Systems and methods for providing enhanced volume-weighted...

Details Systems and methods for providing enhanced volume-weighted... Systems and methods for providing enhanced volume-weighted...

G - Physics

06

Q

G06Q 30/00 (2006.01) G06Q 40/00 (2006.01)

Patent

CA 2484813

Systems and methods for providing trading using an eVWAP price in an illiquid market are provided. In an illiquid market there may be little or no actual trades. During a trading period, the eVWAP price is therefore determined from not only trades, but also unmatched bids and offers. The eVWAP price is determined when new information becomes available or at a specified time interval. The final eVWAP price is determined when the sampling period ends. Once the final eVWAP price is determined, the value of the final eVWAP price is published for use as a price to settle a contract.

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