Method and system for performing an opening auction of a derivative

A computer system, comprising:

• at least one processor;
• and
• at least one memory coupled to the at least one processor, wherein the memory comprises processor-executable instructions that, when executed by the at least one processor, cause the at least one processor to determine an execution state vector, market clearing prices and bid and ask prices for futures products at an opening auction, wherein a futures product is one of a sell futures contract, a buy futures contract, a sell futures contract combination and a buy futures contract combination, comprising:
• receiving a plurality of orders, wherein each order is associated with a price limit, a quantity, a participant and a futures product;
• determining for each order a quantity vector based on the futures product associated with the order;
• determining for each order a price vector based on the price limit associated with the order and the futures product associated with the order;
• determining an execution state vector by using the determined price and quantity vectors to maximize an objective function subject to constraints, wherein the objective function is based on an executed volume and wherein at least one of the constraints depends on the determined quantity vectors;
• determining market clearing prices and best, not executed, buy and sell orders for each futures product using the execution state vector;
• and
• outputting the determined execution state vector, the determined market clearing prices, and bid and ask prices for each futures product, the bid and ask prices being based on the best, not executed, buy and sell orders of the respective product.

A non-transitory computer-readable medium having computer-executable instructions that, when executed by a computer, cause the computer to determine an execution state vector, market clearing prices and bid and ask prices for futures products at an opening auction, wherein a futures product is one of a sell futures contract, a buy futures contract, a sell futures contract combination and a buy futures contract combination, comprising:

• receiving a plurality of orders, wherein each order is associated with a price limit, a quantity, a participant and a futures product;
• determining for each order a quantity vector based on the futures product associated with the order;
• determining for each order a price vector based on the price limit associated with the order and the futures product associated with the order;
• determining an execution state vector by using the determined price and quantity vectors to maximize an objective function subject to constraints, wherein the objective function is based on an executed volume and wherein at least one of the constraints depends on the determined quantity vectors;
• determining market clearing prices and best, not executed, buy and sell orders for each futures product using the execution state vector;
• and
• outputting the determined execution state vector, the determined market clearing prices, and bid and ask prices for each futures product, the bid and ask prices being based on the best, not executed, buy and sell orders of the respective futures product.