Opening cross in electronic market

A system that is part of an electronic market for trading of securities, the system comprising:

• a server computer system comprising a processor and memory for executing a computer program product:
• a computer readable medium for storing a computer program product, comprising instructions for causing the server system to:
• receive eligible orders and quotes for the security traded in the electronic market;
• disseminate an order imbalance indicator message indicative of predicted trading characteristics of the security at the open of trading the order imbalance indicator message including an indicative clearing price range at which the market open would occur at the time that the indicator message is disseminated, and a percent by which that indicative clearing price range varies from an inside match price;
• algorithmically determine a price or prices at which the maximum shares would be executed;
• determine which price of those algorithmically determined prices, would minimize any imbalance of eligible orders without trading through an eligible limit order, as the determined opening price;
• and
• execute at least some of the eligible orders at the determined opening price.

A computer program product residing on a computer-readable medium for use in an electronic market for trading of securities comprises instructions for causing a system to:

• receive eligible orders and quotes for the security traded in the electronic market;
• disseminate an order imbalance indicator message indicative of predicted trading characteristics of the security at the open of trading the order imbalance indicator message including an indicative clearing price range at which the market open would occur at the time that the indicator message is disseminated, and a percent by which that indicative clearing price range varies from an inside match price;
• algorithmically determine a price or prices at which the maximum shares would be executed;
• determine which price of those algorithmically determined prices, would minimize any imbalance of eligible orders without trading through an eligible limit order, as the determined opening price;
• and
• execute at least some of the eligible orders at the determined opening price.