Patent ID: 7162447

Claim:
A computer-implemented method for identifying a price at which to conduct a batch auction of a financial security, comprising the following steps: accepting a plurality of order requests from a plurality of sources, said order requests containing orders representing a desire to trade the financial security within certain order parameters; selecting the price at which to trade the security, including determining whether there exists at least one order on each side of a trade containing a price as an order parameter such that at least one purchase price is higher than or equal to at least one selling price, and if so determining from said priced portion of said orders whether there exists a single price at which a maximum number of shares of said security will be traded, and, if so, selecting said single price as a selected price, if there does not exist such a single price, calculating an imbalance ratio of purchase requests of said security to sale requests of said security, and determining the selected price based on the result of a comparison of said imbalance ratio to a predetermined reference value, if no orders on opposite sides of a trade contain intersecting prices, then selecting a predetermined reference price as said selected price; and exchanging a number of shares of the security at the selected price; wherein said number of shares is a maximum number of shares which can be exchanged based upon said order requests; wherein said maximum number of shares is a factor for selecting the selected price.