System and method for processing trades using volume-weighted-average pricing techniques

A method for electronically conducting trades in securities, the method comprising:

• electronically transmitting from a computerized volume-weighted-average price (VWAP) processing system, to a trading computer that comprises at least one processor, at least one input device that is operatively coupled to at least one of the processors, and at least one output device that is operatively coupled to at least one of the processors, order information that comprises information corresponding to a plurality of buy and sell orders that can be matched with each other for trading, each of the orders being either an order to buy a security at a VWAP or to sell the security at a VWAP;
• in response to receipt of the order information by the trading computer, causing the order information to be displayed on at least one of the output devices in a manner that comprises displaying individually all of the orders at a single time;
• matching, by a rules processor within the VWAP processing system, of at least two of the displayed orders with each other for trading, at least one of the matched orders being a buy order and at least one of the matched orders being a sell order;
• providing, by a VWAP calculator within the VWAP processing system, a VWAP for each matched order, the VWAP being a weighted average of a plurality of prices of a plurality of respective trades that have been executed prior to the calculation of the VWAP;
• and
• executing the matched orders by trading the matched orders against each other at the VWAP.

A method of trading securities comprising:

• receiving a plurality of buy and sell orders, which can be matched with one another for trading, for a security by a computerized volume-weighted-average price (VWAP) processing system, each of the orders being either an order to buy the security at a VWAP or to sell the security at a VWAP;
• electronically transmitting information regarding the orders in approximately real time from the VWAP processing system to a trading computer that receives the transmitted information, the trading computer comprising at least one processor, at least one input device operatively coupled to the processor, and at least one output device operatively coupled to the processor;
• in response to receiving the information transmitted from the VWAP processing system, causing at least one of the output devices to display continuously matched and unmatched orders of the received buy and sell orders and information regarding the orders on the trading system in approximately real-time;
• continuously matching by the VWAP processing system of a received buy order to a received sell order to form a trade;
• each matched order of the trade including a defined time period over which a VWAP is to be computed for the trade;
• and
• following the expiration of the VWAP time period, the VWAP processing system executing the trade at the VWAP of the security over the VWAP time period, the VWAP, calculated by a VWAP calculator within the VWAP processing system, being a weighted average of a plurality of prices of a plurality of respective trades that were executed during the VWAP trading period.

A trading system for electronically conducting trades in securities, the system comprising:

• a trading system that comprises at least one processor that is operatively coupled to a plurality of display devices for separately and simultaneously displaying information corresponding to respective buy and sell orders that can be matched with each other for trading, each of the orders being either an order to buy a security at a volume-weighted-average price (VWAP) or to sell the security at a VWAP;
• a trade matching system, comprising at least one processor and a memory that is operatively coupled to at least one of the processors, the memory encoded with instructions that are executed by at least one or the processors, thereby causing the trade matching system to continuously match with one another the orders about which the information is displayed;
• a VWAP processing system, comprising at least one processor and a memory that is operatively coupled to at least one of the processors, the memory encoded with instructions that, when executed by at least one of the processors, cause the VWAP processing system to price the matched orders at a VWAP that is a weighted average of a plurality of prices of a plurality of respective trades that have been executed prior to the calculation of the VWAP;
• and
• an electronic communications network configured to permit communication between and among the trading system, the trade matching system, and the VWAP processing system.

A method for electronically conducting trades in securities, the method comprising:

• electronically transmitting from a computerized volume-weighted-average price (VWAP) processing system, to a trading computer that comprises at least one processor, at least one input device that is operatively coupled to at least one of the processors, and at least one output device that is operatively coupled to at least one of the processors, order information that comprises information corresponding to a plurality of buy and sell orders that can be matched with each other for trading, each of the orders being either an order to buy a security at a VWAP or to sell the security at a VWAP;
• in response to receipt of the order information by the trading computer, causing the order information to be displayed on at least one of the output devices in a manner that comprises displaying individually all of the orders at a single time;
• continuously matching, by a rules processor within the VWAP processing system, of at least two of the displayed orders with each other for trading, at least one of the matched orders being a buy order and at least one of the matched orders being a sell order;
• and
• pricing, by a VWAP calculator within the VWAP processing system, the matched orders at a VWAP, the VWAP being a weighted average of a plurality of prices of a plurality of respective trades that have been executed prior to the calculation of the VWAP;
• and
• executing the matched orders by trading the matched orders against each other at the VWAP.

A method for electronically conducting trades in securities, the method comprising:

• electronically transmitting from a computerized volume-weighted-average price (VWAP) processing system, to a trading computer that comprises at least one processor, at least one input device that is operatively coupled to at least one of the processors, and at least one output device that is operatively coupled to at least one of the processors, order information that comprises information corresponding to a plurality of buy and sell orders that can be matched with each other for trading, each of the orders being either an order to buy a security at a VWAP or to sell the security at a VWAP;
• in response to receipt of the order information by the trading computer, causing the order information to be displayed on at least one of the output devices in a manner that comprises displaying individually all of the orders at a single time;
• matching, by a rules processor within the VWAP processing system, of at least two of the displayed orders with each other for trading, at least one of the matched orders being a buy order and at least one of the matched orders being a sell order, the matching taking place at multiple discrete times;
• pricing, by a VWAP calculator within the VWAP processing system, the matched orders at a VWAP, the VWAP being a weighted average of a plurality of prices of a plurality of respective trades that have been executed prior to the calculation of the VWAP;
• and
• executing the matched orders by trading the matched orders against each other at the VWAP.