Patent ID: 8458079

Claim:
A computer system comprising: a database for storing tick data regarding a tradable financial product, wherein the tick data comprises time-stamped ticks of order data for the tradable financial product; a processor in communication with the database; and at least one memory unit in communication with the processor, wherein the at least one memory unit includes instructions that are executed by the at least one processor such that the at least one processor is programmed to: determine a liquidity cycle for the tradable financial product, wherein the liquidity cycle has a cycle time period that comprises a plurality of discrete time intervals that span the cycle time period, wherein the liquidity cycle is determined by: generating a liquidity profile for the tradable financial product based on the tick data stored in the database by determining, for each discrete time interval in the cycle time period, a value related to a proportion of (i) the sum of tick counts for the discrete time interval over a look-back period of n cycle time periods, where n>2, and (ii) the sum of tick counts for each discrete time interval over the look-back period; smoothing the liquidity profile using a smoothing function to generate the liquidity cycle, wherein the liquidity cycle represents an expected distribution of order flow by time interval over the cycle time period; compute a flow-weighted average price (FWAP) for the tradable financial product based at least on the liquidity cycle for the tradable financial product and a FWAP trade time window; and output the computed FWAP for the tradable financial product.