Patent ID: 7536342

Claim:
A method comprising the steps of: at least one programmed computer receiving, over a duration of a sampling period, market data for at least one financial instrument, wherein the received market data comprises executed trades and unmatched orders for the at least one financial instrument, and wherein the executed trades and the unmatched orders comprise respective sizes and prices; over the duration of the sampling period, the at least one programmed computer iteratively recalculating for the at least one financial instrument an enhanced volume-weighted average price based at least in part on the received market data, wherein the iterative recalculating of the enhanced volume-weighted average price comprises the steps of: at a point in time during the duration of the sampling period, calculating the enhanced volume-weighted average price based at least in part on at least one of the received executed trades and the received unmatched orders; and at a subsequent point in time during the duration of the sampling period, calculating the enhanced volume-weighted average price based at least in part on: a) the resulting enhanced volume-weighted average price calculated at the point in time, and b) a price of another of the received unmatched orders, wherein there is a difference between the price of the another unmatched order and the resulting enhanced volume-weighted average price calculated at the point in time, and wherein an effect of the another unmatched order to adjust the resulting enhanced volume-weighted average price calculated at the subsequent point in time decreases as the difference increases; and at an end of the sampling period, the at least one programmed computer communicating via a communications network to at least another programmed computer a last recalculated value for the enhanced volume-weighted average price.