Patent ID: 7711627

Claim:
A method, comprising: receiving by a server, in a crossing market, a plurality of bid-offer liquidity spreads from a plurality of market-markers; receiving by the server, in the crossing market, a plurality of orders from a plurality of customers via respective computers in use by the customers, the server being communicatively coupled to the computers via a network; matching by the server, at least in part, the plurality of orders; determining by the server, based on the matching of the orders, an order imbalance; selecting by the server a first bid-offer liquidity spread from the plurality of bid-offer liquidity spreads; calculating by the server, based on the first bid-offer liquidity spread, a first crossing price; filling by the server the matched orders at the first crossing price; selecting by the server a second bid-offer liquidity spread from the plurality of bid-offer liquidity spreads; calculating by the server, based on the second bid-offer liquidity spread, a second crossing price, in which calculating the second crossing price comprises calculating an average between a midpoint of the second bid-offer liquidity spread and a last-executed trade price; and filling by the server, at least in part, the order imbalance at the second crossing price using volume provided by one of the plurality of market makers.