Patent ID: 8296218

Claim:
A computer-implemented method of auctioning complex orders for the purchase or sale of securities or derivatives in an electronic exchange, the method comprising: receiving a complex order at a computer configured as an electronic trade engine; adding a top-of-the-spread market to the complex order; verifying the complex order qualifies for auction; the computer disseminating a request for price message to at least one user; receiving a two-sided response message comprising a participant-type at the computer from the at least one user in response to the request for price message; the computer selecting a starting price for the auction, the starting price equal to a better of an exchange market spread, a customer limit price or a limit price on any resting spread order; the computer initiating the auction substantially instantaneously upon receipt of the two-sided response message, wherein the auction occurs for a predetermined period of time; and the computer allocating the complex order based on participant-type priority.