Patent ID: 8548892

Claim:
A method on one or more computers of establishing a benchmark price for trades in a instrument at a given time, comprising: (a) at least one of the one or more computers receiving, from at least one computerized trading system, prices at which deals in the instrument have been conducted since a previous benchmark price was established; (b) at least one of the one or more computers receiving, from at least one computerized trading system, the prices of quotes to buy and sell the instrument at present in the market; (c) at least one of the one or more computers calculating a benchmark price based upon: (i) the previous benchmark price; (ii) a weighted measure of deal prices occurring since the previous benchmark price, and (iii) the prices of quotes at present in the market; and (d) at least one of the one or more computers repeating steps (a)-(c) every t seconds.