Patent ID: 7548876

Claim:
A method comprising: receiving by a computing server having an electronic trading application thereon a plurality of VWAP orders for an item from a plurality of workstations in use by respective traders, wherein the VWAP orders are received as part of an auction wherein the VWAP orders are to be matched and then filled based at least in part at a VWAP price that is determined as part of the auction; wherein each VWAP order comprises or defines a price and comprises a size; wherein at least one of the plurality of VWAP orders comprises a bid to buy the item at the VWAP price offset by a price increment; wherein at least another of the plurality of VWAP orders comprises an offer to sell the item at the VWAP price offset by the price increment; and wherein the computing server and the plurality of workstations are communicatively coupled via a communications network; matching at least in part by the computing server the plurality of VWAP orders, wherein matching the plurality of VWAP orders includes matching the bid with the offer at a price that includes the VWAP price offset by the price increment; collecting by the computing server sizes and prices at which the VWAP orders are matched, wherein at least one of the collected prices includes the price at which the bid and the offer are matched; collecting by the computing server a plurality of trade prices and trade sizes of the item, wherein external orders comprise the trade prices and the trade sizes; and wherein the external orders are not the VWAP orders; determining by the computing server the VWAP price based at least in part on: (i) the collected trade prices and trade sizes, and (ii) the collected sizes and prices at which the VWAP orders are matched; and filling by the computing server the matched VWAP orders based at least in part on the determined VWAP price.