Patent ID: 8768821

Claim:
A computer-implemented system for automatically computing summaries of securities order book information from one or more trading venues, comprising: a market data analyzer computer comprising a processor and memory within which code for execution by the processor is stored, comprising: an input module configured to receive messages comprising order book market tick records for a plurality of order books from a producer, wherein the producer comprises at least one of an electronic trading venue and a market data consolidator; an order book summarizer configured to summarize the order book market tick records comprising: an averaging module configured to compute for each of the order books, an available number of a particular security over a spread of prices comprising a time weighted moving average of a volume of the security available at a plurality of average spreads greater than an inside spread by determining the volume of the security at one or more of the average spreads between a bid price and offer price for each volume; and an updating module configured to update the time weighted moving averages when each order book market tick record message is received and to sample the summarized order book market tick records by selecting a portion of the time weighted moving averages; and an output module configured to transmit to a consumer, the selected portion of the time weighted moving averages that are sampled from the summarized order book market tick records in a number of messages each comprising a snap shot of the time weighted moving averages that represents a state of the order book, such that the number of the messages transmitted from the market data analyzer computer is lower than the number of messages received from the producer.