Data Feed Without Quantities

Abstract

The present embodiments relate to an improved data feed. In an embodiment, an electronic exchange, when generating a data feed, in particular a price data feed, purposefully chooses to include the inside market and/or last traded price but purposefully leaves out the market depth. The market depth may be omitted to provide an optimal marketplace.

1 . (canceled) 
     
     
         2 . A system including:
 a match engine at an electronic exchange,   wherein the match engine is configured to receive an order message from a remote electronic device specifying a trade order for a quantity of a tradeable object at a price, and   wherein the match engine is configured to process the received order to identify a match for the received order; and   a gateway in communication with the electronic exchange,   wherein the gateway is configured to receive a market data feed generated by the match engine according to a first data format, wherein the market data feed includes a plurality of matches at a plurality of prices for a plurality of tradeable objects,   wherein the gateway is configured to extract a lowest available offer price and a highest available bid for each of the plurality of tradeable objects in the received market data feed,   wherein the gateway is configured to generate a data feed according to a second data format based on each of the extracted lowest available offer price and the highest available bid as a price spread for each of the plurality of tradeable objects, wherein the second data format of the generated data feed includes a plurality of market data feeds each having the generated price spread for one of a plurality of tradeable objects, and   wherein the gateway is configured to multicast the generated data feed to a plurality of remote electronic devices in communication with the gateway.   
     
     
         3 . The system of  claim 2 , wherein the highest available bid is a best bid price for the tradeable object and the lowest available offer price and is a best offer price for the tradeable object and comprises an inside market for the tradeable object. 
     
     
         4 . The system of  claim 3 , wherein the market data feed further comprises a last traded price for each of the plurality of tradeable objects. 
     
     
         5 . The system of  claim 3 , wherein the remote electronic devices that receive the data feed do not receive the inside market from the electronic exchange. 
     
     
         6 . The system of  claim 5 , wherein the remote electronic devices that receive the data feed estimate the market depth based on data that is not in the data feed.