Patent ID: 8396781

Claim:
A system to disseminate attributable interest information, the system comprising: a processor; memory coupled to the processor; an internal interface coupled to the processor, the internal interface receiving attributable interest messages concerning a specific security that is traded on a trading system, wherein each attributable interest message includes a lot size, a per unit value, and a market participant identifier; a computer readable medium storing a computer program product for processing the attributable interest messages, the computer program product comprising instructions to cause the processor to: group the attributable interest messages according to their per unit values; form a plurality of price level groups; generate an ask-side aggregate value for a specific ask-side entry, wherein the ask-side aggregate value is equal to the lot size of the specific ask-side entry summed with the lot sizes of all preceding ask-side entries; generate a bid-side aggregate value for a specific bid-side entry, wherein the bid-side aggregate value is equal to the lot size of the specific bid-side entry summed with the lot sizes of all preceding bid-side entries; and determine a group aggregate value of each of one or more selected price level groups that are chosen from the plurality of price level groups, the ask-side aggregate value, and the bid-side aggregate value; and an external interface for publishing the attributable interest messages included in the one or more selected price level groups.