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I want to arrange a secondary market for a loan that is originated to a large group of members. I will not act as a market maker, but only facilitate trading in the loan. Bids and offers can be submitted at any time, but the actual buy/sell transactions take place only once every quarter. It’s possible and likely that some bids are higher than most offers, but simultaneously some bids are lower than most offers.Preferably I would like to establish one market price, but I have no clue how to do this. If not possible, I could consider discriminating prices.How will I go about? What are my alternatives, what are the most common ways of doing this?Example order book buy sell priceorder 1 8 100order 2 5 105order 3 10 110order 4 10 95order 5 7 103order 6 5 97order 7 5 100order 8 5 99order 9 4 103order 10 4 101

Looks like the forum made a hash of your order book. Which are the buy and which are the sell orders?One common market pricing algorithm finds the clearing price that maximizes volume. This can be done by: 1) sorting the buy orders from highest to lowest and accumulating the buying volume at each descending price point; 1) sorting the sell orders from lowest to highest and accumulating the selling volume at each ascending price point; 3) picking the price point that has the highest clearing volume (maximizes the least of the accumulated buy vs. sell volume). If a range of prices have the same clearing volume, you can take the midpoint.

Yeah, this sounds like the JGB futures "Market on close" or "market on open" algorithm.