Patent ID: 8744945

Claim:
A method including: receiving by a computing device a plurality of trade notifications from an electronic exchange, wherein each of the plurality of trade notifications corresponds to an executed trade for a tradable object, wherein each of the plurality of trade notifications is for the same tradable object, wherein the electronic exchange sends each of the plurality of trade notifications in response to the electronic exchange matching orders resulting in the corresponding executed trade, wherein each of the plurality of trade notifications includes a trade quantity and a trade price, wherein the trade price is the same for each of the plurality of trade notifications, wherein each of the plurality of trade notifications corresponds to an executed trade on a side for the tradable object, wherein the side is the same for each of the plurality of trade notifications, wherein the side is one of a buy side and a sell side, wherein the plurality of trade notifications includes a last notification; aggregating by the computing device the plurality of trade notifications in an aggregated set based on the trade price included in each trade notification; providing by the computing device an aggregated trade indicator representing the aggregated set, wherein the aggregated trade indicator represents the sum of the trade quantities of the plurality of trade notifications at the trade price of the plurality of trade notifications; determining by the computing device, in response to receiving the last notification, whether no quantity remains on the side for the tradable object at the trade price of the last notification by comparing the trade quantity of the last notification and a total quantity available on the side for the tradable object at the trade price of the last notification before receiving the last notification; and providing by the computing device a no quantity remains indicator representing that no quantity remains on the side for the tradable object at the trade price of the last notification in response to determining that no quantity remains, wherein the no quantity remains indicator is provided by one of: (i) as part of the aggregated trade indicator and (ii) in relation to the aggregated trade indicator.