Patent ID: 7698193

Claim:
A computer implemented method for determining a closing price of a security traded in an electronic trading system, the method comprises: receiving by a computer system, up until a predetermined time limit after an end of a regular trading session of the electronic trading system, trade prices of one or more executed trades of the security, the one or more executed trades occurring during the trading session; identifying a trade price that is received most recently relative to a predetermined time point after the end of the regular trading session and within the predetermined time limit; comparing by the computer system the identified trade price to an inside market of the security to determine the closing price of the security, while the trade prices received after the receipt of the identified trade price and within the predetermined time limit are excluded from determining the closing price; determining the closing price, with the closing price being related to either the value of the identified trade price if the identified trade price is within the inside market price of the security or the value of a best ask of the inside market price if the identified trade price is larger than the best ask or the value of a best bid of the inside market price if the identified trade price is smaller than the best bid; and reporting the determined closing price of the security to a user.