concept 1, further comprising an external communications module configured to communicate with at least one of an external trading market and a database, the external trading market being a trading market other than the trading market including the trading instrument.

[0222] [Concept 5] The external communication module: an order routing module configured to transmit a portion of the order to the external market exchange; an exogenous information access unit configured to access information from at least one of the external trading market and the database; 10. The trading device of Concept 4, comprising:

[0223] [Concept 6] The trading device of Concept 1 further comprising a trading mechanism storage module configured to store said trading mechanism.

[0224] [Concept 7] 10. The trading device of Concept 6, wherein the trading mechanism storage module is configured to be accessible by the trade generator.

[0225] [Concept 8] 10. The trading device of Concept 1, further comprising a selectable order entry form configured to be selected by said at least one trader.

[0226] [Concept 9] The selectable order entry form: 9. The trading device of Concept 8, wherein the selectable order entry form is selected from the group consisting of a text specifier, a mathematical condition specifier, a function specifier, a domain specifier, and a trading objective of at least one trader.

[0227] [Concept 10] a transaction storage module configured to store information related to the transaction; 10. The trading device of Concept 1 further comprising:

[0228] [Concept 11] an instruction receiver configured to receive a trade reporting instruction; 10. The trading device of Concept 1 further comprising:

[0229] [Concept 12] The transaction generation unit: a comparator configured to compare stored orders with said trading mechanism; a trade execution device configured to execute the trade based on the comparison; 10. The trading device of Concept 1, comprising:

[0230] [Concept 13] The transaction generation unit: a payment method module configured to execute a payment method; 10. The trading device of Concept 1, comprising:

[0231] [Concept 14] 10. The trading device of Concept 1, wherein the trading mechanism includes a settlement method.

[0232] [Concept 15] 15. The trading instrument of claim 14, wherein the settlement method comprises at least one of a trading format, a trading purpose, and a tiebreaker.

[0233] [Concept 16] The trading format used by the trading device is: 16. The trading device of Concept 15, wherein the auction format is selected from the group consisting of a first price auction format, a second price auction format, a first price combination auction format, a second price combination auction format, a differential price auction format, a uniform price auction format, a differential price combination auction format, a uniform price combination auction format, and a combination auction format.

[0234] [Concept 17] The trading format used by the trading device is: 16. The trading device of Concept 15, selected from the group consisting of an exchange market format, an exchange format where submitted orders consist only of quantity, NYSE matchpoint, and a platform that transmits local trade information based in part on orders currently in the system.

[0235] [Concept 18] Optimizing the trading objectives includes considering the effect of the generated trade on at least one metric, the metric including: 16. The trading device of Concept 15, wherein the trading performance is selected from the group consisting of auctioneer revenue, auctioneer cost, trading profit, trading volume, auctioneer revenue maximization, balance, diversification, and price stability.

[0236] [Concept 19] The trading mechanism comprises: at least one trading rule associated with the trading mechanism; 10. The trading device of Concept 1, comprising:

[0237] [Concept 20] At least one trading rule associated with the trading mechanism comprises: 20. The trading device of Concept 19, wherein the rules are selected from the group consisting of rules regarding orders, rules regarding redemptions, rules regarding candidate sets of items, and rules regarding when a transaction will be settled.

[0238] [Concept 21] Each of the at least one composite order: At least one compound condition; and at least one non-compound condition selected from the group consisting of a price-linked condition, a routing condition, a trade-affected condition, a minimum execution quantity, and a lump-sum condition; 10. The trading device of Concept 1, comprising:

[0239] [Concept 22] The trading facility of Concept 1, wherein the trading facility operates in at least one round of a dynamic auction.

[0240] [Concept 23] The order: A trading device as described in Concept 1 that targets items selected from the group consisting of public bonds, private bonds, foreign exchange, bills, stocks, mutual fund securities, derivatives, options, credit default swaps (CDS), variance swaps (VAR), commodity trading, electricity, oil drilling rights, emission allowances, emission credits, real estate, online advertising rights, patents, airwave licenses, airport slots, data capacity, and other tangible and intangible goods.

[0241] [Concept 24] 10. The trading device of Concept 1, wherein the trading device is configured to operate in an advanced setting.

[0242] [Concept 25] The order receiver: The trading device of Concept 1 is configured to receive at least one composite order having conditions selected from the group of condition categories consisting of: items for purchase, items for sale, auction item allocation and payment, statistical data derived from information contained in the order, variables whose calculation requires the use of at least some information contained in the order, non-item transactions, order functions suitable for at least one composite order, and effects on local transaction information.

[0243] [Concept 26] The order receiver: 10. The trading device of Concept 1, configured to receive at least one composite order having a condition on a variable representing a concept selected from the group consisting of price impact of the order, auction size, market size, liquidity, oversubscription, competition level, balance, variance, supply / demand imbalance, stability, and market momentum.

[0244] [Concept 27] A non-transitory computer-readable storage medium having stored thereon instructions that, when executed by a computer system, cause the computer system to: receiving orders from at least one trader, the orders including at least one composite order; storing the order; generating a trade based on the order and a trading mechanism; Report the transaction A storage medium for executing a trading method including:

[0245] [Concept 28] Managing events related to the order selected from the group of events consisting of submitting the order, modifying the order, canceling the order, creating a valid and outstanding order set, acknowledging receipt of the order, publishing a portion of the order, and creating a trade based on the order. 28. The trading method of Concept 27, further comprising:

[0246] [Concept 29] generating and reporting local transaction information based on at least one of said order and said transaction; 28. The trading method of Concept 27, further comprising:

[0247] [Concept 30] communicating with at least one of an external trading market and a database; 28. The trading method of Concept 27, further comprising: wherein the external trading market is a trading market other than a trading market including the trading device.

[0248] [Concept 31] The communicating step includes: transmitting a portion of the order to the external trading market; accessing information from at least one of the market exchange and the database; 31. The trading method of Concept 30, comprising:

[0249] [Concept 32] storing said trading mechanism; 28. The trading method of Concept 27, further comprising:

[0250] [Concept 33] receiving a selection of the available order entries by at least one trader; 28. The trading method of Concept 27, further comprising:

[0251] [Concept 34] storing information relating to said transaction; 28. The trading method of Concept 27, further comprising:

[0252] [Concept 35] Receiving trade reporting instructions 28. The trading method of Concept 27, further comprising:

[0253] [Concept 36] generating a trade based on the order and a trading mechanism; comparing the stored orders with said trading mechanism; Executing the transaction based on the comparison. 27. A trading method as described in Concept 27, comprising:

[0254] [Concept 37] generating a trade based on the order and a trading mechanism; Execute payment methods 27. A trading method as described in Concept 27, comprising:

[0255] [Concept 38] Reporting said transaction includes: Report the transaction to at least one trader. 27. A trading method as described in Concept 27, comprising:

[0256] [Concept 39] 28. The trading method of Concept 27, wherein the method includes operating in at least one round of a dynamic auction.

[0257] [Concept 40] 28. The trading method of Concept 27, including the method operating in an advanced setting.

[0258] [Concept 41] 1. A computer-implemented method comprising: receiving at least one composite order from at least one trader; storing the at least one composite order; generating a trade based on the at least one composite order and a trading mechanism; Report the transaction A method comprising:

[0259] [Concept 42] Managing events related to the order selected from the group of events consisting of submitting the order, modifying the order, canceling the order, creating a valid and outstanding order set, acknowledging receipt of the order, publishing a portion of the order, and creating a trade based on the order. The method of Concept 41, further comprising:

[0260] [Concept 43] reporting and generating local transaction information based on at least one of the orders and transactions; 42. The trading method of Concept 41, further comprising:

[0261] [Concept 44] 42. The trading method of Concept 41, further comprising communicating with at least one exchange, the exchange being other than the exchange including the trading device and the database.

[0262] [Concept 45] The communicating step includes: transmitting a portion of the order to the market exchange; accessing information from at least one of the trading market and the database; 44. A trading method as described in Concept 44, comprising:

[0263] [Concept 46] storing said trading mechanism; 42. The trading method of Concept 41, further comprising:

[0264] [Concept 47] receiving a selection of selectable order entries by at least one trader; 42. The trading method of Concept 41, further comprising:

[0265] [Concept 48] storing information relating to said transaction; 42. The trading method of Concept 41, further comprising:

[0266] [Concept 49] Receiving trade reporting instructions 42. The trading method of Concept 41, further comprising:

[0267] [Concept 50] generating a trade based on the order and a trading mechanism; comparing the stored orders with said trading mechanism; Executing the transaction based on the comparison. 42. The trading method of Concept 41, comprising:

[0268] [Concept 51] generating a trade based on the order and a trading mechanism; Executing payment methods 42. The trading method of Concept 41, comprising:

[0269] [Concept 52] 42. The trading method of Concept 41, wherein the method includes operating in at least one round of a dynamic auction.

[0270] [Concept 53] 42. The trading method of Concept 41, wherein the method includes operating in an advanced setting.

[0271] [Concept 54] 1. A method of increasing trading volume in a trading mechanism, comprising: Enabling the trading mechanism to receive composite orders; generating a transaction using the composite order; wherein utilization of the composite order increases trading volume associated with the transaction relative to trading volume associated with a transaction not utilizing the composite order.

[0272] [Concept 55] 1. A method for increasing auction revenue in an auction mechanism, comprising: enabling the auction mechanism to receive bids selected from a group consisting of price-linked bids, routed bids, and transaction-affected bids; Using the bids to generate auction item allocations and price exchanges. wherein the use of the bids increases the auction's item allocation compared to revenue associated with the auction's item allocation generated without the bids.

[0273] [Concept 56] 1. A method of increasing profitability in a trading mechanism, comprising: enabling the trading mechanism to receive composite orders; generating a transaction using the composite order; wherein utilization of the composite order increases trading revenue associated with the transaction compared to trading revenue associated with a transaction that does not utilize the composite order.

[0274] [Concept 57] 1. A method of increasing profitability in a trading mechanism, comprising: enabling the trading mechanism to determine monetary payments based on at least one of the satisfaction of at least one order characteristic and the role of the at least one order in generating a trade; generating a trade using the order; wherein the determinability of the monetary exchange increases revenue associated with the transaction compared to revenue associated with the transaction generated by a trading mechanism without the determinability of the monetary exchange.

[0275] [Concept 58] An auction device comprising: a bid receiver configured to receive bids from at least one bidder, the bid receiver including at least one price-linked bid; a bid storage module configured to store the bids; an auction generator configured to generate an auction item allocation and price exchange based on the bids and the auction mechanism; at least one of an external communication module configured to communicate with a database, and a regional auction information module configured to report and generate regional auction information based on the bids and the item allocations and price payments of the auction; and a reporting module configured to report the item allocation and price exchanges of the auction.

[0276] [Concept 59] An auction device comprising: a bid receiver configured to receive bids from at least one bidder, the bid receiver including at least one routing bid; a bid storage module configured to store the bids; an auction generator configured to generate an auction item allocation and price exchange based on the bids and the auction mechanism; an external communications module configured to communicate with at least one trading market other than the trading market including the auction device; and a reporting module configured to report the item allocation and price exchanges of the auction.

[0277] [Concept 60] An auction device comprising: a bid receiver configured to receive bids from at least one bidder, the bid including at least one transaction affected bid; a bid storage module configured to store the bids; an auction generator configured to generate an auction item allocation and price exchange based on the bids and the auction mechanism; at least one of an external communication module configured to communicate with at least one of at least one exchange market and database other than the exchange market including the auction device and database, and a regional auction information module configured to report and generate regional auction information based on the bids and the item allocation and price exchanges; and a reporting module configured to report the item allocation and price exchanges of the auction.

[0278] [Concept 61] A trading device comprising: a composite order receiver configured to receive at least one order from at least one trader; an order storage module configured to store the at least one order; a trade generator configured to generate a trade based on the at least one order and a trading mechanism; an accounting module configured to determine monetary payments based on at least one of the satisfaction of at least one order characteristic and the role of the at least one order in generating a transaction; a reporting module configured to report the transaction; A trading device comprising:

Claims

1. A non-transitory computer-readable storage medium having stored thereon instructions for enabling highly coordinated execution of orders submitted by traders to a computer system, the instructions, when executed by the computer system, causing the computer system to support multiple unit orders, multiple item orders, or a combination of multiple unit and multi-item orders, the method comprising: a) providing a trading mechanism that includes a settlement method for matching multiple traders in a single settlement and that includes message fields that define allowable orders; b) providing at least one selectable order entry form that enables at least one first trader to submit an acceptable order; The message field defines an acceptable order; and defining at least one conditioning variable to which at least one permissible order may refer; the allowable orders include at least one order, the at least one order including at least one non-zero price, belonging to one of the following groups: multiple unit orders, multiple item orders, and combinations of multiple unit orders and multiple item orders, and being composite; An allowable order is complex if it contains at least one complex condition, The trading mechanism may include a combination of conditions included in an acceptable order submitted by the first trader: the condition is a condition on at least one conditioning variable, and determining, for at least one pair of orders in a set of allowable orders from other than the at least one first trader, whether the condition is met upon settlement of the allowable orders; i) it is not possible to determine this when only information included in a first group of variables is given, the first group consisting of the item allocation and price exchange of the at least one first trader at the settlement, the bid history of the at least one first trader up to the time of the settlement, the time of the settlement, the history of exogenous variables for the trading mechanism on which the allowable orders submitted by the first trader depend up to the time of the settlement, the trading history up to the time of the settlement excluding information about the trade item allocation and price exchange of the settlement, and the history of intra-regional trading information available to the at least one first trader in the trading mechanism up to the time of the settlement excluding information about the trade item allocation and price exchange of the settlement; ii) it can be determined given information included in a second group of variables consisting of the item allocation and payment in the settlement and all information in the trading mechanism up to the time of the settlement; wherein the composite condition included in the allowable composite order defined based on the at least one conditioning variable cannot be defined as a condition solely in at least one of the item allocation and price payment / receive generated in the settlement; c) receiving an acceptable order submitted by the at least one first trader; wherein the permissible orders submitted by the at least one first trader include at least one permissible composite order; d) storing said transmitted acceptable orders; e) generating a trade based on the submitted allowable orders and the trading mechanism; wherein the settlement method matches a plurality of traders in settling the submitted acceptable orders; One or more prices corresponding to the generated trade item allocations and price payments are exogenously determined for one or more items for which at least one transmitted allowable composite order is transmitted; generating a transaction includes selecting a transaction generated at the time of the settlement using the settlement method; the generated trades are associated with a realization of at least one referenced conditioning variable from which the generated trades are selected; orders having unsatisfied conditions in the realization of at least one referenced conditioning variable associated therewith at the time of settlement receive a zero share in the generated trade; f) a computer-readable storage medium for performing said trading method, including reporting the generated trades.

2. A computer-readable storage medium as described in claim 1, wherein the order receiver is configured to receive at least one composite order having conditions that are not defined based on at least one of the item allocation and price payment of the transaction.

3. The computer system supports ordering for a single item; the computer system supports itemless ordering; an order receiver configured to receive at least one allowable composite order including composite conditions relating to at least one conditioning variable, the at least one conditioning variable including information about the impact on purchase items, sale items, transaction item allocation and payment at the time of settlement of the order, statistical data derived from information contained in the order, variables whose calculation requires the use of at least some information contained in the order, non-item transactions, order functions suitable for the at least one composite order, and local transaction information; The order receiver:

10. The computer-readable storage medium of claim 1, configured to receive at least one allowable composite order that includes a composite condition on at least one conditioning variable representing a concept selected from the group consisting of price impact of the order, auction size, market size, liquidity, oversubscription, competition level, balance, diversification, supply / demand imbalance, stability, and market momentum.

4. The computer system comprises: an order management unit configured to manage events related to the order selected from the group consisting of submitting the order, modifying the order, canceling the order, generating a set of valid and outstanding orders, acknowledging receipt of the order, publishing a portion of the order, and a trade generated based on the order; a regional transaction information module configured to report and generate regional transaction information based on at least one of the order and the transaction; a transaction storage module configured to store information related to said transaction; an instruction receiver configured to receive a trade reporting instruction; a trading mechanism storage module configured to store the trading mechanism; and 4. The computer-readable storage medium of claim 1, further comprising: an external communication module configured to communicate with at least one of an external trading market and a database, the external trading market being a trading market other than an exchange including a trading device.

5. The computer system comprises: further comprising an external communications module configured to communicate with at least one of an external trading market and a database, the external trading market being a trading market other than an exchange including the trading device; The external communication module includes: an order routing module configured to transmit a portion of the order to the external market exchange; 4. The computer-readable storage medium of claim 1, further comprising an exogenous information access unit configured to access information from at least one of the external trading market and the database.

6. The computer system further comprising a trading mechanism storage module configured to store the trading mechanism; The computer-readable storage medium of any one of claims 1 to 3 and 5, wherein the trading mechanism storage module is configured to be accessible by a trade generator.

7. A computer-readable storage medium described in any one of claims 1 to 6, wherein the computer system further includes a selectable order entry form configured to be selected by at least one trader.

8. The selectable order entry form:

8. The computer-readable storage medium of claim 7, wherein the selectable order entry form is selected from the group consisting of a text specifier, a mathematical condition specifier, a function specifier, a domain specifier, and a trading objective of at least one trader.

9. The computer-readable storage medium of claim 1, wherein the settlement method includes at least one of a trading format and a tiebreaker.

10. A trading format used by a trading device, comprising: one of a first price auction format, a second price auction format, a first price combination auction format, a second price combination auction format, a differential price auction format, a uniform price auction format, a differential price combination auction format, a uniform price combination auction format, a double auction format, and a combination auction format, an exchange market format, a trading format where the submitted order consists of quantity only, NYSE Match Point, and a platform for transmitting local trading information based in part on orders currently in the system; Optimizing the trading objectives is characterized by at least one of: considering the effect of the generated trades on at least one evaluation criterion, the evaluation criterion being:

10. The computer-readable storage medium of claim 9, wherein the value is selected from the group consisting of auctioneer revenue, auctioneer cost, trading profit, trading volume, balance, diversification, and price stability.

11. The trading mechanism comprises: at least one trading rule associated with the trading mechanism; The computer-readable storage medium according to any one of claims 1 to 10, comprising:

12. At least one trading rule associated with the trading mechanism comprises:

12. The computer-readable storage medium of claim 11, wherein the rules are selected from the group consisting of rules regarding orders, rules regarding redemptions, rules regarding candidate sets of items, and rules regarding settlement timing of transactions.

13. The trade generation unit includes a comparator configured to compare stored orders with said trading mechanism, and a trade execution device that executes said trades based on said comparison; the transaction generator includes a payment method module that executes a payment method; the at least one composite order includes at least one composite condition and at least one non-composite condition selected from the group consisting of a price-linked condition, a routing condition, a trade-affected condition, a minimum execution quantity, and a blanket condition; the trading device operates in at least one round of the dynamic auction; The order is for items selected from the group consisting of public and private bonds, foreign exchange, bills, stocks, mutual funds, derivatives, options, credit default swaps (CDS), variance swaps (VAR), commodity trading, electricity, oil permits, carbon allowances, carbon credits, real estate, online advertising rights, patents, airwave licenses, airport slots, data capacity, and other tangible and intangible goods; and The computer-readable storage medium of any one of claims 1 to 12, wherein the trading device is configured to operate at an advanced setting.

14. A computer-readable storage medium as described in any one of claims 1 to 13, wherein the computer system further includes an accounting module configured to determine monetary payments based on the satisfaction of at least one order characteristic and at least one of the role of the at least one order in generating a transaction.

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