Patent ID: 8583537

Claim:
A method using a computer system of cross trading a security comprising the following steps: (a) accepting using the computer system one or more buy offers for a security during a first time window; (b) accepting using the computer system one or more sell offers for the security during the first time window; (c) matching using the computer system the one or more buy offers with the one or more sell offers between the first time window and a second time window, wherein the second time window begins after the first time window ends, and wherein the number of shares matched is the lesser of: 1) the total number of shares in the buy offers received during the first time window; and 2) the total number of shares in the sell offers received during the first time window; (d) calculating using the computer system the volume weighted average price of publicly reported trades for a security executed during the second time window; and (e) executing using the computer system cross trades at the calculated volume weighted average price after the second time window; wherein the second time window is less than one trading day, and wherein a duration of the second time window is a function of a past trading volume of the security.