1. A method executed in a computer system, the method comprising: receiving trades that include contra-side party information for each side of the trade; calculating, in a computer based on the received trades, a buy volume weighted average price and a sell volume weighted average price for every contra-side party trading in a selected security during a selected period of time; filtering out ineligible contra-parties to the determined volume weighted average buy and sell prices; and ranking the remaining contra-parties based on the determined volume weighted average prices from best price to worst to produce ranked buy volume weighted average prices for the contra-parties and ranked sell volume weighted average prices for the contra-parties.