Patent ID: 8533100

Claim:
A method of performing a batch auction of a security, comprising steps of: during an order acceptance period, continuously disseminating, by one or more computers, to qualified participants order information including a current indicated price and a current net order imbalance, wherein the current indicated price is the price at which the batch auction would occur if it were to take place at that moment and wherein the current net order imbalance is an excess supply or demand in the security, receiving, by said one or more computers during said order acceptance period, a plurality of messages containing orders from one or more qualified participants, and accepting, by said one or more computers during said order acceptance period, those orders that include a price that is at least as aggressive as the current indicated price and would offset the current net order imbalance; storing, in an order book database located on said one or more computers, each of said accepted orders received; calculating, by said one or more computers, an optimal price upon which to transact a maximum number of shares of the security during the batch auction based upon said order book database; executing, by said one or more computers, the batch auction of said maximum number of shares of the security at a given execution time; allocating, by said one or more computers, said maximum number of shares of the security among said accepted orders according to a predetermined criterion; publishing, by the one or more computers, a predetermined selection of data from said order book database; and notifying, by said one or more computers, said qualified participants of results of said executed batch auction.