Patent ID: 7716114

Claim:
A system for facilitating the online trading of credit derivatives comprising: a database configured to store credit derivative 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: receive from each of a plurality of trader clients a binding two-way market having both a bid price and an offer price; determine a fixed price by: sorting bid prices in the received two-way markets into a first sequence in descending order, sorting offer prices in the received two-way markets into a second sequence in ascending order, discarding a predetermined number of prices from both the first sequence and the second sequence, averaging the remaining prices in the first sequence and the second sequence to determine a mid fixing point, wherein the mid fixing point is a single price that is an average of all the remaining prices in the first and the second sequences, pairing the sorted sequence of bid prices with the sorted sequence of offer prices to create a sequence of markets such that the highest bid price and the lowest offer price comprise the first market in the sequence of markets and the lowest bid price and the highest offer price comprise the last market in the sequence of markets, identifying a last tradeable market (LTM) in the sequence of markets, wherein said LTM is the market in the sequence of markets comprising the pair of prices having the lowest bid price that is greater than or equal to its corresponding offer price, comparing the mid fixing point to the LTM prices, and setting the fixed price according to the comparison; and match and execute trades at the fixed price according to the received two-way markets.