Trevor Price

US Patent:

20030177126, Sep 18, 2003

Filed:

Sep 23, 2002

Appl. No.:

10/252783

Inventors:

Fred Weingard - Ambler PA, US
William Lupien - Hesperus CO, US
Rondal Ellifritt - New York NY, US
Trevor Price - New York NY, US
Kevin Sluder - Portsmouth NH, US
Joseph Franchi - Plainsboro NJ, US
Roy Neff - King of Prussia PA, US
Justin Turner - Philadelphia PA, US

International Classification:

G06F007/00

US Classification:

707/010000

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.