Patent ID: 7970693
Filing Date: 2011-06-28
Classification: G06Q

Abstract:
1. A computer-implemented method for volume clearing in an electronic trading system of credit derivatives, the method comprising: providing an electronic trading system comprising at least one storage device for strong instructions and a processor coupled to the at least one storage device for executing the instructions, said instructions causing the electronic trading system to perform the steps of: selecting, from a plurality of credit derivatives, at least one most liquid credit derivative that has either been traded or seen trading interest in the electronic trading system during a predetermined time period; determining a volume clearing price level for the at least one most liquid credit derivative based on: inviting trading clients of the electronic trading system to submit, within a time limit, buy orders and sell orders for the at least one most liquid credit derivative at the volume clearing price level, each buy order or sell order specifying a desired volume; matching the buy orders and the sell orders submitted within the time limit to maximize a total notional amount of the at least one most liquid credit derivative that can be traded at the volume clearing price level; and completing trades at the volume clearing price level according to the matching of the buy orders and the sell orders.