Systems and methods for providing enhanced volume-weighted average price trading
AssigneeBGC Partners, Inc.
InventorsPhilipp T. Jokisch, Michael Sweeting
Life of this patent
Estimating the term…
Abstract
Systems and methods for providing trading using an eVWAP price in an illiquid market are provided. In an illiquid market there may be little or no actual trades. During a trading period, the eVWAP price is therefore determined from not only trades, but also unmatched bids and offers. The eVWAP price is determined when new information becomes available or at a specified time interval. The final eVWAP price is determined when the sampling period ends. Once the final eVWAP price is determined, the value of the final eVWAP price is published for use as a price to settle a contract.
Claims27
A method for providing an enhanced volume-weighted average price, the method comprising:
- using one or more programmed computers to determine a starting value for the enhanced volume-weighted average price for a sampling period;
- using one or more programmed computers to iteratively determine the enhanced volume-weighted average price when new information becomes available,
- wherein the new information includes new unmatched bids, new unmatched offers, and new trades,
- wherein the starting value is used in determining an initial one of the iteratively determined enhanced volume-weighted average prices,
- wherein determining the enhanced volume-weighted average price is based at least in part on a total trade size, and
- wherein the new unmatched bids and the new unmatched offers cause less of a change to the enhanced volume-weighted average price as the total trade size increases;
- and
- when the sampling period ends, using one or more programmed computers to publish a final one of the iteratively determined enhanced volume-weighted average prices.
An apparatus having a server, the apparatus for providing an enhanced volume-weighted average price, the apparatus comprising:
- a server storage device;
- a server processor connected to the server storage device, the server storage device storing a service program for controlling the server processor;
- the server processor operative with the server program to:
- determine a starting value for the enhanced volume-weighted average price for a sampling period;
- iteratively determine the enhanced volume-weighted average price when new information becomes available,
- wherein the new information includes new unmatched bids, new unmatched offers, and new trades,
- wherein the starting value is used in determining an initial one of the iteratively determined enhanced volume-weighted average prices,
- wherein determining the enhanced volume-weighted average price is based at least in part on a total trade size, and
- wherein the new unmatched bids and the new unmatched offers cause less of a change to the enhanced volume-weighted average price as the total trade size increases;
- and
- when the sampling period ends, publish a final one of the iteratively determined enhanced volume-weighted average prices.
An apparatus having a server, the apparatus for providing trading an enhanced volume-weighted average price, wherein the server includes a server program for controlling the server, the server operative with the server program to:
- iteratively determine the enhanced volume-weighted average price when new information becomes available,
- wherein the new information includes new unmatched bids, new unmatched offers, and new trades,
- wherein determining the enhanced volume-weighted average price is based at least in part on a total trade size, and
- wherein the new unmatched bids and the new unmatched offers cause less of a change to the enhanced volume-weighted average price as the total trade size increases;
- and
- when a sampling period ends, publish a final one of the iteratively determined enhanced volume-weighted average prices.
Dependencies are inferred from the claim text.