Patent ID: 7991682
Filing Date: 2011-08-02
Classification: G06Q

Abstract:
1. A non-transitory computer-readable memory medium with an executable program stored thereon, wherein the program instructs a microprocessor to perform the following steps for facilitating cross trades of a security at the volume weighted average price calculated during a window of time: (a) accepting, with a user interface, from at least one participant offers to buy and offers to sell a security during a first time window; (b) matching, with a cross trade application, the offers to buy the security with the offers to sell the security between the first time window and a second time window, and executing, with the cross trade application, cross trades of the matched offers after the second time window, wherein the second time window is less than one trading day and begins after the first time window ends, and wherein the duration of the second time window is a function of a past trading volume of the security; (c) calculating, with a volume weighted average price calculator, the settlement price of a cross trade, wherein the settlement price is the volume weighted average price of trades executed for the security during the second time window; and (d) generating, with a report generator, a first report between the first time window and the second time window and a second report after the second time window, wherein the first report indicates how many shares of an offer to buy the security or an offer to sell the security were matched, and wherein the second report indicates the settlement price at which the cross trade was executed.