Patent ID: 8412616

Claim:
A method for providing an enhanced volume-weighted average price, the method comprising: using one or more programmed computers to determine a starting value for the enhanced volume-weighted average price for a sampling period; using one or more programmed computers to iteratively determine the enhanced volume-weighted average price when new information becomes available, wherein the new information includes new unmatched bids, new unmatched offers, and new trades, wherein the starting value is used in determining an initial one of the iteratively determined enhanced volume-weighted average prices, wherein determining the enhanced volume-weighted average 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 enhanced volume-weighted average price as the total trade size increases; and when the sampling period ends, using one or more programmed computers to publish a final one of the iteratively determined enhanced volume-weighted average prices.