System and method for managing an imbalance in a hybrid auction market
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United States of America Patent
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Aug 31, 2010
Grant Date -
Jan 19, 2006
app pub date -
Jul 15, 2005
filing date -
Jul 15, 2004
priority date (Note) -
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Abstract
A large market order to buy is received causing an imbalance. A portion of the market order is executed at a best offer price. A quote is changed from fast to slow, and a remaining unexecuted size of the market order is calculated. The unexecuted size of the market order is quoted at the best offer price, and the best bid size is quoted as 100 shares. The best bid price is quoted as a gap price. In a similar fashion a large market order to sell results in a gap quote.
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