# US 11,308,553 B2 · Systems and methods for prevention of manipulation and gaming in electronic intraday auctions > Agents: this data is available as JSON from the patentgrep API and MCP server — see https://patentgrep.com/llms.txt - Number: US 11,308,553 B2 - Document ID: US11308553B2 - Status: Granted - Kind: B2 - Application number: 16/818,925 - Filed: 2020-03-13 - Published: 2020-09-03 - Granted: 2022-04-19 - Earliest claimed: 2017-04-24 - Assignees: Goldman, Sachs & Co. - Applicants: Goldman Sachs & Co. LLC - Inventors: Paul M. Brennan; Charles Broussin - Web page: https://patentgrep.com/patent/US11308553B2 ## CPC - G06Q 40/04: Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange - G06Q 30/08: Auctions - G06Q 40/06: Asset management; Financial planning or analysis - G06Q: INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR ## Abstract This disclosure provides systems and methods for prevention of manipulation and gaming in electronic intraday auctions. The system includes using at least one processing device for obtaining orders related to an asset from an electronic trading system. The system includes using at least one processing device for identifying a value for the asset to be used during an intraday auction involving the asset. The identified value is based on a detected order cross within the orders. The value is identified and set prior to the intraday auction. The value is located within a best bid and best offer spread (BBO) band. The system includes using at least one processing device for initiating the intraday auction involving the asset based on the identified and set value and the detected order cross. Changes to the BBO band during the intraday auction do not affect the identified and set value. ## Claims ### Claim 1 A method of using at least one processing device to prevent manipulation in an electronic trading system comprising: obtaining an order related to an asset from an electronic trading system; identifying a value for the asset to be used during an intraday auction involving the asset, the identified value based on a detected order cross of the order, wherein the value is identified and set prior to the intraday auction, and the value is located within a best bid and best offer spread (BBO) band; determining whether the BBO band has remained unchanged for a specified time period; and responsive to determining that the BBO band remained unchanged during the specified time period, initiating the intraday auction involving the asset based on the identified and set value and the detected order cross, wherein changes to the BBO band during the intraday auction do not affect the identified and set value. ### Claim 2 (depends on 1) The method of claim 1, further comprising, responsive to determining that the BBO band changed during the specified time period, repeating the obtaining, identifying, and determining whether the BBO band has remained unchanged until the BBO band has remained unchanged for the specified time period. ### Claim 3 (depends on 1) The method of claim 1, wherein the specified time period is before the detected order cross. ### Claim 4 (depends on 1) The method of claim 1, wherein the specified time period is after the detected order cross. ### Claim 5 (depends on 1) The method of claim 1, further comprising: creating trades using order messages associated with the intraday auction based on a prioritization, the order related to the asset from the electronic trading system included in the order messages. ### Claim 6 (depends on 1) The method of claim 1, further comprising: receiving conditional offers for the asset during the intraday auction; and matching the conditional offers from different parties. ### Claim 7 (depends on 1) The method of claim 1, further comprising: determining whether the identified value is within the BBO band; and responsive to determining that the identified value is outside the BBO band, repeating the obtaining, identifying, and determining whether the identified value is within the BBO band until the identified value is inside the BBO band. ### Claim 8 (depends on 1) The method of claim 1, further comprising, responsive to determining that the BBO band remained unchanged during the specified time period, initiating an auction call phase in which one or more orders of the initiated intraday auction are received. ### Claim 9 (depends on 8) The method of claim 8, further comprising: determining whether the set value is within the BBO band after a duration of the auction call phase has passed; and responsive to determining that the set value is outside of the BBO band, cancelling the initiated intraday auction such that the one or more orders of the initiated intraday auction are not initiated. ### Claim 10 (depends on 1) The method of claim 1, wherein the set value is an indicative matching price (IMP) representative of a price that maximizes crossing opportunities in the electronic trading system. ### Claim 11 (depends on 1) The method of claim 1, wherein the BBO band is susceptible to manipulation through access by a first trader to the electronic trading system that is sub-milliseconds ahead of access by a second trader to the electronic trading system. ### Claim 12 An apparatus comprising: at least one processing device; and at least one memory storing instructions that, when executed by the at least one processing device, cause the at least one processing device to perform: obtaining an order related to an asset from an electronic trading system; identifying a value for the asset to be used during an intraday auction involving the asset, the identified value based on a detected order cross of the order, wherein the value is identified and set prior to the intraday auction, and the value is located within a best bid and best offer spread (BBO) band; determining whether the BBO band has remained unchanged for a specified time period; and responsive to determining that the BBO band remained unchanged during the specified time period, initiating the intraday auction involving the asset based on the identified and set value and the detected order cross, wherein changes to the BBO band during the intraday auction do not affect the identified and set value. ### Claim 13 (depends on 12) The apparatus of claim 12, wherein the at least one processing device is further configured to perform, responsive to determining that the BBO band changed during the specified time period, repeating the obtaining, identifying, and determining whether the BBO band has remained unchanged until the BBO band has remained unchanged for the specified time period. ### Claim 14 (depends on 12) The apparatus of claim 12, wherein the specified time period is before the detected order cross. ### Claim 15 (depends on 12) The apparatus of claim 12, wherein the at least one processing device is further configured to perform: creating trades using order messages associated with the intraday auction based on a prioritization, the order related to the asset from the electronic trading system included in the order messages. ### Claim 16 (depends on 12) The apparatus of claim 12, wherein the at least one processing device is further configured to perform: receiving conditional offers for the asset during the intraday auction; and matching the conditional offers from different parties. ### Claim 17 (depends on 12) The apparatus of claim 12, wherein the at least one processing device is further configured to perform: determining whether the identified value is within the BBO band; and responsive to determining that the identified value is outside the BBO band, repeating the obtaining, identifying, and determining whether the identified value is within the BBO band until the identified value is inside the BBO band. ### Claim 18 (depends on 12) The apparatus of claim 12, wherein the at least one processing device is further configured to perform, responsive to determining that the BBO band remained unchanged during the specified time period, initiating an auction call phase in which one or more orders of the initiated intraday auction are received. ### Claim 19 (depends on 18) The apparatus of claim 18, wherein the at least one processing device is further configured to perform: determining whether the set value is within the BBO band after a duration of the auction call phase has passed; and responsive to determining that the set value is within the BBO band, initiating an auction uncross phase in which the one or more orders of the initiated intraday auction are initiated. ### Claim 20 A non-transitory computer-readable medium containing instructions that, when executed by at least one processing device, cause the at least one processing device to perform operations comprising: obtaining an order related to an asset from an electronic trading system; identifying a value for the asset to be used during an intraday auction involving the asset, the identified value based on a detected order cross of the order, wherein the value is identified and set prior to the intraday auction, and the value is located within a best bid and best offer spread (BBO) band; determining whether the BBO band has remained unchanged for a specified time period; and responsive to determining that the BBO band remained unchanged during the specified time period, initiating the intraday auction involving the asset based on the identified and set value and the detected order cross, wherein changes to the BBO band during the intraday auction do not affect the identified and set value.