Patent Publication Number: US-2003225655-A1

Title: Market participant interest dissemination process and method

Description:
RELATED APPLICATIONS  
     [0001] This application claims the priority of: U.S. Provisional Patent Application No. 60/385,979, entitled “Supermontage Architecture”, and filed on Jun. 5, 2002; and U.S. Provisional Patent Application No. 60/385,988, entitled “Security Processor”, and filed on Jun. 5, 2002. 
    
    
     
       BACKGROUND  
       [0002] This invention relates to electronic securities trading, and the processing and displaying of information relating to electronic securities trading.  
       [0003] Electronic equity markets, such as The Nasdaq Stock Market™ collect, aggregate, and display pre-trade information to market participants. In the Nasdaq Stock Market, for example, this pre-trade information takes the form of a quote that represents a single or an aggregate of same-priced principal or agency orders. A market, such as The Nasdaq Stock Market™, also provides trading platforms through which market participants may trade securities in the marketplace.  
       SUMMARY  
       [0004] According to an aspect of this invention, a system to disseminate attributable interest information concerning a single market participant includes an internal interface that receives general attributable interest messages concerning a specific security that is traded on a computerized trading system. Each general attributable interest message includes a lot size, a per unit value, and a market participant identifier. A message filtering process filters the general attributable interest messages to select a single market participant. This generates filtered attributable interest messages that concern the single market participant. An external interface publishes, over an information bus, the filtered attributable interest messages to the single market participant.  
       [0005] One or more of the following features may also be included. A client process receives, from the information bus, the filtered attributable interest messages published by the external interface.  
       [0006] The client process includes a graphical user display process that displays the filtered attributable interest messages published by the external interface. These filtered attributable interest messages include ask-side interest messages that represent a lot size of the specific security that is offered for sale by the single market participant at an ask price This ask price is equivalent to the per unit value. The filtered attributable interest messages also include bid-side interest messages that represent a lot size of the specific security that is sought for purchase by the single market participant at a bid price, such that the bid price is equivalent to the per unit value.  
       [0007] The graphical user display process include an ask-side display process for displaying, in a multi-column format, an ask-side entry for each ask-side interest message. Each of these ask-side entries includes the lot size, and the ask price. The ask-side display process includes a tabular display process for simultaneously displaying multiple ask-side entries in an ask-side table. The ask-side display process further includes a tabular sorting process for sorting the multiple ask-side entries in accordance with their ask price. An ask-side aggregate calculation process generates an ask-side aggregate value for a specific ask-side entry. This ask-side aggregate value is equal to the lot size of the specific ask-side entry summed with the lot sizes of all preceding ask-side entries included in the ask-side table.  
       [0008] The graphical user display process also includes a bid-side display process for displaying, in a multi-column format, a bid-side entry for each bid-side interest message, such that each bid-side entry includes the lot size, and the bid price. The bid-side display process includes a tabular display process for simultaneously displaying multiple bid-side entries in a bid-side table. The bid-side display process further includes a tabular sorting process for sorting the multiple bid-side entries in accordance with their bid price. A bid-side aggregate calculation process generates a bid-side aggregate value for a specific bid-side entry, such that the bid-side aggregate value is equal to the lot size of the specific bid-side entry summed with the lot sizes of all preceding bid-side entries included in the bid-side table.  
       [0009] The graphical user display process includes a security selection process that allows the single market participant to select the specific security. The attributable interest messages include quotes and orders.  
       [0010] According to a further aspect of this invention, a method of disseminating attributable interest information concerning a single market participant includes receiving general attributable interest messages concerning a specific security that is traded on a computerized trading system. Each attributable interest message includes a lot size, a per unit value, and a market participant identifier. These general attributable interest messages are filtered to select a single market participant. This generates filtered attributable interest messages concerning the single market participant. The filtered attributable interest messages are published over an information bus to the single market participant.  
       [0011] One or more of the following features may also be included. The filtered attributable interest messages that were published by the external interface are received from the information bus. Receiving the filtered attributable interest messages includes displaying the filtered attributable interest messages published by the external interface.  
       [0012] The filtered attributable interest messages include ask-side interest messages that represent a lot size of the specific security that is offered for sale by the single market participant at an ask price, such that the ask price is equivalent to the per unit value. The filtered attributable interest messages also include bid-side interest messages that represent a lot size of the specific security that is sought for purchase by the single market participant at a bid price, such that the bid price is equivalent to the per unit value.  
       [0013] Displaying the filtered attributable interest messages includes displaying, in a multi-column format, an ask-side entry for each ask-side interest message. Each ask-side entry includes the lot size, and the ask price. Further, displaying the filtered attributable interest messages includes displaying, in a multi-column format, a bid-side entry for each bid-side interest message, such that each bid-side entry includes the lot size, and the bid price.  
       [0014] Displaying an ask-side entry includes simultaneously displaying multiple ask-side entries in an ask-side table, and sorting the multiple ask-side entries in accordance with their ask price. An ask-side aggregate value is generated for a specific ask-side entry, such that the ask-side aggregate value is equal to the lot size of the specific ask-side entry summed with the lot sizes of all preceding ask-side entries included in the ask-side table.  
       [0015] Displaying a bid-side entry includes simultaneously displaying multiple bid-side entries in a bid-side table, and sorting the multiple bid-side entries in accordance with their bid price. A bid-side aggregate value is generated for a specific bid-side entry, such that the bid-side aggregate value is equal to the lot size of the specific bid-side entry, summed with the lot sizes of all preceding bid-side entries included in the bid-side table.  
       [0016] Displaying the filtered attributable interest messages includes allowing the single market participant to select the specific security to be monitored. The filtered attributable interest messages include quotes, and orders.  
       [0017] According to a further aspect of this invention, a computer program product residing on a computer readable medium includes a plurality of instructions. When executed by the processor, these instructions cause that processor to receive general attributable interest messages concerning a specific security that is traded on a computerized trading system. Each general attributable interest message includes a lot size, a per unit value, and a market participant identifier. These general attributable interest messages are filtered to select a single market participant. This generates filtered attributable interest messages concerning the single market participant. The filtered attributable interest messages are published over an information bus to the single market participant.  
       [0018] One or more of the following features may also be included. The computer program product further includes instructions to receive, from the information bus, the filtered attributable interest messages published over the information bus. The instructions to receive the filtered attributable interest messages further includes instructions to display the filtered attributable interest messages published over the information bus.  
       [0019] According to a further aspect of this invention, a message feed for disseminating attributable interest information includes a plurality of attributable interest messages broadcast onto a distributed computing network. The messages concern a single market participant and include a lot size (e.g., a quote size), and a per unit value.  
       [0020] One or more advantages can be provided from the above. The market participant can easily monitor their trading activity for a specific security. Further, the market participant can quickly determine their position and exposure for that security. By providing the user with trade data concerning the security being monitored, the user is better able to judge the condition of the market concerning that specific security. 
     
    
    
     DESCRIPTION OF DRAWINGS  
     [0021]FIG. 1 is a block diagram of a market participant interest dissemination system;  
     [0022]FIG. 2 is a block diagram of a server-side process of the market participant interest dissemination system;  
     [0023]FIG. 3 is a block diagram of a client-side process of the market participant interest dissemination system;  
     [0024]FIG. 4 is a diagrammatic view of a summarized display; and  
     [0025]FIG. 5 is a block diagram of a market participant interest dissemination method. 
    
    
     DETAILED DESCRIPTION  
     [0026] Referring to FIG. 1, there is shown a system  10  for disseminating filtered attributable interest messages  12  to a single market participant  14 . These messages  12 , which are in the form of a message feed and are processed and broadcast onto a distributed computing network/bus  16  by a server-side process  18 , are accessible by the single market participant  14  though a computer  20  running a client-side process  22 . Filtered attributable interest messages  12  specify, for a specific security, outstanding orders and quotes placed by the single market participant. This filtered quote and order information allows a single market participant to easily discern the market condition of a particular security, and the respective interest and exposure that they have concerning that security. The message feed assembled by system  10  from filtered attributable interest messages  12  is intended to be a private message feed, in that it is only receivable and readable by the market participant who placed the outstanding orders/quotes.  
     [0027] Server-side process  18  resides on a server  24  that is connected to network/bus  16  (e.g., the Internet, an intranet, a local area network, some other form of network, a data bus, a system bus, etc.). Computerized trading system  26 , which trades securities electronically and also resides on server  24 , processes trades  28  entered by various market participants (e.g., market participant  14 ). Market participant  14  typically accesses and uses computerized trading system  26  and client-side process  22  via a desktop application  30  (e.g., Microsoft Internet Explorer™, Netscape Navigator™, the Nasdaq Workstation II™, a specialized desktop interface, etc.) running on computer  20 , thus allowing market participant  14  to trade securities with other market participants (not shown).  
     [0028] The instruction sets and subroutines of server-side process  18  are typically stored on a storage device  32  connected to server  24 . Additionally, computerized trading system  26  stores all information relating to securities trades on storage device  32 . Storage device  32  can be a hard disk drive, a tape drive, an optical drive, a RAID array, a random access memory (RAM), or a read-only memory (ROM), for example.  
     [0029] The instruction sets and subroutines of client-side process  22  are typically stored on a storage device  34 , such as a hard disk drive, connected to computer  20 .  
     [0030] Server  24  includes at least one central processing unit (not shown) and main memory system (not shown). Typically, server  24  is a multi-processing, fault-tolerant system that includes multiple central processing units that each have a dedicated main memory system or share a common main memory pool. While being executed by the central processing unit(s) of server  24 , server-side process  18  resides in the main memory system of server  24 . Further, the processes and subroutines of server-side process  18  may also be present in various levels of cache memory incorporated into server  24 .  
     [0031] Referring to FIG. 2, server side process  18  includes an internal interface  50  that receives general attributable interest messages  52  from computerized trading system  26 . These general attributable interest messages  52 , which concern a specific security that is traded on trading system  26 , define the outstanding orders and quotes related to that specific security that were placed by any market participant trading on computerized trading system  26 . For example, if Market Participant A wished to buy one-hundred shares of XYZ Corp. at $40.02 per share, trading system  26  would provide a general attributable interest message concerning this outstanding order to server-side process  18 . Additionally, if Market Participant B was willing to buy one hundred shares of XYZ Corp. for $40.00 per share and willing to sell  50  shares of XYZ Corp. for $40.03 per share, trading system  26  would provide a general attributable interest message concerning this outstanding quote to server-side process  18 .  
     [0032] These general attributable interest messages  52  received by internal interface  50  define pending orders (i.e., either an offer to sell or a bid to buy) or pending quotes (i.e., an other to sell and a bid to buy). Each general attributable interest message defines the market participant who is either offering to sell or bidding to buy the security, a lot size (i.e., quantity offered for sale or sought for purchase), and a per unit value (i.e., the offered price or bid price).  
     [0033] Once these general attributable interest messages  52  are received by internal interface  50 , they are filtered by a message filtering process  54  so that the messages only pertain to a single market participant. For example, if a first, second, and third general attributable interest message is received concerning Market Participants A, B, and C respectively, and server side process  18  is generating a message feed for Market Participant B, the first message (i.e. Market Participant A) and the third message (i.e., Market Participant C) are going to be filtered. This filtering by message filtering process  54  results in the generation of filtered attributable interest messages  12 .  
     [0034] These filtered attributable interest messages  12  may be ask-side interest messages (for sell orders placed by the single market participant), or bid-side interest messages (for buy orders placed by the single market participant).  
     [0035] During the trading day, computerized trading system  26  trades securities. During the course of the day, the trade value of the security will vary as market conditions fluctuate. Whenever a market participant is offering a security for sale at the same price that another market participant is willing to pay for the security, a trade occurs between those two market participants. However, if the highest bid to buy is lower than the lowest offer to sell, the security will not be traded.  
     [0036] For example, assume that the total shares of XYZ Corp. offered for sale by the individual market participants trading on computerized trading system  26  are as follows:  
                                                       Ask Price   Lot Size   Market Participant                                                            Offer 1   $17.10   92   A           Offer 2   $17.31   50   B           Offer 3   $17.31   111   C           Offer 4   $17.31   999   D           Offer 5   $17.35   1   B           Offer 6   $17.35   1   E           Offer 7   $17.40   50   D           Offer 8   $18.09   1   B           Offer 9   $18.09   4   A           Offer 10   $18.11   1   B           Offer 11   $18.12   1   B           Offer 12   $18.13   1   K                      
 
     [0037] A general attributable interest message  52  would be generated by computerized trading system  26  for each of these outstanding offers to sell. Notice that Market Participant B is offering fifty shares of XYZ Corp. for $17.31 per share; one share for $17.35 per share; one share for $18.09 per share; one share for $18.11 per share; and one share for $18.12 per share.  
     [0038] Further, assume that the total shares of XYZ Corp. sought for purchase by the individual market participants trading on computerized trading system  26  are as follows:  
                                                       Bid Price   Lot Size   Market Participant                                                            Bid 1   $17.09   10   B           Bid 2   $17.08   10   C           Bid 3   $17.08   999   B           Bid 4   $17.00   1   B           Bid 5   $17.00   1   D           Bid 6   $17.00   1   E           Bid 7   $17.00   1   A           Bid 8   $16.95   1   B           Bid 9   $16.73   1   E           Bid 10   $16.61   5   B           Bid 11   $16.44   1   C           Bid 12   $16.11   5   B                      
 
     [0039] A general attributable interest message  52  would be generated by computerized trading system  26  for each of these outstanding bids to buy. Notice that Market Participant B is seeking ten shares for $17.09 per share; nine-hundred-ninety-nine shares for $17.08 per share; one share for $17.00 per share; one share for $16.95 per share; five shares for $16.61 per share; and five shares for $16.11 per share.  
     [0040] Since the highest bid price is $17.09 and the lowest ask price is $17.10, no trades of XYZ Corp. will occur until either Market Participant B raises their bid to $17.10 or Market Participant A lowers their ask price to $17.09. This one cent price difference is commonly referred to as the “spread”.  
     [0041] As stated above, when general attributable interest messages  52  are received by internal interface  50 , they are filtered (by message filtering process  54 ) so that the messages that pass through the filter only concern a single market participant. This generates filtered attributable interest messages  12 . Continuing with the above-stated example, if the general attributable interest messages  52  are filtered (by message filtering process  54 ) so that they only reflect offers to sell or bids to buy placed by Market Participant B, the filtered attributable interest messages  12  would be as follows:  
                                                      Ask Price   Lot Size                                     Offer 2   $17.31   50       Offer 5   $17.35   1       Offer 8   $18.09   1       Offer 10   $18.11   1       Offer 11   $18.12   1                                     Bid Price   Lot Size                                     Bid 1   $17.09   10       Bid 3   $17.08   999       Bid 4   $17.00   1       Bid 8   $16.95   1       Bid 10   $16.61   5       Bid 12   $16.11   5                  
 
     [0042] An external interface  58  publishes (or pushes), over network/bus  16 , these filtered attributable interest messages  12 . This results in a message feed being pushed across network/bus  16 , which is monitorable by market participant  14  using a client-side process  22 . Typically, this message feed, which is assembled from filtered attributable interest messages  12 , is receivable and readable by only the market participant to which the feed pertains. In the above-stated example, that is Market Participant B. This allows Market Participant B to monitor their status and exposure concerning this security (XYZ Corp.).  
     [0043] Message filtering process  54  is configurable via a filter configuration process  56  that is accessible by an administrator  62 . Therefore, if a particular market participant (e.g., Market Participant B) chooses to receive filtered attributable interest messages  12  that concern all of its outstanding orders and quotes for a specific security (e.g., XYZ Corp.), administrator  62  would configure message filtering process  54  so that a message feed is generated (from filtered attributable interest messages  12 ) for that particular market participant concerning that specific security.  
     [0044] Referring to FIG. 3, a client-side process  22  includes a graphical user display process  100  that displays the attributable interest messages published by external interface  58 . The client-side process  22  receives the message feed, which is published by external interface  58  and generated from filtered attributable interest messages  12 . This message feed concerns the outstanding orders and quotes placed by the market participant receiving the message feed.  
     [0045] Graphical user display process  100 , which allows a market participant  14  to monitor their position and exposure concerning a specific security traded on computerized trading system  26 , provides market participant  14  with a summarized display  102  (to be discussed below in greater detail) viewable on computer  20 . Preferably, summarized display  102  is one screen in size, thus allowing market participant  14  to quickly get an overview of their position and exposure concerning the specific security without having to scroll through or toggle between multiple screens.  
     [0046] Graphical user display process  100  includes a security selection process  104  that allows market participant  14  to select the specific security they wish to monitor. This selection may occur is several different ways and will vary depending on the manner in which selection process  104  is implemented. For example, market participant  14  may select the security they wish to monitor via a drop-down menu that allows the market participant to scroll through a list of securities and select the one they wish to monitor. This drop down menu may use ticker symbols or may list the full name of the issuer of the security. Alternatively, market participant  14  may be able to enter the security&#39;s ticker symbol directly, thus allowing for quicker selection.  
     [0047] Once market participant  14  selects the security, client-side process  22  connects to the appropriate feed that is associated with that security. Typically, summarized display  102  is a real-time display, in that the information shown within the display is regularly updated in accordance with the rate that external interface  58  broadcasts the attributable interest messages encoded within message feed  60 . Therefore, in the event that an order is filled (i.e., shares are bought or sold), the client-side process is notified of the sale/purchase so that the summarized display  102  can be updated.  
     [0048] Referring to FIG. 4, an ask-side display process  104  displays, in a multi-column format, an ask-side entry  152   1-n  for each filtered attributable interest message  12  received that is an ask-side interest message. Each discrete ask-side entry  152   1-n  represents a discrete group of the specific security (selected by market participant  14 ), such that these groups of securities are being offered for sale by market participant  14  and the specifics of the ask-side entry correspond to the ask-side interest message received. For example, ask-side entry  154  concerns a group of fifty shares of the security XYZ Corp. that is currently being offered for sale by Market Participant B for $17.31 per share.  
     [0049] Ask-side entry  154  includes multiple columns, each of which provides information concerning the discrete group of securities being offered for sale, such as an ask price  158 , a lot size  160  (i.e., the quantity of shares of the selected security available at that ask price from Market Participant  14 ), and an aggregate value  162  (i.e., the total sum of shares available from Market Participant  14  at that price or lower).  
     [0050] Ask-side display process  104  includes a tabular display process  106  for simultaneously displaying multiple ask-side entries (e.g., ask-side entries  154 ,  164 ,  166 ,  168 , for example). These ask-side entries are arranged vertically so that the ask price, lot size, and aggregate value of each entry are aligned, providing ask-side table  170 .  
     [0051] Display process  100  includes an ask-side aggregate calculation process  110  for calculating the ask-side aggregate value  162  for each ask-side entry. Ask-side aggregate calculation process  110  determines the ask-side aggregate value  162  for a particular ask-side entry by summing the value of the lot size for that particular ask-side entry with the lot sizes of all preceding ask-side entries included in ask-side table  170 . For example, the aggregate value for ask-side entry  154  is [50], the aggregate value for ask-side entry  164  is [51, i.e., 50+1], the aggregate value for ask-side entry  166  is [52, i.e., 50+1+1], and so forth.  
     [0052] A tabular sorting process  108  sorts ask-side entries (e.g.,  154 ,  164 ,  166 ,  168 ) in accordance with a user-defined sorting parameter, such as ascending or descending ask prices, ascending or descending lot sizes, for example. This enables market participant  14  to group and order the ask-side entries within ask-side table  170  in accordance with their personal preferences. However, the ask-side entries within ask-side table  170  are typically sorted by ask price (as shown in FIG. 4).  
     [0053] In a manner similar to ask-side display process  104 , a bid-side display process  114  displays, in a multi-column format, a bid-side entries  184   1-n  for each filtered attributable interest message received that is a bid-side interest message for the same security (i.e., XYZ Corp.) selected by market participant  14 . Each discrete bid-side entry  184   1-n  represents a discrete group of the specific security (selected by market participant  14 ) that is sought for purchase by market participant  14 , such that the specifics of the bid-side entry correspond to the bid-side interest message received. For example, bid-side entry  186  concerns a group of ten shares of the security XYZ Corp. that market participant  14  currently wants to purchase for $17.09 per share. Similar to an ask-side entry, a bid-side entry  186  includes multiple columns, each of which provides information concerning the discrete group of securities sought for purchase, such as a bid price  190 , a lot size  192  (i.e., the quantity of shares of the selected security wanted for purchase by market participant  14  at that bid price), and an aggregate value  194  (i.e., the total sum of shares wanted for purchase at that price or higher).  
     [0054] Bid-side display process  114  includes a tabular display process  116  for simultaneously displaying multiple bid-side entries (e.g., bid-side entries  186 ,  196 ,  198 ,  200 ). These bid-side entries are arranged vertically so that the bid price, lot size, and aggregate value of each entry are aligned, forming a bid-side table  202 .  
     [0055] Display process  100  includes a bid-side aggregate calculation process  120  for calculating the bid-side aggregate value  194  for each bid-side entry. As with ask-side aggregate calculation process  110 , bid-side aggregate calculation process  120  determines the bid-side aggregate value  194  for a particular bid-side entry by summing the value of the lot size for that particular bid-side entry with the lot sizes of all preceding bid-side entries included in bid-side table  202 . For example, the aggregate value for bid-side entry  186  is [10], the aggregate value for bid-side entry  196  is [1009, i.e., 10+999], the aggregate value for bid-side entry  198  is [1010, i.e., 10+999+1], and so forth.  
     [0056] Similar to that of ask-side entries, a tabular sorting process  118  sorts bid-side entries (e.g.,  186 ,  196 ,  198 ,  200 ) in accordance with a user-defined sorting parameter, such as ascending or descending bid prices, ascending or descending lot sizes, etc. This enables market participant  14  to group and order the bid-side entries within bid-side table  202  in accordance with their personal preferences. Again, like ask-side table  170 , bid-side entries within bid-side table  202  are typically sorted by bid price (as shown in FIG. 4).  
     [0057] Bid-side display process  114  displays bid-side entries so that bid-side table  202  is essentially a mirror image of ask-side table  170 . Specifically, the columns in bid-side table  202  are arranged so that they are in the opposite order (i.e., when moving across the tables  170 ,  202  in a common direction) to that of ask-side table  170 . The columns of these tables are essentially mirrored around an imaginary centerline  204 . For example, column  158  and column  190  (i.e., ask and bid prices respectively) are the closest columns to centerline  204 . Column  162  and column  194  (i.e., ask-side and bid-side aggregate values respectively) are the second closest columns to centerline  204 . Further, column  160  and column  192  (i.e., ask-side and bid-side lot sizes respectively) are the furthest columns away from centerline  204 .  
     [0058] A security display process  124  displays, in summarized display  102 , pertinent trade data relating to the specific security (e.g., XYZ Corp.) being monitored by market participant  14 . Examples of this pertinent trade data, which is retrieved from computerized trading system  26 , include a daily trade volume amount indicator  218 , a daily high trade amount indicator  220 , and a daily low trade value amount indicator  222 .  
     [0059] While the lot sizes  160 ,  192  described above are stated to be in units of shares, it is possible for these numbers to also represent groups of one-hundred shares (commonly referred to as “round lots”), or any other amount of shares. In this scenario, ask-side entry  154  may represent an offer to sell five-thousand shares of XYZ Corp.  
     [0060] While imaginary centerline  204  is shown as being a vertical centerline, this imaginary centerline  204  may be a horizontal centerline, such that ask-side and bid-side entries are arranged in multi-row format and, therefore, mirroring would occur about a horizontal axis.  
     [0061] While server-side process  18  is described above as being configured to publish a message feed  12  that is presorted (i.e., filtered) such that the attributable interest messages in the feed concern only a single security, other arrangements are possible. For example, the message feed may be broadcast so that it includes all of the market participant&#39;s attributable interest messages (regardless of the security they pertain to) and client-side process  22  could be configured to filter these message so that ask-side and bid-side entries are created for only messages pertaining to a single security.  
     [0062] Referring to FIG. 5, a process  250  for disseminating attributable interest information concerning a single market participant includes receiving  252  general attributable interest messages concerning a specific security that is traded on a computerized trading system. Each attributable interest message includes a lot size, a per unit value, and a market participant identifier. These general attributable interest messages are filtered  254  to select a single market participant. This generates filtered attributable interest messages concerning the single market participant. These filtered attributable interest messages are published  256  over an information bus to the single market participant.  
     [0063] One or more of the following features may also be included. The filtered attributable interest messages that were published by the external interface are received  258  from the information bus. Receiving  258  the filtered attributable interest messages includes displaying  260  the filtered attributable interest messages published by the external interface.  
     [0064] The filtered attributable interest messages include ask-side interest messages that represent a lot size of the specific security that is offered for sale by the single market participant at an ask price, such that the ask price is equivalent to the per unit value. The filtered attributable interest messages also include bid-side interest messages that represent a lot size of the specific security that is sought for purchase by the single market participant at a bid price, such that the bid price is equivalent to the per unit value.  
     [0065] Displaying  260  the filtered attributable interest messages includes displaying  262 , in a multi-column format, an ask-side entry for each ask-side interest message. Each ask-side entry includes the lot size, and the ask price. Further, displaying  260  the filtered attributable interest messages includes displaying  264 , in a multi-column format, a bid-side entry for each bid-side interest message, such that each bid-side entry includes the lot size, and the bid price.  
     [0066] Displaying  262  an ask-side entry includes displaying  266  multiple ask-side entries in an ask-side table, and sorting  268  the multiple ask-side entries in accordance with their ask price. An ask-side aggregate value is generated  270  for a specific ask-side entry, such that the ask-side aggregate value is equal to the lot size of the specific ask-side entry summed with the lot sizes of all preceding ask-side entries included in the ask-side table.  
     [0067] Displaying  264  a bid-side entry includes displaying  272  multiple bid-side entries in a bid-side table, and sorting  274  the multiple bid-side entries in accordance with their bid price. A bid-side aggregate value is generated  276  for a specific bid-side entry, such that the bid-side aggregate value is equal to the lot size of the specific bid-side entry, summed with the lot sizes of all preceding bid-side entries included in the bid-side table.  
     [0068] Displaying  260  the filtered attributable interest messages includes allowing  278  the single market participant to select the specific security to be monitored. The filtered attributable interest messages include quotes, and orders.  
     [0069] The system described herein is not limited to the hardware embodiment described above; it may find applicability in any computing or processing environment. The system may be implemented in hardware, software, or a combination of the two. For example, the system may be implemented using circuitry, such as one or more of programmable logic (e.g., an ASIC), logic gates, a processor, and a memory.  
     [0070] The system may be implemented in computer programs executing on programmable computers that each includes a processor and a storage medium readable by the processor (including volatile and non-volatile memory and/or storage elements). Each such program may be implemented in a high-level procedural or object-oriented programming language to communicate with a computer system. However, the programs can be implemented in assembly or machine language. The language may be a compiled or an interpreted language.  
     [0071] Each computer program may be stored on an article of manufacture, such as a storage medium (e.g., CD-ROM, hard disk, or magnetic diskette) or device (e.g., computer peripheral), that is readable by a general or special purpose programmable computer for configuring and operating the computer when the storage medium or device is read by the computer to perform the functions of the data framer interface. The system may also be implemented as a machine-readable storage medium, configured with a computer program, where, upon execution, instructions in the computer program cause a machine to operate to perform the functions of the system described above.  
     [0072] Embodiments of the system may be used in a variety of applications. Although the system is not limited in this respect, the system may be implemented with memory devices in microcontrollers, general purpose microprocessors, digital signal processors (DSPs), reduced instruction-set computing (RISC), and complex instruction-set computing (CISC), among other electronic components.  
     [0073] Embodiments of the system may also be implemented using integrated circuit blocks referred to as main memory, cache memory, or other types of memory that store electronic instructions to be executed by a microprocessor or store data that may be used in arithmetic operations.  
     [0074] A number of embodiments of the invention have been described. Nevertheless, it will be understood that various modifications may be made without departing from the spirit and scope of the invention.