Patent ID: 8266030

Claim:
A computer implemented method of transforming a set of orders comprising at least one buy order and at least one sell order, each being for a quantity of one or more units of an item tradeable on an exchange, into at least one minimal set of at least one order subset, each order subset comprising at least one buy order for one unit and at least one sell order for one unit, the method comprising: converting, by a processor, each of the at least one buy order of the set of orders into a separate buy order for each unit of the respective quantity of the corresponding at least one buy order and, converting each of the at least one sell order of the set of orders into a separate sell order for each unit of the respective quantity of the corresponding at least one sell order of the set of orders, a unit order set comprising the separate buy and sell orders; identifying, by the processor, each of the at least one minimal set as a unique set of order subsets of the buy and sell orders of the unit order set; and computing, by the processor, at least one implied order based on at least one of 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.