System and method for operating a state-based matching engine

A system, comprising:

• a matching engine processor, comprising:
• a processor
• a non-volatile data store comprising data and software modules;
• and
• an electronic communication interface comprising an input and output;
• the software modules, when executed by the processor, causing the matching engine processor to:
• during an open trading system (OTS) state in which orders in a financial instrument are matched in real time, determine an auction trigger;
• perform an OTS to SNAP auction state (SAS) transition of the processor (OTS→SAS) for the financial instrument when the trigger is determined;
• during the OTS to SAS transition (OTS→SAS)
• until returning to the OTS:
• cancel published quotes for the financial instrument;
• externally indicate an empty electronic order book for the financial instrument;
• and
• accumulate, without matching, new orders for the financial instrument into the electronic order book;
• and
• when the OTS to SNAP transition state is complete, begin a SNAP auction period AP;
• receive new inbound orders for the financial instrument and place them into the electronic order book;
• and
• terminate the AP according to a predefined criteria and then begin a SNAP auction pricing process APP;
• during the APP:
• determine a single SNAP auction price Apr based on all orders to be included in the SNAP auction according to an order inclusion predefined criteria, the price Apr also being determined according to an auction price predefined criteria;
• and
• after the Apr has been determined, begin a SNAP auction satisfaction period ASP;
• during the ASP:
• send orders to trading centers as needed to complete the SNAP auction at the auction price Apr;
• and
• terminate the ASP according to a predefined criteria, and then begin a SNAP auction order matching process AOMP;
• during the AOMP:
• match other resting orders which are not set-aside for open satisfaction orders at the auction price Apr;
• and
• terminate the AOMP and then perform a SAS to OTS transition for the financial instrument;
• during the SAS to OTS transition:
• perform a SNAP auction state (SAS) to OTS state (OTS) transition of the processor (OTS→SAS) for the financial instrument;
• resume real-time matching of orders in the financial instrument;
• process all messages in a SNAP queue until it is empty;
• and
• publish data associated with the financial instrument.