Patent ID: 7991647

Claim:
A method comprising: receiving by a server as part of an auction a plurality of orders for an item from a plurality of traders, wherein each order comprises a side, a price, and a size and wherein the auction has an auction close time, wherein as part of the auction matched orders are filled based at least in part on a VWAP price that is determined as part of the auction, wherein at least one of the plurality of VWAP orders comprises a bid to buy the item at the VWAP price offset by a price increment, and wherein at least another of the plurality of VWAP orders comprises an offer to sell the item at the VWAP price offset by the price increment; prioritizing by the server the plurality of orders from the plurality of traders based on predetermined criteria after the auction close time; matching by the server the plurality of orders from the plurality of traders based at least in part on the prioritization of the plurality of orders, wherein a portion of the plurality of orders is matched and a portion of the plurality of orders is unmatched, and wherein matching the plurality of orders includes matching the bid with the offer at a price that includes the VWAP price offset by the price increment; canceling by the server the portion of the plurality of orders that are unmatched; and determining by the server the VWAP price based at least in part on (i) a plurality of trade prices and trade sizes for the item, and (ii) the sizes and the prices at which the plurality of orders are matched, wherein external orders comprise the trade prices and the trade sizes, and wherein the external orders are not the plurality of orders; and wherein the portion of the plurality of orders that are matched are filled based at least in part on the determined VWAP price.