System and method for creating parity on close orders

Abstract

An automated system for creating parity on close orders in an exchange configured for trading securities or derivatives is disclosed including an electronic trade engine operative to receive an order for a security or derivative at the exchange, the trade engine further operative to disseminate a request for a price message to a plurality of market makers quoting a class in response to receiving the order, wherein the request for a price message includes a parity amount for the order; an electronic book in communication with the electronic trade engine, the electronic book operative to store at least one order received by the electronic trade engine; and wherein, in response to the request for a price message, the electronic trade engine receives at least one price message that includes a fee in addition to the parity amount.

Dependencies are inferred from the claim text.