System and method for deriving data

Abstract

Best bid and best offer rate data from deals concluded on an anonymous trading system in a fungible instrument such as a foreign currency pair are processed to derive indicative rates. A minimum indicative rates spread between bid and offer prices is defined. The indicative rate bide and offer prices are set to the received best bid and offer prices and alternatively an amount is added to the indicative offer rates and subtracted from the indicative bid rates until the spread between the indicative bid and offer rates is greater than or equal to the predefined minimum indicative rates spread and greater than the spread between the best bid and offer prices.

1 - 38 . (canceled) 
     
     
         39 . A system for processing deal information relating to trades of a fungible instrument, comprising: a processor for obtaining best bid and offer prices for completed deals in the instrument and processing the received best bid and offer prices to test the eligibility of a best price as a market high (offer) or market low (bid) by discarding best prices for a deal amount less than a predetermined amount and discarding best prices for which there is no supporting price for an amount greater or equal to the minimum amount at the same or a higher (for offer) or lower (for bid) price within a predetermined period, the processor further establishing a remaining price as a market high if it exceeds the existing market high or low. 
     
     
         40 . A system according to  claim 39 , wherein the processor in testing eligibility further discards prices for deals completed between parties within a predetermined time from an earlier deal completed by the same two parties. 
     
     
         41 . A system according to  claim 39 , wherein the processor in testing eligibility further discards prices for deals completed between different trading floors of the same financial institution. 
     
     
         42 . (canceled) 
     
     
         43 . A method of processing deal information relating to trades of a fungible instrument to obtain market high and market low information, comprising the steps of:
 obtaining best bid and offer prices for completed deals in the instrument;   testing the eligibility of a best price as a market high (offer) or market low (bid) by performing the steps of:
 discarding best prices for a deal amount less than a predetermined amount; and 
 discarding best prices for which there is no supporting price for an amount greater or equal to offer) or lower (for bid) price within a predetermined period; and 
   establishing a market high or low from the highest or lowest remaining price if they exceed the existing market high or low.   
     
     
         44 . A method according to  claim 43 , wherein the step of testing eligibility further comprises discarding prices for deals completed between parties within a predetermined time from an earlier deal completed by the same two parties. 
     
     
         45 . A method according to  claim 43 , wherein the step of testing eligibility further comprises discarding prices for deals completed between different trading floors of the same financial institution. 
     
     
         46 . A non-transitory computer readable storage medium having recorded thereon computer code which when run on a computer causes the computer to process deal information relating to trades of a fungible instrument by:
 obtaining best bid and offer prices for completed deals in the instrument;   testing the eligibility of a best price as a market high (offer) or market low (bid) by performing the steps of:
 discarding best prices for a deal amount less than a predetermined amount; and 
 discarding best prices for which there is no supporting price for an amount greater or equal to the minimum amount at the same or a higher (for offer) or lower (for bid) price within a predetermined period; and 
   establishing a market high or low from the highest or lowest remaining price if they exceed the existing market high or low