Method and Apparatus for Providing Order Queue Information

Abstract

A system and method for providing market information are disclosed. In this application, updates are received for a tradable object at a price level from at least one exchange. To the extent that the updates do not include enough details to compute the number of orders resting at a particular price level in a market, estimation may be used to provide order queue information. As a result, the number of orders which are pending in the market at various price levels may be determined using the techniques described herein. The interface disclosed herein may be used to display the number and/or quantity of the orders in the order queue.

1 . (canceled) 
     
     
         2 . A system for estimating a number of orders for a tradable object listed with an exchange, the system including:
 a computing device,   wherein the computing device is configured to receive a market update for a tradable object where the market update includes a new total quantity associated with a price;   wherein the computing device is configured to compare the new total quantity in the market update with a previous total quantity associated with the price;   wherein the computing device is configured to estimate a number of orders that are at an exchange waiting to be matched at the price in response to the comparison, wherein to estimate the number of orders the computing device is configured to:
 increase the number of orders by one when the new total quantity in the market update has increased in magnitude from the previous total quantity associated with the price indicating an order was added at the exchange at the price; 
 decrease the number of orders by one when the new total quantity in the market update has decreased in magnitude from the previous total quantity associated with the price indicating that a trade for an entire order has occurred; 
 decrease the number of orders by one when the new total quantity in the market update has decreased in magnitude from the previous total quantity associated with the price indicating that an entire order was deleted; 
 keep the number of orders the same when the new total quantity in the market update has decreased in magnitude from the previous total quantity associated with the price indicating that only part of an order was filled; and 
 keep the number of orders the same when the new total quantity in the market update has decreased in magnitude from the previous total quantity associated with the price indicating that an order was changed; and 
   wherein the computing device is configured to provide the estimated number of orders to a user.   
     
     
         3 . The system of  claim 2 , wherein the computing device is configured to estimate a quantity associated with each order of the number of orders at the exchange waiting to be matched at the price. 
     
     
         4 . The system of  claim 2 , wherein the computing device is configured to track each order of the number of orders in an order queue to represent a queue at the exchange. 
     
     
         5 . The system of  claim 2 , wherein the market update represents either a total market update or a last traded quantity update. 
     
     
         6 . The system of  claim 2 , wherein the computing device is configured to update a graphical user interface based on the estimated number of orders when a change in the number of orders occurs. 
     
     
         7 . The system of  claim 2 , wherein the computing device is configured to distribute the estimated number of orders to a client device.