Patent ID: 8682782

Claim:
A method comprising: determining, by a computer device, a linear price level and a non-linear price level based on a plurality of price levels, each of the plurality of price levels associated with an order quantity for a tradeable object at an electronic exchange, 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, and wherein the non-linear price level includes a price level other than a highest bid price level and a lowest ask price level; generating, by the computer device, a price feed message comprising a plurality of fields, each field including an indicator indicating whether the corresponding price is linear or non-linear, the price feed message further comprising the order quantity associated with each of the plurality of price levels, and the non-linear price level, wherein the linear price level is not included in the price feed message; and sending, by the computer device, the price feed message to a receiving terminal.