Patent ID: 8370252

Claim:
A system comprising: a computing device, wherein the computing device is configured to receive market information for a tradeable object being traded at an electronic exchange, the market information comprising a plurality of price levels and a plurality of order quantities, wherein each price level of the plurality of price levels is associated with at least one trade order pending at the electronic exchange to buy or sell an order quantity for the tradeable object, wherein the computing device is configured to determine that the plurality of price levels includes a linear price level and a non-linear price level, wherein the non-linear price level is separated by more than one default tick increment from a preceding price level of the plurality of price levels, wherein the computing device is configured to generate an indicator sequence comprising a plurality of fields to represent the plurality of price levels, wherein each of the plurality of fields provides an indicator that indicates whether the corresponding price level is linear or non-linear, wherein the computing device is configured to generate a price feed message comprising the indicator sequence, the plurality of order quantities, and the non-linear price level, wherein the linear price level is not provided in the price feed message, and wherein the computing device is configured to send the price feed message to a receiving terminal.