Abstract: A computer-implemented system and method for computing summaries of securities order book information from trading venues is provided. Messages, which include order book market tick data for order books, are received at a market data analyzer computer from a producer. The producer includes an electronic trading venue or a market data consolidator. The order book market tick data is summarized on the market data analyzer computer by computing time weighted averages of a volume of securities available at average spreads as the order book market tick data messages are received. Messages, which include the summaries of the order book market tick data, are transmitted from the market data analyzer computer to one or more consumers at some sampling interval or triggered by some sampling event. The number of the messages transmitted from the market data analyzer computer is lower than the number of messages received from the producer.