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.
Claims26
A method comprising:
- using one or more programmed computers to iteratively determine a price when new information becomes available,
- wherein the new information includes new unmatched bids, new unmatched offers, and new trades,
- wherein determining the 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 price as the total trade size increases;
- and
- using one or more programmed computers to publish a final one of the iteratively determined prices.
An apparatus comprising:
- a server storage device;
- and
- 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:
- iteratively determine a price when new information becomes available,
- wherein the new information includes new unmatched bids, new unmatched offers, and new trades,
- wherein determining the 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 price as the total trade size increases;
- and
- publish a final one of the iteratively determined prices.
Dependencies are inferred from the claim text.