Patent ID: 8738505

Claim:
A non-transitory computer readable medium having stored therein instructions executable by a processor, wherein the instructions are executable to: receive by a computing device a market update for a tradeable object where the market update includes a new total quantity associated with a price; compare by the computing device the new total quantity in the market update with a previous total quantity associated with the price; estimate by the computing device a number of orders that are at an exchange waiting to be matched at the price in response to the comparison, wherein to estimate the number of orders, the instructions are executable to: increase by the computing device the number of orders by one when the new total quantity in the market update has increased in magnitude from the previous total quantity associated with the price indicating an order was added at the exchange at the price; decrease by the computing device the number of orders by one when the new total quantity in the market update has decreased in magnitude from the previous total quantity associated with the price indicating that a trade for an entire order has occurred; decrease by the computing device the number of orders by one when the new total quantity in the market update has decreased in magnitude from the previous total quantity associated with the price indicating that an entire order was deleted; keep by the computing device the number of orders the same when the new total quantity in the market update has decreased in magnitude from the previous total quantity associated with the price indicating that only part of an order was filled; and keep by the computing device the number of orders the same when the new total quantity in the market update has decreased in magnitude from the previous total quantity associated with the price indicating that an order was changed; and provide by the computing device the estimated number of orders to a user.