Abstract: A system for providing order book state includes an exchange data interface to receive order data from an electronic exchange system. The order data is representative of orders at the electronic exchange system for an instrument. The system further includes a converter to convert order data into order event data by applying any rule used by the exchange system to execute the orders and instructions to compile the order event data into computed order books. Each computed order book is a representation of an actual order book for the instrument at the exchange system at a respective time. The system further includes an analyst interface to output representations of the computed order books.