Systems and methods for providing enhanced volume-weighted average price trading
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.
1. A method comprising:
using one or more programmed computers to iteratively determine a price when new information becomes available,
wherein the new information includes new unmatched bids, new unmatched offers, and new trades,
wherein determining the price is based at least in part on a total trade size, and
wherein the new unmatched bids and the new unmatched offers cause less of a change to the price as the total trade size increases; and
using one or more programmed computers to publish a final one of the iteratively determined prices.
2. The method of claim 1 wherein the price is:
trade_flag
*
(
(
trade_price
t
*
trade_size
t
+
eVWAP
t
-
1
*
total_trade
_size
t
-
1
)
total_trade
_size
t
)
+
bidoffer_flag
*
(
eVWAP
t
-
1
+
bid_flag
*
(
bid_size
t
bid_size
_flag
total_trade
_size
t
-
1
)
trade_ratio
_flag
*
bid_size
_ratio
bid_ratio
_flag
*
(
bid
t
-
eVWAP
t
-
1
)
(
1
+
bid_scaling
_factor
*
bid
t
-
eVWAP
t
-
1
)
bid_exponent
+
offer_flag
*
(
offer_size
t
offer_size
_flag
total_trade
_size
t
-
1
)
trade_ratio
_flag
*
offer_size
_ratio
offer_ratio
_flag
*
(
offer
t
-
eVWAP
t
-
1
)
(
1
+
offer_scaling
_factor
*
offer
t
-
eVWAP
t
-
1
)
offer_exponent
)
.
3. The method of claim 1 , wherein the using one or more programmed computers to determine the price comprises using one or more programmed computers to determine the price when a specified time interval elapses.
4. The method of claim 1 wherein the new information comprises a change in at least one of a price and a size of an existing unmatched bid or existing unmatched offer.
5. The method of claim 1 wherein the new trades cause a greater change to the price than the new unmatched bids and new unmatched offers.
6. The method of claim 1 , wherein the using one or more programmed computers to determine the price further comprises using one or more programmed computers to adjust the price towards a new unmatched bid price or a new unmatched offer price.
7. The method of claim 6 wherein the using one or more programmed computers to adjust the price further comprises using one or more programmed computers to adjust the price lower if the new unmatched bid price or the new unmatched offer price is lower than the price.
8. The method of claim 6 wherein the using one or more programmed computers to adjust the price further comprises using one or more programmed computers to adjust the price higher if the new unmatched bid price or the new unmatched offer price is higher than the price.
9. The method of claim 1 wherein a starting value for the price is determined at least in part by a bid-offer spread.
10. The method of claim 1 wherein a first new unmatched bid or offer causes a greater adjustment to the price than a second new unmatched bid or offer that is further from a reference price than the first new unmatched bid or offer.
11. The method of claim 1 wherein initially, the only part of the new unmatched bids and new unmatched offers that are used in determining the price are the prices of the new unmatched bids and new unmatched offers.
12. The method of claim 1 wherein the new unmatched bids and the new unmatched offers are only used in determining the price when the new unmatched bids and the new unmatched offers are within a predetermined price range.
13. The method of claim 1 wherein the using one or more programmed computers to publish the final price comprises posting the final price to a server.
14. An apparatus comprising:
a server storage device; and
a server processor connected to the server storage device, the server storage device storing a service program for controlling the server processor;
the server processor operative with the server program to:
iteratively determine a price when new information becomes available,
wherein the new information includes new unmatched bids, new unmatched offers, and new trades,
wherein determining the price is based at least in part on a total trade size, and
wherein the new unmatched bids and the new unmatched offers cause less of a change to the price as the total trade size increases; and
publish a final one of the iteratively determined prices.
15. The apparatus of claim 14 wherein the price is:
trade_flag
*
(
(
trade_price
t
*
trade_size
t
+
eVWAP
t
-
1
*
total_trade
_size
t
-
1
)
total_trade
_size
t
)
+
bidoffer_flag
*
(
eVWAP
t
-
1
+
bid_flag
*
(
bid_size
t
bid_size
_flag
total_trade
_size
t
-
1
)
trade_ratio
_flag
*
bid_size
_ratio
bid_ratio
_flag
*
(
bid
t
-
eVWAP
t
-
1
)
(
1
+
bid_scaling
_factor
*
bid
t
-
eVWAP
t
-
1
)
bid_exponent
+
offer_flag
*
(
offer_size
t
offer_size
_flag
total_trade
_size
t
-
1
)
trade_ratio
_flag
*
offer_size
_ratio
offer_ratio
_flag
*
(
offer
t
-
eVWAP
t
-
1
)
(
1
+
offer_scaling
_factor
*
offer
t
-
eVWAP
t
-
1
)
offer_exponent
)
.
16. The apparatus of claim 14 wherein the server processor is further operative with the server program to determine the price when a specified time interval elapses.
17. The apparatus of claim 14 wherein the new information comprises a change in at least one of a price and a size of an existing unmatched bid or existing unmatched offer.
18. The apparatus of claim 14 wherein the new trades cause a greater change to the price than the new unmatched bids and new unmatched offers.
19. The apparatus of claim 14 wherein the server processor is further operative with the server program to adjust the price towards a new unmatched bid price or a new unmatched offer price.
20. The apparatus of claim 19 wherein the server processor is further operative with the server program to adjust the price lower if the new unmatched bid price or the new unmatched offer price is lower than the price.
21. The apparatus of claim 19 wherein the server processor is further operative with the server program to adjust the price higher if the new unmatched bid price or the new unmatched offer price is higher than the price.
22. The apparatus of claim 14 wherein a starting value for the price is determined at least in part by a bid-offer spread.
23. The apparatus of claim 14 wherein a first new unmatched bid or offer causes a greater adjustment to the price than a second new unmatched bid or offer that is further from a reference price than the first new unmatched bid or offer.
24. The apparatus of claim 14 wherein initially, the only part of the new unmatched bids and new unmatched offers that are used in determining the price are the prices of the new unmatched bids and new unmatched offers.
25. The apparatus of claim 14 wherein the new unmatched bids and the new unmatched offers are only used in determining the price when the new unmatched bids and the new unmatched offers are within a predetermined price range.
26. The apparatus of claim 14 wherein the server processor is further operative with the server program to post the final price to a server.