Patent ID: 7702572

Claim:
A method comprising: receiving by at least one programmed computer data on a financial instrument, wherein the data includes: (i) trade data received at one time, the trade data corresponding to a trade of the financial instrument and comprising a trade size and a trade price, and (ii) order data received at a subsequent time, the order data corresponding to one of an unmatched bid and an unmatched offer for the financial instrument and comprising an order price and an order size; calculating by the at least one programmed computer an enhanced volume-weighted average price for the financial instrument based at least in part on the trade data, wherein calculating the enhanced volume-weighted average price includes: (i) increasing a total-trade-size by the trade size, wherein the total-trade-size is equivalent to a sum of sizes corresponding to trades of the financial instrument; and (ii) calculating the enhanced volume-weighted average price based at least on the trade size, the trade price, and the total-trade-size; calculating by the at least one programmed computer another enhanced volume-weighted average price for the financial instrument based at least in part on the order data, wherein calculating the another enhanced volume-weighted average price includes: (i) calculating a value based at least on (1) the total-trade-size, and (2) a difference between the order price and the enhanced volume-weighted average price; and (ii) adjusting the enhanced volume-weighted average price by the value, thereby resulting in the another enhanced volume-weighted average price, wherein an effect of the value to adjust the enhanced volume-weighted average price decreases with an increase in size of the total-trade-size; calculating by the at least one programmed computer at least one additional enhanced volume-weighted average price for the financial instrument based at least in part on the another enhanced volume-weighted average price and the received data; and communicating by the at least one programmed computer via a communications network to at least another programmed computer the additional enhanced volume-weighted average price.