Market-on-Close Order Matching Without Price
Find Innovative SolutionsGenerate Solutions
Solution Overview
Problem
Current market-on-close systems in primary auctions lack efficient mechanisms for matching buy and sell orders without specified prices during the market close period, leading to inefficiencies and potential cancellations of orders before the close price is determined.
Innovation Solution
A system comprising computers configured to receive and match buy and sell orders with quantity parameters but no price, locking in matches before the close price is obtained, ensuring orders cannot be canceled, and executing them once the close price is published, while preventing orders without MOC indicators or price requirements from being matched.
Engineering Contradictions & Design Principles
Engineering Contradiction Analysis
1Productivity
If orders are matched before the close price is determined, then execution efficiency is improved, but order cancellation risk increases
Solution Approach 1:
The system performs preliminary matching of buy and sell orders during the market-on-close period before the close price is determined. Orders are matched based on quantity parameters without requiring price specifications at this stage, allowing the matching process to occur in advance while the close price is still being calculated by the primary market.
Solution Approach 2:
The order execution process is segmented into distinct phases: (1) preliminary matching phase where orders are matched without price requirements, (2) price determination phase where the close price is obtained from the primary market, and (3) final execution phase where matched orders are executed at the determined close price. This segmentation allows each phase to be optimized independently.
2Measurement precision
If price requirements are mandated for all orders, then price accuracy is improved, but market flexibility deteriorates
Solution Approach 1:
Different price requirement rules are applied to different order types and different time periods. During the market-on-close period, orders can be submitted without price requirements (local flexibility). For other order types and time periods, standard price requirements apply (local precision). This allows the system to adapt price requirements to local market conditions and order characteristics.
Data Source
AI summary
A system and method for providing a market on-close operation for a market is provided. Buy orders and sell orders for tradeable assets are obtained. A time of market close is obtained. A respective buy order is matched to a respective sell order, but without a price. The respective order quantity match is locked-in without a price. A close price for the tradeable asset in the given primary market is obtained and the quantity match is executed. A fill message is transmitted to the respective buyer and the respective seller with the quantity matched and the close price for the tradeable asset.