Patent ID: 8489495

Claim:
A financial instrument transaction system, comprising: a database configured to store financial instrument 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: initiate a trading session for a predetermined duration; prior to and during the trading session, receive from each one of a plurality of trader clients a trading position associated with a reference entity; establish a mid-price based on the instructions received from the plurality of trader clients; and during the trading session, execute trading for the reference entity at a matching price, said matching price being different from the mid-price, said matching price being based on at least a first trading position and a second trading position; wherein, when the absolute value of the difference between the first trading position and the mid-price is greater than the absolute value of the difference between the second trading position and the mid-price, the processor is further configured to set the matching price closer to the second trading position than to the first trading position and, when the absolute value of the difference between the second trading position and the mid-price is greater than the absolute value of the difference between the first trading position and the mid-price, the processor is further configured to set the matching price closer to the first trading position than the second trading position.