US 7,321,872 B1 | ||
Automated trading exchange system and method utilizing a randomized opening procedures | ||
Ross G. Kaminsky, Chicago, Ill. (US); and Gordon D. Evora, Chicago, Ill. (US) | ||
Assigned to Chicago Board Options Exchange, Chicago, Ill. (US) | ||
Filed on Oct. 30, 2000, as Appl. No. 9/699,533. | ||
Int. Cl. G06Q 40/00 (2006.01) |
U.S. Cl. 705—37 [705/35; 705/36 R; 705/38] | 11 Claims |
1. A computer-implemented method of opening trading in an automated exchange trading system that receives orders and quotes,
and matches the orders and quotes to generate trades, comprising the steps of:
accepting quotes and orders associated with an option class during a first time period prior to the opening of trading;
receiving an opening value of an underlying security;
determining opening prices for a plurality of option series in the option class;
receiving additional quotes and orders associated with the option class during a second time period and responsively updating
the opening prices prior to the opening of trading;
randomly terminating the second time period prior to an opening rotation period such that further additional quotes and orders
are not considered in updating the opening prices; and
opening trading of the plurality of option series based on the updated opening prices.
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