Volume weighted average price system and method
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United States of America Patent
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N/A
Issued Date -
Sep 18, 2003
app pub date -
Sep 23, 2002
filing date -
Sep 21, 2001
priority date (Note) -
Abandoned
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Abstract
The present disclosure provides automated systems and methods that facilitate consummation of Volume Weighted Average Price ('VWAP') transactions and that support crossing of offsetting orders, cancellation of orders and enhanced liquidity for system users. Exemplary embodiments of the present disclosure provide a pre-open crossing network, an approximation engine and an intra-day crossing network. A processing engine is provided that is in communication with an algorithmic module and a database which advantageously includes a liquidity database. The processing engine is programmed to automatically access the liquidity database to determine an acceptable quantity of shares for trading in response to, and based upon, a requested user trade received by the processing engine. The algorithmic module includes programming for establishing a trading regimen for effecting trades that approach or achieve a VWAP price for best efforts VWAP trades.
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