1. A method comprising: (a) receiving electronic data describing an executed trading order in a market traded security and related trade execution data; (b) calculating, with a processing system, an impact-free price estimate which estimates a price of said market traded security if said executed trading order had not been executed, wherein said impact-free price estimate is based in part on said data describing said executed trading order; (c) transmitting data sufficient to describe said impact-free price estimate; wherein said processing system comprises one or more processors.