Patent ID: 7970693

Claim:
A computer-implemented method for volume clearing in an electronic trading system of credit derivatives, the method comprising: providing an electronic trading system comprising at least one storage device for strong instructions and a processor coupled to the at least one storage device for executing the instructions, said instructions causing the electronic trading system to perform the steps of: selecting, from a plurality of credit derivatives, at least one most liquid credit derivative that has either been traded or seen trading interest in the electronic trading system during a predetermined time period; determining a volume clearing price level for the at least one most liquid credit derivative based on: an availability of a last bid, a last offer, or a last trade associated with the at least one most liquid credit derivative, a timing relationship among the last bid, the last offer, and the last trade, if available, and price levels of the last bid, the last offer, and the last trade, if available; inviting trading clients of the electronic trading system to submit, within a time limit, buy orders and sell orders for the at least one most liquid credit derivative at the volume clearing price level, each buy order or sell order specifying a desired volume; matching the buy orders and the sell orders submitted within the time limit to maximize a total notional amount of the at least one most liquid credit derivative that can be traded at the volume clearing price level; and completing trades at the volume clearing price level according to the matching of the buy orders and the sell orders.