Financial exchange system and method for processing retail price improvement orders

An exchange order fulfillment system comprising:

• at least one processor of an electronic exchange to:
• receive a plurality of electronic communications from participant computing devices via a communication network, each of the participant computing devices in communication with a particular port provided by the electronic exchange, the communications comprising orders for trades of one or more financial instruments in a message format comprising one or more tags and associated with a message protocol, at least one of the orders comprising a plurality of tags identifying a financial instrument for a trade, an order side, and an amount of price improvement to be applied to one of a protected national best bid (NBB) or a protected national best offer (NBO) of the financial instrument for the trade;
• fulfill the at least one order when the amount of the price improvement is more aggressive than a specified value of aggressiveness relative to the one of the protected NBB or the protected NBO of the financial instrument;
• and report information associated with fulfillment of the at least one order to at least one of the participant computing devices using the particular port in the message format or to a consolidated data stream at a particular interval of time for display on a user interface of the one of the participant computing devices.

A non-transitory computer-readable medium having instructions stored thereon that, when executed by at least one processor of an electronic exchange, cause the at least one processor to perform operations comprising:

• receiving a plurality of electronic communications from participant computing devices via a communication network, each of the participant computing devices in communication with a particular port provided by the electronic exchange, the communications comprising orders for trades of one or more financial instruments in a message format comprising one or more tags and associated with a message protocol, at least one of the orders comprising a plurality of tags identifying a financial instrument for a trade, an order side, and an amount of price improvement to be applied to one of a protected national best bid (NBB) or a protected national best offer (NBO) of the financial instrument for the trade;
• fulfilling the at least one order when the amount of the price improvement is more aggressive than a specified value of aggressiveness relative to the one of the protected NBB or the protected NBO of the financial instrument;
• and
• reporting information associated with fulfillment of the at least one order to at least one of at least one participant computing device in the message format using the particular port or to a consolidated data stream at a particular interval of time for display on a user interface of the one of the participant computing devices.