Patent ID: 7801805

Claim:
A system for facilitating the online trading of credit derivatives, comprising: a database configured to store credit derivative information for certain reference entities; memory configured to store execution instructions; and a processor coupled with the database and the memory, the processor configured to execute the instructions, the instructions configured to cause the processor to: receive from each of a plurality of trader clients a credit derivative position having a bid price, an offer price or both; determine a fixed price based on the bid prices and the offer prices of all received positions from the plurality of trader clients and further based on the existence and price levels of any last tradeable market, said processor determining said fixed price by: determining the mid fixing point by averaging a collection of bid prices and offer prices from the positions of the plurality of the trader clients, wherein the mid fixing point is a single price; sorting the bid prices in the received positions into a first sequence in descending order, sorting the offer prices in the received positions into a second sequence in ascending order, pairing the sorted sequence of bid prices with the sorted sequence of offer prices to create a sequence of markets such that the highest bid price and the lowest offer price comprise the first market in the sequence of markets; identifying a last tradeable market in the sequence of markets, wherein said last tradeable market is the market in the sequence of markets comprising the pair of prices having the lowest bid price that is greater than or equal to its corresponding offer price, assigning the mid fixing point to the fixed price if there is no last tradeable market found or if the last tradeable market exists and the mid fixing point lies between the bid price and offer price; assigning the bid price of the last tradeable market to the fixed price if the mid fixing point is greater than the bid price; and assigning the offer price of the last tradeable market to the fixed price if the mid fixing point is less than the offer price; finalize the sale at the fixed price of all positions which have an offer price lower than the fixed price; and finalize the sale at the fixed price of all positions which have a bid price greater than the fixed price.