Patent ID: 7941364

Claim:
A processor for conducting a secondary auction in electronic trading of financial instruments comprising: (a) a receiver for information messages from market participants in a primary auction that bid for purchase or offer for sale of a financial instrument, said receiver time-stamping received information messages; (b) an electronic order book; (c) an updater communicating with said receiver and said electronic order book for qualifying and parsing price, size and time-stamp bid or offer data from information messages received on said receiver and entering said parsed data on said electronic order book with priority tracked by instrument in price and time-stamp of a received and qualified message; (d) a transmitter communicating with said electronic order book for display to market participants during said secondary auction data on price and quantity bid, but anonymous as to the identity of the bidder, entered on said electronic order book; (e) a price improvement period timer defining the pendency of the secondary auction, communicating with said updater (i) initiated upon receipt by said receiver of an information message from a qualified market participant containing a bid or offer at or better than a threshold price improvement, said threshold preset at the processor, not by the market participant, for said secondary auction, over the best bid or offer prevailing across multiple markets for a particular instrument and (ii) terminated upon an elapsing of a price improvement period time, preset at the processor, not by the market participant, establishing the duration of said secondary auction, of less than a minute and commensurate with market risk, during which market participants make new bids or offers; and (f) a transaction executor communicating with said price improvement period timer and said electronic order book for allocating and executing upon said termination matches of bids or offers for said particular instrument, data for which are entered on said electronic order book, against market offers or bids in said order, subject to a partial time priority for said qualified market participant, and updating said electronic order book accordingly.