Patent ID: 8392322

Claim:
A computer implemented method of transforming a set of orders to buy and sell into a form from which an implied order may be generated, the method comprising: receiving, by a processor, the set of orders to buy and sell, each order of the set orders being for an associated quantity of one or more units of an item of a plurality of items tradeable on an exchange, wherein the associated quantity of one order of the set of orders may be different from the associated quantity of another order of the set of orders; converting, by the processor, the set of orders into a unit order set comprising a separate buy order for each unit of the associated quantity of each buy order of the set of orders and a separate sell order for each unit of the associated quantity of each sell order of the set of orders; identifying, by the processor, at least one minimal set comprising a unique subset of the unit order set; and wherein at least one implied order may be computed, by the processor, based on the at least one minimal set, each of the at least one implied order comprising at least two orders of the unit order set characterized by a 1:1 volume ratio.