WO2003010629A2 - Systeme et procede de reperage de l'activite du marche des titres et des teneurs de marche - Google Patents

Systeme et procede de reperage de l'activite du marche des titres et des teneurs de marche Download PDF

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Publication number
WO2003010629A2
WO2003010629A2 PCT/US2002/023403 US0223403W WO03010629A2 WO 2003010629 A2 WO2003010629 A2 WO 2003010629A2 US 0223403 W US0223403 W US 0223403W WO 03010629 A2 WO03010629 A2 WO 03010629A2
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WO
WIPO (PCT)
Prior art keywords
price
ask
bid
security
volume
Prior art date
Application number
PCT/US2002/023403
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English (en)
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WO2003010629A3 (fr
Inventor
Stephen Cutler
Original Assignee
Stephen Cutler
Priority date (The priority date is an assumption and is not a legal conclusion. Google has not performed a legal analysis and makes no representation as to the accuracy of the date listed.)
Filing date
Publication date
Priority claimed from US09/911,772 external-priority patent/US7664695B2/en
Application filed by Stephen Cutler filed Critical Stephen Cutler
Priority to CA002455017A priority Critical patent/CA2455017A1/fr
Priority to JP2003515939A priority patent/JP2004537114A/ja
Priority to EP02744879A priority patent/EP1446740A4/fr
Priority to IL16000502A priority patent/IL160005A0/xx
Priority to US10/480,089 priority patent/US20050075965A1/en
Publication of WO2003010629A2 publication Critical patent/WO2003010629A2/fr
Publication of WO2003010629A3 publication Critical patent/WO2003010629A3/fr

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    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/04—Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Definitions

  • the present invention generally relates to real time monitoring and analysis of securities market activity, and, more particularly, to a system and method of tracking and analyzing market maker activity on a dynamic basis for a plurality of securities.
  • the "inside market” represents the best price for sellers and buyers and respectively is comprised of the lowest ask (also known as the inside ask price or level 1 ask) and the highest bid (also known as the inside bid price or level 1 bid).
  • brokers would like certain information to determine what moment is advantageous to sell or buy a particular security.
  • traders have tracked information derived from the "floor” of exchanges such as the New York Stock Exchange (NYSE), the National Association of Securities Dealers (NASDAQ), the Chicago Mercantile Exchange and the like. This information can be transmitted electronically in near real time (i.e., almost simultaneously with actual market activity) to computer workstations for traders to view and analyze.
  • the information presently available to traders includes "level 1" information and "level 2" information.
  • Level 1 information for a particular security typically includes, but may not be limited to, the current trade value (i.e., last trade), the current trade volume, the total volume of shares traded during the trading session, the price to earnings (P/E) ratio, the previous trading day's closing value, the present day's opening value, the high and low values for the day and for the previous 52 weeks, the change from the prior closing value, the lowest ask (inside ask), the highest bid (inside bid), the earnings per share, the market capitalization, the dividend paid per share, the dividend yield, news items and articles, and so forth. Also available are records of historical performance, which can be displayed graphically on a trade by trade basis or over periods of time ranging from fractions of seconds to years.
  • Level 2 information for a particular security typically includes each market maker having an open (or active) bid or ask, the time when the bid or ask was placed (also referred to respectively as bid time and ask time), size of the bid or ask (i.e., number of shares, often reported in lots of 100) and price of the ask or bid.
  • the invention is a method of tracking activity of a plurality of market makers relating to securities traded on at least one common exchange where the market makers place bids and asks.
  • the method includes the steps of receiving a dynamically updated data stream containing level 1 and level 2 data relating to a plurality of securities traded over the at least one exchange, the level 1 data including at least the last trade price of each security and the level 2 data containing a bid price, a bid time, a bid volume, a security identifier, and a market maker identifier for each bid, and an ask price, an ask time, an ask volume, a security identifier and a market maker identifier for each ask; and analyzing the data stream for a selected set of securities from the plurality of securities to derive a statistic indicative of temporary upward or downward price pressure, the statistic derived for each selected security and updated based on the updated data stream, wherein deriving the statistic includes summing the volume of each active bid associated with each selected security and summing the volume of each active
  • the invention is a method of tracking activity of a plurality of market makers relating to securities traded on at least one common exchange where the market makers place bids and asks.
  • the method includes the steps of receiving a dynamically updated data stream containing level 1 and level 2 data relating to a plurality of securities traded over the at least one exchange, the level 1 data including at least the last trade price of each security and the level 2 data containing a bid price, a bid time, a bid volume, a security identifier, and a market maker identifier for each bid, and an ask price, an ask time, an ask volume, a security identifier and a market maker identifier for each ask; and analyzing the data stream for a selected set of securities from the plurality of securities to derive a statistic indicative of temporary upward or downward price pressure, the statistic derived for each selected security and updated based on the updated data stream, wherein deriving the statistic includes determining whether a bid placed by any of the market makers has a value higher than, the same as
  • the invention is a method of tracking activity of a plurality of market makers, relating to securities traded on at least one common exchange where the market makers place bids and asks.
  • the method includes the steps of receiving a dynamically updated data stream containing level 1 and level 2 data relating to a plurality of securities traded over the at least one exchange, the level 1 data including at least the last trade price of each security and the level 2 data containing a bid price, a bid time, a bid volume, a security identifier, and a market maker identifier for each bid, and an ask price, an ask time, an ask volume, a security identifier and a market maker identifier for each ask; and analyzing the data stream to derive a statistic indicative of temporary upward or downward price pressure, the statistic derived for a selected market maker and updated based on the updated data stream, wherein deriving the statistic includes identifying each security from a selected set of securities for which the selected market maker has at least one of an active bid or an active ask, and for the
  • the invention is a method of tracking activity of a plurality of market makers relating to securities traded on at least one common exchange where the market makers place bids and asks.
  • the method includes the steps of receiving a dynamically updated data stream containing level 1 and level 2 data relating to a plurality of securities traded over the at least one exchange, the level 1 data including at least the last trade price of each security and the level 2 data containing a bid price, a bid time, a bid volume, a security identifier, and a market maker identifier for each bid, and an ask price, an ask time, an ask volume, a security identifier and a market maker identifier for each ask; and analyzing the data stream for a selected set of securities from the plurality of securities to derive a statistic indicative of temporary upward or downward price pressure, the statistic derived for each selected security and updated based on the updated data stream, wherein deriving the statistic includes determining the combined bid volume and ask volume for each market maker for each selected security from the selected set of
  • the invention is a method of tracking activity of a plurality of market makers relating to securities traded on at least one common exchange where the market makers place bids and asks.
  • the method including the steps of receiving a dynamically updated data stream containing level 1 and level 2 data relating to a plurality of securities traded over the at least one exchange, the level 1 data including at least the last trade price of each security and the level 2 data containing a bid price, a bid time, a bid volume, a security identifier, and a market maker identifier for each bid, and an ask price, an ask time, an ask volume, a security identifier and a market maker identifier for each ask; and analyzing the data stream to derive a statistic indicative of temporary upward or downward price pressure, the statistic derived for each market maker and updated based on the updated data stream, wherein deriving the statistic includes for each market maker, summing the bid volume of each active bid of each market maker for a selected set of securities and summing the ask volume of each
  • the invention is a method of tracking activity of a plurality of market makers relating to securities traded on at least one common exchange where the market makers place bids and asks.
  • the method includes the steps of receiving a dynamically updated data stream containing level 1 and level 2 data relating to a plurality of securities traded over the at least one exchange, the level 1 data including at least the last trade price of each security and the level 2 data containing a bid price, a bid time, a bid volume, a security identifier, and a market maker identifier for each bid, and an ask price, an ask time, an ask volume, a security identifier and a market maker identifier for each ask; and analyzing the data stream for a selected set of securities from the plurality of securities to derive a statistic indicative of temporary upward or downward price pressure, the statistic derived for each selected security and updated based on the updated data stream, wherein deriving the statistic includes for each selected security and over a specified time period, determining a bid persistence statistic and an ask persistence
  • the invention is a method of tracking activity of a plurality of market makers relating to securities traded on at least one common exchange where the market makers place bids and asks.
  • the method including the steps of receiving a dynamically updated data stream containing level 1 and level 2 data relating to a plurality of securities traded over the at least one exchange, the level 1 data including at least the last trade price of each security and the level 2 data containing a bid price, a bid time, a bid volume, a security identifier, and a market maker identifier for each bid, and an ask price, an ask time, an ask volume, a security identifier and a market maker identifier for each ask; and dynamically filtering the data stream, including for each selected security from a selected set of securities, discarding bids having a price lower than the last trade value minus a selected threshold percentage of the last trade value and discarding asks having a price higher than the last trade value plus the selected threshold percentage of the last trade value.
  • the invention is a method of tracking activity of a plurality of market makers relating to securities traded on at least one common exchange where the market makers place bids and asks.
  • the method including the steps of receiving a dynamically updated data stream containing level 1 and level 2 data relating to a plurality of securities traded over the at least one exchange, the level 1 data including at least the last trade price of each security and the level 2 data containing a bid price, a bid time, a bid volume, a security identifier, and a market maker identifier for each bid, and an ask price, an ask time, an ask volume, a security identifier and a market maker identifier for each ask; analyzing the data stream for a selected set of securities from the plurality of securities to derive a set of statistics from the level 2 data indicative of temporary upward or downward price pressure, the statistic derived for each selected security and updated based on the updated data stream; and dynamically sorting a displayed order of the set of statistics based on a parameter selected by the user
  • the invention is a method of tracking activity of a plurality of market makers relating to securities traded on at least one common exchange where the market makers place bids and asks.
  • the method includes the steps of receiving a dynamically updated data stream containing level 1 and level 2 data relating to a plurality of securities traded over the at least one exchange, the level 1 data including at least the last trade price of each security and the level 2 data containing a bid price, a bid time, a bid volume, a security identifier, and a market maker identifier for each bid, and an ask price, an ask time, an ask volume, a security identifier and a market maker identifier for each ask; and analyzing the data stream for a selected set of securities from the plurality of securities to derive a set of statistics from the level 2 data indicative of temporary upward or downward price pressure, the statistic derived for each selected security and updated based on the updated data stream.
  • the invention is a method of tracking activity of a plurality of market makers relating to securities traded on at least one common exchange where the market makers place bids and asks.
  • the method includes the steps of receiving a dynamically updated data stream containing level 1 and level 2 data relating to a plurality of securities traded over the at least one exchange, the level 1 data including at least the last trade price of each security and the level 2 data containing a bid price, a bid time, a bid volume, a security identifier, and a market maker identifier for each bid, and an ask price, an ask time, an ask volume, a security identifier and a market maker identifier for each ask; and analyzing the data stream for a selected set of securities from the plurality of securities to derive a set of statistics indicative of temporary upward or downward price pressure, the statistic derived for each selected security and updated based on the updated data stream.
  • the method also includes the steps of grouping the bids by price to generate a series of bid groups, each bid price group but one containing bids of the same price for the bid price group, the remaining bid price group containing all bids having a price more than a specified number of price changes away from an inside bid price; summing the volume of bids in each bid price group and summing the number of bids in each bid price group; displaying the total volume for each bid price group and the number of bids in each bid price group; grouping the asks by price to generate a series of ask price groups, each ask price group but one containing asks of the same price for the ask price group, the remaining ask price groups containing all asks having a price more than a specified number of price changes away from an inside ask price; summing the volume of asks in each ask price group and summing the number of asks in each ask price group; and displaying the total volume for each price group and the number of asks in each ask price group.
  • a method of tracking a plurality of symbols (each symbol can stand for a particular stock, option, future, index, etc.) relating to securities traded on at least one common exchange.
  • the method includes receiving a dynamically updated data stream containing level 1 data relating to the plurality of symbols traded over the at least one exchange, the level 1 data including at least the last trade price of each symbol; and analyzing the data stream for a set of symbols to derive a statistic indicative of temporary upward or downward price pressure, the statistic derived for each symbol from the set of symbols and updated based on the updated data stream, wherein deriving the statistic includes counting the number of times each symbol achieves a new intra-session high and counting the number of times each symbol achieves a new intra- session low.
  • a method of tracking a plurality of symbols relating to securities traded on at least one common exchange includes receiving a dynamically updated data stream containing level 1 data relating to the plurality of symbols traded over the at least one exchange, the level 1 data including at least the last trade price of each symbol; and analyzing the data stream for a set of symbols to derive a statistic indicative of temporary upward or downward price pressure, the statistic derived for each symbol from the set of symbols and updated based on the updated data stream, wherein deriving the statistic includes determining a relationship between each trade price and at least one of an intra-session high and an intra-session low, the relationship indicative of how close the last trade value is to at least one of the intra-session high and the intra-session low value.
  • a method of tracking activity of a plurality of market makers relating to securities traded on at least one common exchange where the market makers place bids and asks.
  • the method includes receiving a dynamically updated data stream containing level 1 and level 2 data relating to a plurality of securities traded over the at least one exchange, the level 1 data including at least the last trade price of each security and the level 2 data containing a bid price, a bid time, a bid volume, a security identifier, and a market maker identifier for each bid, and an ask price, an ask volume, an ask time, a security identifier and a market maker identifier for each ask; for a selected security, displaying at least some of the bid prices and associated market maker identifiers on a display in an order according to bid price and displaying at least some of the ask prices and associated market maker identifiers on the display in an order according to ask price; and for a selected market maker, visually emphasizing at least one of a displayed bid price or a displayed
  • a method of tracking activity of a particular market maker relating to securities traded on at least one common exchange where the market maker places bids and asks.
  • the method includes receiving a dynamically updated data stream containing level 1 and level 2 data relating to a plurality of securities traded over the at least one exchange, the level 1 data including at least the last trade price of each security and the level 2 data containing a bid price, a bid time, a bid volume, a security identifier, and a market maker identifier for each bid, and an ask price, an ask time, an ask volume, a security identifier and a market maker identifier for each ask; and identifying each security from a selected set of securities for which the market maker has at least one of an active bid or an active ask; displaying a list of the identified securities along with an indication of the market maker's bid price and ask price; and visually emphasizing any bid price and any ask price for which the market maker has the inside bid and the inside ask respectively.
  • a system for tracking a plurality of symbols relating to securities traded on at least one common exchange includes a receiver for receiving a dynamically updated data stream containing level 1 data relating to the plurality of symbols traded over the at least one exchange, the level 1 data including at least the last trade price of each symbol; and a processor for executing logic to analyze the data stream for a set of symbols to derive a statistic indicative of temporary upward or downward price pressure, the statistic derived for each symbol from the set of symbols and updated based on the updated data stream, wherein deriving the statistic includes counting the number of times each symbol achieves a new intra-session high and counting the number of times each symbol achieves a new intra-session low.
  • a system of tracking a plurality of symbols relating to securities traded on at least one common exchange includes a receiver for receiving a dynamically updated data stream containing level 1 data relating to the plurality of symbols traded over the at least one exchange, the level 1 data including at least the last trade price of each symbol; and a processor for executing logic to analyze the data stream for a set of symbols to derive a statistic indicative of temporary upward or downward price pressure, the statistic derived for each symbol from the set of symbols and updated based on the updated data stream, wherein deriving the statistic includes determining a relationship between each trade price and at least one of an intra- session high and an intra-session low, the relationship indicative of how close the last trade value is to at least one of the intra-session high and the intra-session low value.
  • a system for tracking activity of a plurality of market makers relating to securities traded on at least one common exchange where the market makers place bids and asks includes a receiver for receiving a dynamically updated data stream containing level 1 and level 2 data relating to a plurality of securities traded over the at least one exchange, the level 1 data including at least the last trade price of each security and the level 2 data containing a bid price, a bid time, a bid volume, a security identifier, and a market maker identifier for each bid, and an ask price, an ask volume, an ask time, a security identifier and a market maker identifier for each ask; and a display for displaying, for a selected security, at least some of the prices and associated market maker identifiers on a display in an order according to bid price and displaying at least some of the ask prices and associated market maker identifiers on the display in an order according to ask price, wherein, for a selected market maker, at least one of a
  • a system of tracking activity of a market maker relating to securities traded on at least one common exchange where the market maker places bids and asks.
  • the system includes a receiver for receiving a dynamically updated data stream containing level 1 and level 2 data relating to a plurality of securities traded over the at least one exchange, the level 1 data including at least the last trade price of each security and the level 2 data containing a bid price, a bid time, a bid volume, a security identifier, and a market maker identifier for each bid, and an ask price, an ask time, an ask volume, a security identifier and a market maker identifier for each ask; a processor for executing logic to identify each security from a selected set of securities for which the market maker has at least one of an active bid or an active ask; and a display for displaying a list of the identified securities along with an indication of the market maker's bid price and ask price, wherein any bid price and any ask price for which the market maker has the inside bid and the inside
  • FIG. 1 is a block diagram of a securities and market maker activity tracking system according to the present invention
  • FIG. 2 is a block diagram of a screen shot of displayed information generated by the system of FIG. 1;
  • FIG. 3 is a block diagram of a level 1 and level 2 information display window
  • FIG. 4A is a block diagram of an analysis result window in a watch list mode
  • FIG. 4B is a block diagram of the analysis result window in a market maker's book mode
  • FIG. 4C is a block diagram of the analysis result window in a market stocks mode
  • FIG. 4D is a block diagram of the analysis result window in a market players mode
  • FIG. 4E is a block diagram of the analysis result window in an insider mode
  • FIG. 5A is a block diagram of a chart window
  • FIG. 5B is a block diagram of a zoom chart window
  • FIG. 6 is a block diagram of an alert window
  • FIGs. 7A to 7D illustrate an exemplary architecture for a securities and market maker activity tracking system software tool according to the present invention
  • FIG. 8 is a block diagram of the analysis result window in the market maker's book mode having an inside bid/ask action feature turned on;
  • FIG. 9 is a block diagram of the analysis result window in the count mode and the rank mode sorted by descending high count
  • FIG. 10 is a block diagram of the analysis result window in the count mode and the rank mode sorted by descending rank value
  • FIG. 11 is a block diagram of the securities and market maker activity trading system in a distributed embodiment.
  • the present invention relates to a system and associated methods of tracking securities traded over a common market.
  • the system and associated methods assist a user to track and analyze the activity of market makers involved in the purchase and sale of the traded securities. In doing so, the system and associated methods observes market maker activity for trends, or indicators, potentially leading to short term (i.e., a limited duration of time) upward or downward price movement in at least one security.
  • the system and methods use sets of dynamically updated items of information relating to market maker activity and statistics derived therefrom to present the user with information regarding the activity of marker makers involved in the purchase and sale of the traded securities.
  • the system utilizes level 1 and level 2 information to derive indicators of short term upward or downward price pressure for a plurality of securities selected by a user.
  • the level 2 information is filtered by a set of level 2 filters to derive a corresponding number of level 2 data sets.
  • Indicators of upward or downward price pressure are derived from each of the level 2 data sets for each of a plurality of securities.
  • the filters adapt themselves dynamically to current market conditions and will be described in greater detail below.
  • the information displayed to the user is dynamically sorted so that with each screen refresh, the displayed information is ordered appropriately for the display method selected by the user.
  • the system and corresponding methods have at least seven operational modes, including a watch list mode, a market maker's book mode, a market stocks mode, a market player's mode, an insider mode, a count mode and a rank mode. Each of these modes will be described in great detail below. Briefly, in the watch list mode, the user is presented with bid and ask volume information for a select group of securities and with buy and sell pressure for the selected group of securities.
  • the user In the market maker's book mode, the user is presented with information regarding the securities for which a selected market maker has active bids and asks. In the market stocks mode, the user is presented with information relating to the securities for which there is heavy bid and ask volume on a market maker by market maker basis.
  • the user In the market player's mode, the user is presented with information regarding cumulated activity on a market maker by market maker basis.
  • the insider mode the user is presented with information regarding the market makers who have been positioned at the inside market for the greatest amount of time on a security by security basis.
  • the user In the count mode, the user is presented with information regarding the number of new intra-trading session (sometimes referred to as intra-day) highs and/or new intra-trading session lows on a symbol by symbol basis.
  • intra-day new intra-trading session
  • the user In the rank mode, the user is presented with information regarding the relationship between a last trade price for a symbol and the intra-trading session high and low for the symbol.
  • the system can be programmed with alert thresholds that are tripped by data values contained within the level 1 or level 2 data stream or tripped by calculated statistics. If an alert is tripped, the user will be notified by the system.
  • FIG. 1 a block diagram of a securities and market maker activity tracking system 10, or system 10, according to the present invention is illustrated.
  • security or “securities” is intended to include, but is not limited to, shares of stocks in corporations (or options thereon), corporate or government bonds, commodity futures (or options thereon), currencies, options, indicies, mutual funds, and the all other items traded over a common system or exchange.
  • security can also include indices, such as for example, "the Dow”, “the NASDAQ composite", a sector index or indicator and so forth.
  • the term “symbol” (or “symbols”) includes securities and indices.
  • the system 10 is a computer tool having a graphical user interface to assist a securities trader in analyzing information from security markets for opportune times to purchase or sell a particular security.
  • the invention has application in tracking and analyzing securities of any type, the following discussion relates to the tracking and analysis of information related to the trading of shares of corporate stock on an exchange or exchanges.
  • the system 10 includes a computer system 12, which can include multiple computers that can be located remotely from each other. However, in the illustrated embodiment of FIG. 1 , the computer system 12 includes a single computer.
  • the computer system 12 has one or more processors 14 for executing instructions, usually in the form of computer code, to carry out a specified logic routine.
  • the computer system 12 has a memory 16 for storing data, software, logic routine instructions, computer programs, files, operating system instructions, and the like.
  • the memory 16 can comprise several devices and includes, for example, volatile and non-volatile memory components. Volatile memory components typically do not retain data values upon a loss of power. Non-volatile memory components retain data upon a loss of power.
  • the memory 16 can include, for example, random access memory (RAM), read only memory (ROM), hard disks, floppy disks, compact disks (including, but not limited to, CD-ROM, DVD-ROM, and CD-RW), tapes, and/or other memory components, plus associated drives and players for these memory types.
  • the processor 14 can be multiple processors on one or more machines linked together locally or remotely. The software described herein can be broken-up so that different parts can be executed by different computers located locally or remotely from each other.
  • the processor 14 and the memory 16 are coupled to a local interface 18.
  • the local interface 18 can be, for example, a data bus with an accompanying control bus, or a network between a processor and/or processors and/or memory or memories.
  • the computer system 12 has a video interface 20, a number of input interfaces 22, a modem 24 and/or a data transceiver interface device 25 (the modem 24, the data receiver 25 and any other device for receiving and/or transmitting data are also referred to herein as a receiver, a receiving means and/or a transceiver), a number of output interfaces 26, each being coupled to the local interface 18.
  • the system 10 has a display 28 coupled to the local interface 18 via the video interface 20.
  • the display device can alternatively be, for example, a liquid crystal display (LCD), a plasma display, an electro-luminescent display, indicator lights, or light emitting diodes (LEDs).
  • the system 10 has several input devices including, but not limited to, a keyboard 30, a mouse 32, a microphone 34, a digital camera (not shown) and a scanner (not shown), each being coupled to the local interface 18 via the input interfaces 22.
  • the modem 24 and/or data receiver 25 can be coupled to an external network 38 enabling the computer system 12 to send and receive data signals, voice signals, video signals and the like via the external network 38 as is well known in the art.
  • the external network 38 may be, for example, the Internet, a wide area network (WAN), a local area network (LAN), a direct data link, or other similar network or communications link, including wireless networks.
  • the modem 24 and/or the data receiver 25 can be coupled to receive data from a satellite transceiver 39, co-axial cable, fiber optic cable, etc. It is noted that the system 10 can be accessed and used by a remote user via the external network 38 and modem 24.
  • the system 10 can also include output devices coupled to the local interface 18 via the output interfaces 26, such as audio speakers 40, a printer 42, and the like.
  • the computer system 12 is programmed to display and execute a securities tracking software tool in graphical user interface (GUI) format.
  • GUI graphical user interface
  • the computer system 12 has logic stored in the memory 16 capable of being executed to display and function as the securities tracking software tool.
  • a server receives a level 1 and level 2 data stream and analyzes the data stream to produce statistics as described herein.
  • the server outputs a data set, including the statistics, to a client terminal over a network or communications link.
  • the client can further process the data sent and generate displays of data to a user.
  • the display screen 50 displays information to a user of the securities tracking system 10. This information is intended to assist the user in deciding which securities to purchase or sell and when to make those purchases and sales.
  • the display screen 50 includes a number of regions for displaying various sets of information and includes an action menu window 52, a level 1 and level 2 information display window 54, an analysis result window 56, a chart window 58, and an alert window 60.
  • the exemplary display screen 50 includes drop-down menus 62 as are known in the art for allowing the user to select various features and functions of the securities tracking system 10.
  • the GUI display screen 50 can also include multiple windows that are open simultaneously.
  • the windows 54, 56, 58 and/or 60 can be displayed in their own window boxes.
  • multiple instances of a window can be opened.
  • multiple analysis result windows 56 can be opened to display, on a dynamically updated basis, various groups of data and/or statistics, even if the windows are used to display information relating to the same mode, different modes or combinations of modes (e.g., the watch list mode, the market makers book mode, etc.).
  • Each window is sizable to the user's desire.
  • the action menu window 52 includes function buttons which can be selected by the user by moving a mouse-controlled cursor to the button and pressing a mouse button to select the button displayed on the display screen 50.
  • keyboard 30 actions and/or voice commands can be used to select various functions and control the system 10.
  • the securities tracking system 10 carries out logic to invoke a corresponding action.
  • An exemplary button is a data button 66 for establishing a communications link via the modem 24 or data receiver 25 to a level 1 and level 2 information data service provider or to a centrally located server as described in greater detail below with respect to FIG. 11.
  • the securities tracking system 10 receives various items of information concerning securities traded at selected exchanges.
  • the user may elect to receive information for securities traded at the New York Stock Exchange (NYSE) and the National Association of Securities Dealers (NASDAQ).
  • NASDAQ National Association of Securities Dealers
  • NASDAQ National Association of Securities Dealers
  • This information is updated in real time or near real time (i.e., almost simultaneously with actual market activity) by the data service provider broadcasting signals to the securities tracking system 10.
  • Level 2 information is provided from the data service provider to the securities tracking system 10. It is noted that at the time of filing the present application for Letters Patent, NYSE level 2 information is generally not available. However, the concepts and inventions described herein will have equal application to level 2 type information from any exchange, including the NYSE. Level 2 information includes each market maker with an open bid or ask for any security listed on the exchange being tracked.
  • the level 2 information includes the time that the ask or bid was placed (also referred to respectively as an ask time and a bid time), the size of the ask or bid in number of shares (often reported in lots of one hundred), and the value of the bid or ask, all of which is transmitted to the securities tracking system 10 in real time or near real time.
  • the total amount of transmitted level 2 information will depend on the number of market makers placing bids or asks for any given security at any given time. It has been estimated that between level 1 and level 2 information for NASDAQ, that there are about 400 to about 1 ,000 items of information which are updated each second. It is also estimated that most of the market activity relates to a small number of securities since certain securities are more widely traded than others. For example, it has been estimated that about 90% of the market activity relates to about 10% of the securities on the NYSE and the NASDAQ. To illustrate this, if one were to track the NASDAQ 50 (i.e., the top 50 securities traded on the NASDAQ), the computer processor capacity needed to track the amount of information being transmitted by the data service provider can be expressed in terms of a variable such as X.
  • the action menu window 52 can also include a watch list set up button 68 to link the user to a GUI screen for selecting and grouping stocks of particular interest to the user.
  • a watch list set up button 68 to link the user to a GUI screen for selecting and grouping stocks of particular interest to the user.
  • the user can set up various watch lists containing selected groups of securities, such as high tech companies, pharmaceutical companies, retailers, transportation providers, the NASDAQ 50 or 150, the user's favorite securities, and so forth. Within each watch list, securities are specified by ticker symbol.
  • the action menu window 52 can also include an alert set up button 70 to link the user to a GUI window for setting up various alerts to be triggered by the level 1 and level 2 information and by the results of calculated statistics. Specific alerts will be discussed below in more detail, however, the alerts are used to notify the user of market conditions that could influence the user's decision in purchasing or selling a particular security.
  • the action menu window 52 also includes mode selection buttons 72 so that the user can select what type of information is displayed in the analysis result window 56.
  • the analysis result window 56 can display information in at least seven modes including, a watch list mode (FIG. 4A), a market maker's book mode (FIG. 4B and 8), a market stocks mode (FIG. 4C), a market players mode (FIG. 4D), an insider mode (FIG. 4E), a count mode (FIG 9) and a rank mode (FIG. 10). These modes are indicated by icons on the display selection buttons 72.
  • the watch list mode has a pad of paper indicating a list of items
  • the market maker's book mode has a notebook icon
  • the market stocks mode has a stock certificate icon
  • the market players mode has silhouettes of business people
  • the insider mode has a "B/A" (for "bid/ask”) symbol.
  • the action menu window 52 has a drop-down menu 74 for use in selecting one of the various watch lists when the watch list display mode is selected or selecting one of the market makers when the market maker's book mode is selected.
  • General market statistics, market indices and the like can be displayed in a market statistics window 76 as illustrated or in a market quote window separate from the windows shown as being displayed in FIG. 2.
  • the action menu window 52 also includes a level 2 filter selection drop-down menu 78 for allowing the user to select a filtration level (or threshold) for the displayed information.
  • the level 2 filter is used by the securities tracking system 10 to disregard market maker activity that is more than a selected price percentage away from the last reported trade price of each security.
  • Example filtration thresholds include 1%, 2%, 3%, 4%, and 5%. However, the filter percentage can be defined by the user and need not be an integer (e.g., 2.5%).
  • Filters can also be based on a fixed distance (or distances) away from the last reported trade price, such as, for example, 5/16 of a point, 5/8 of a point, 3 cents, 1 cent, etc.
  • the filter can be turned off so that no data relating to market activity is excluded.
  • the incoming data stream is filtered at each possible filtration percentage (including preprogrammed percentages and user defined percentages) regardless of a filtration level selected by the user for displayed data.
  • Corresponding data sets are derived for each of those filtration percentages. The data sets are stored for display as historical market maker activity or for immediate presentation if the user selects a different filtration level for displayed data.
  • the operation of the filter is dynamic to actively stay current with current market price.
  • filter operation if the last reported trade in a stock took place at $20.00 and the level 2 filter for displayed information was set to 1%, then all market maker bids below $19.80 (twenty cents being 1% of $20.00) and asks above $20.20 will be disregarded when displaying data in the information display window 54, when calculating information to be displayed in the analysis result window 56 and/or when generating and displaying alerts.
  • the securities tracking system 10 will use the reported ask of $20.10 and then dynamically update the statistics displayed on the display screen 50 and determine if the updated statistics trigger any of the alerts set by the user.
  • the filter adjusts itself dynamically based on the last trade value. For example, if, the next reported trade in stock moves to $19.90, all bids below $19.70 would be disregarded and all asks above $20.10 would be disregarded.
  • the system 10 will filter the incoming data stream in the same manner for every other filter level to generate corresponding data sets. As indicated, the data sets are stored for display as historical market maker activity or for immediate presentation if the user selects a different filtration level for displayed data.
  • the selected securities programmed into the watch lists by the user are stored within a database associated with the user. Statistics for each security in the user's database are calculated regardless of whether the particular security is presently displayed on the display screen 50. This allows the securities tracking system 10 to determine if a programmed alert (also referred to herein as an alarm) has been tripped for any of the securities in the user's database. If an alert is tripped, the alert is displayed in the alert window 60, as described in more detail below.
  • the user can define more than one database to track various sets of securities. However, in a typical mode of operation, only one database can be used at a time. As indicated above, each database can contain multiple watch lists to sub-divide the securities contained in a user's database.
  • Level 1 and Level 2 Information Display With additional reference to FIG. 3, an exemplary level 1 and level 2 information display window 54 is illustrated.
  • the window 54 can be part of the GUI display screen 50 or can be a separate window selectively opened by the user. Multiple instances of the window 54 can be opened to simultaneously follow different stocks.
  • the information display window 54 displays level 1 and level 2 information for a selected security.
  • the security for display in the information display window 54 can be selected by the user by using mouse actions to select one of the securities identified in the analysis result window 56 or the alert window 60.
  • Cisco Systems (ticker symbol CSCO) is displayed.
  • the information display window 54 includes a basic level 1 information window 80 displaying selected items of level 1 information for the selected security.
  • the basic level 1 information window 80 contains the last trade value for the security, the change from the previous day's trading close, the value at the commencement of trading for the present trading day, the day's high and low values, the volume of shares exchanged for the trading session so far, the inside bid and the inside ask.
  • the information display window 54 also contains a trade list window 82 showing the time, price and volume of each trade for the displayed security.
  • the information display window 54 also has a pair of market maker lists 84.
  • a first market maker list 84a identifies market makers by a four character market maker identifier who are placing bids on the displayed security under the heading "MMID" (short for "market maker identifier").
  • a second market maker list 84b shows market makers placing asks on the displayed security. Also displayed in the market maker list 84 is the time of the bid or ask, the size of the bid or ask in share lots of 100, and the bid or ask price. Bids having the same price are grouped together and displayed with a colored background or, as illustrated, a patterned background.
  • Bids below a certain threshold are grouped together at the bottom of the list 84a.
  • asks having the same value are grouped together and displayed with a certain color or patterned background.
  • Asks with a price that is four or more price changes away from the lowest ask are grouped together.
  • bar charts 86 are provided to give the user an indication of how many market makers have open (or active) bids or asks at various price levels.
  • the bar charts 86 contain generally equally sized blocks having colors or patterns corresponding to those used in the market maker lists 84. For each price group, the number of shares being bid or offered is identified followed by the number of market makers at that price point. For example, in the illustrated information display window 54, two market makers are bidding $14.56 for a total of 800 shares. This information is displayed as "8/2" (for eight hundred shares among two market makers) in the corresponding bar chart 86.
  • the level 2 filter can be applied to the information displayed in the market maker lists 84 and bar charts 86 and, as a result, bids or asks deemed too far away from the last trade price will be omitted from the market maker lists 84 and bar charts 86.
  • the information displayed in the information window 54 is dynamically updated as data relating to market maker activity is transmitted to the system 10.
  • the illustrated information display window 54 of FIG. 3 only captures an instant of time. The same is true for the data, information and statistics displayed in the analysis result window 56, the alert window 60, the chart window 58 and so forth.
  • the tables 84 are dynamically sorted and reordered row by row to properly display the data (e.g., place the inside bids at the top of table 84a followed by lower bids in descending price order and place the inside asks at the top of table 84b followed by higher bids in ascending price order - even if a different order of asks and/or bids were displayed before the refresh).
  • the table 84a is dynamically sorted by descending bid prices
  • the table 84b is dynamically sorted by ascending ask prices.
  • the securities tracking system 10 can be provided with a tracker feature. It is not unusual that the tables 84a and/or 84b can be used to display the bids and asks of about a hundred market makers for the selected security. Since the window 54 is updated at a relatively fast rate (e.g., continually or periodically as described below in greater detail) to reflect current market conditions, the rows corresponding to each market maker are subject to relatively rapid change in displayed position. It can become difficult and tiresome for a person to watch the activity of a particular market maker for a particular security in such an environment.
  • a relatively fast rate e.g., continually or periodically as described below in greater detail
  • the tracker feature visually highlights one or more rows of tables 84a and/or 84b that are used to display information related to a selected market maker. If the row(s) associated with the selected market maker move upward or downward in the tables 84a and 84b, that row(s) will remain highlighted to assist the user's eye in following the activity of the selected market relative to the activity of the other market makers.
  • the market maker "SMCO" is selected by the user by typing in the SMCO symbol in a tracker selection window 85.
  • a drop down menu or other selection scheme can be employed.
  • the market maker to be tracked can be selected by mouse action, such as by clicking on the market maker identifier as displayed within any of the windows (e.g., window 56, table 84, etc.) discussed herein.
  • the tracker feature highlights the bids and asks of the selected market maker.
  • the rows corresponding to the selected market maker are displayed against a white background to visually stand out from the rest of the rows.
  • the rest of the rows are displayed against colored backgrounds as discussed above and represented in the appended drawing figure as patterned backgrounds. It should be apparent that rows corresponding to the selected market maker need not be displayed in white and that other colors or patterns can be used to effectively contrast the information corresponding to the selected market maker from the information corresponding to the other market makers.
  • the display of the alphanumeric text displayed on the row(s) associated with the selected market maker can be contrasted from the display of information on other rows.
  • FIG. 3 illustrates at least one such error in the second market maker list 84b where an ask price of $1.00 is displayed in association with the market maker JPHQ.
  • this error may be filtered out.
  • the level 2 filter is not turned on or if the error falls within the range of values retained after filtration, then the erroneous data value will be displayed on the information display window 54 and entered into any statistical calculation performed by the securities tracking system 10.
  • a crossed market filter can be used to remove bids that are higher than the level 1 bid and asks that are lower than the level 2 ask. These bids and asks are usually old bids or asks that were not purged. In this manner, the level 1 data is used to verify the accuracy of the level 2 data. In the foregoing example, if the crossed market filter were turned on, the $1.00 ask by JPHQ would be filtered out.
  • the securities tracking system 10 tracks the value of each bid and ask for each market maker for each security. The next time a market maker places a bid for the security, the securities tracking system 10 calculates whether that bid is higher or lower than the market maker's previous bid for that security. If the value is higher, a plus sign is placed in a change column on the first market maker list 84a. If the value is lower, a minus sign is placed in the change column. If there is no change from the previous bid, the change column is left blank in the row associated with the market maker. For example, in the first market maker list 84a the market maker BTRD has entered a bid of $14.56 which is higher in value than BTRD's previous bid for Cisco Systems.
  • a "+" sign is displayed in the change column for BTRD.
  • the securities tracking system 10 calculates whether that ask is higher or lower than the market maker's previous ask for that security. If the value is higher, a plus sign is placed in a change column on the second market maker list 84b. If the value is lower, a minus sign is placed in the change column. If there is no change from the previous ask, the change column is left blank in the row associated with the market maker. For example, the market maker MONT placed an ask of $14.63 which is less than MONT's previous ask for Cisco Systems. Thus, a "-" sign is displayed in the change column for MONT. As will be described in more detail below, these changes are aggregated by the securities tracking system 10 to indicate upward or downward price pressure for the securities contained in the user's database.
  • the information display window 54 can also include an insider aging window 88. Information displayed in the insider aging window 88 is linked to the insider mode and will be described in greater detail below.
  • the analysis result window 56 is used to display statistics which are derived from current market activity. It is noted that the statistics are continually updated and resorted based on the incoming data stream and as described in greater detail herein. The statistics are calculated based on the incoming level 1 and level 2 data received over the communications link established with the level 1 and level 2 data service provider. In one embodiment, the displayed information presented on the display screen 50 is written to the screen according to a user controlled refresh rate. Refreshing the screen periodically, rather than continuously, reduces burdens on the computer system 12, thereby enhancing performance of the securities tracking system 10. Example refresh rates include four times a second, twice a second, once a second, every two seconds, and the like.
  • the statistics for display on the analysis result window 56 are derived from the filtered data set as filtered by the level 2 filter and the crossed market filter.
  • a bad data item filter (or bad tick filter) can be used to remove items of information which were erroneously entered by operators of the stock exchange databases and subsequently transmitted by the data service provider to the securities tracking system 10.
  • the bad data filter can remove items of information which deviate significantly from surrounding price events for the same security. For example, a bid, ask or trade price deviating more than 10% from an average of the last ten similar events can be excluded.
  • the bad data filter includes a filter which removes any items of price information (i.e., a bid quote, an ask quote or a trade price) which deviate from corresponding recent price information by about a multiple of 10 or 100.
  • a data item indicates that a decimal point was erroneously typed in the price information or that a decimal place was omitted. For example, if a particular stock is trading at about $50.00 per share and a bid of $5.00 is received, the filter can remove that data item.
  • Another bad data filter is a filter which removes items of price information which deviate by one integer in a price's dollar, tens or hundreds position. For example, if a security has been trading at about $23.00 a share, a data value of $22.00 a share or $24.00 a share can be disregarded.
  • the analysis result window 56 is illustrated when the securities tracking system 10 is placed in the watch list mode by the user.
  • the analysis result window 56 displays a table 56a identifying each security in the selected watch list.
  • Selective information derived from the level 1 and level 2 information is displayed in association with each ticker symbol contained in the watch list. This information can include relative volume of bids and asks (column 90), an indication of buy or sell pressure (column 92), the number of market makers having open bids or asks (column 94), the actual volume of bids and asks reported in share lots of 100 (column 96), and pressurized volume (column 98). It is noted that all displayed statistics are derived from data after application of the user selected level 2 filter, and/or crossed market filter, refreshed on the display screen 50 at a desired refresh rate and dynamically sorted as discussed below.
  • the system 10 To calculate actual volume displayed in column 96, the system 10 respectively sums the size of each bid and the size of each ask for all of the filtered market makers having open bids or asks within the filter thresholds for each security.
  • the securities tracking system 10 counts the number of market makers having open bids and the number of market makers having open asks within the filter thresholds for display in column 94.
  • Apple Computer i.e., ticker symbol AAPL
  • the relative volume of bids for each security (column 90) is calculated by dividing the actual bid volume by the sum of the actual bid volume and the actual ask volume to arrive at a percentage.
  • the relative volume of asks is derived by dividing the actual ask volume by the sum of the actual bid volume and the actual ask volume.
  • This relative volume calculation can indicate whether there is significant purchase or sell pressure for a given security.
  • Cisco Systems (ticker symbol CSCO) has 88.4% of the aggregate volume of shares for bid and only 11.6% of the aggregate volume of shares for sale.
  • the demand for the security heavily outweighs the availability of the security. Therefore, one may speculate that the value of the security should rise.
  • Woridcom ticker symbol WCOM
  • ticker symbol WCOM has a relative volume of bids of 17% and a relative volume of asks of 83%, indicating that a significantly greater number of traders desire to sell Woridcom rather than purchase Woridcom. Therefore, one may speculate that the value of the security should fall.
  • traders can observe market activity to identify imbalances in market maker activity to identify advantageous moments for the execution of a trade.
  • the information can illustrate to a trader when market activity is relatively balanced for a particular security.
  • Microsoft Corporation ticker symbol MSFT
  • the securities tracking system 10 also displays respective buy and sell pressure values in column 92. More specifically, the securities tracking system 10 counts the number of bidding market makers who have increased their bid price (i.e., the number of plus signs in list 84a). This number is reduced by the number of bidding market makers who have decreased their bid price (i.e., the number of minus signs in list 84a). The result is displayed as buy pressure in column 92. Similarly, the securities tracking system 10 counts the number of offering market makers who have increased their ask price (i.e., the number of plus signs in list 84b). This number is reduced by the number of offering market makers who have decreased their ask price (i.e., the number of minus signs in list 84b). The result is displayed as sell pressure in column 92.
  • the securities tracking system 10 counts the number of bidding market makers who have increased their bid price (i.e., the number of plus signs in list 84a). This number is reduced by the number of bidding market makers who have decreased their bid price (i.e., the number
  • buy and sell pressure can be expressed in ratio format, or as relative pressure percentages.
  • Relative buy pressure is computed by dividing the buy pressure value by the sum of the buy pressure value and the sell pressure value.
  • the relative sell pressure is calculated by dividing the sell pressure value by the sum of the buy pressure value and the sell pressure value.
  • the securities tracking system 10 can also display pressurized volume. More specifically, the securities tracking system 10 sums the bid volume associated with each bid from the bidding market makers who have increased their bid price. This number is reduced by the sum of the bid volume associated with each bid from the bidding market makers who have decreased their bid price. The result is displayed as bid pressurized volume in column 98. Similarly, the securities tracking system 10 totals the ask volume associated with each ask from the offering market makers who have increased their price. This number is reduced by the ask volume associated with each ask from the offering market makers who have decreased their ask price. The result is displayed as ask pressurized volume in column 98.
  • pressurized volume allows the user to determine if a large number of shares being bid and/or offered are moving upward or downward in price.
  • Pressurized volume can also be considered as a weighted indication of buy pressure and/or sell pressure. This weighted indication of buy pressure and/or sell pressure accounts for the volume associated with the bids and asks which have recently changed in price for each associated market maker.
  • the pressurized volume therefore, indicates to the user when a large volume of shares, either by one market maker or a number of market makers collectively, moves in price.
  • a user may not be very interested to know that a few lots of 100 shares offered by a handful of market makers has moved in ask price, but would be interested in knowing if, for example, 50 or more lots of 100 shares being bid or offered moves in price.
  • pressurized volume is illustrated in column 98.
  • additional or alternative methods of indicating pressurized volume are 5 contemplated by the invention.
  • relative pressurized volume can be displayed (i.e., the bid pressurized volume divided by the total pressurized volume and the ask pressurized volume divided by the total pressurized volume and respectively reported as a percentage).
  • pressurized volume can be reported as a percentage of total bid and/or ask volume (i.e., dividing the bid pressurized volume of the illustrated
  • bid pressurized volume can be broken down into volume associated with increasing bids and decreasing bids.
  • ask pressurized volume can be broken down into increasing asks and decreasing asks.
  • the user may visually configure the analysis result window 56 in a number of different ways. For example, some of the columns need not be displayed. In another example, the listed securities can be displayed in an order according to one of the calculated parameters rather than in alphabetical order according to ticker symbol as
  • a trader may be interested in showing the security with the most total bid volume first. This can be accomplished by using keyboard 30 or mouse 32 actions to select the bid heading in the actual volume column 96.
  • the securities can be displayed by total bid and ask volume, ask volume, total number of market makers, number of market makers with open bids, number of market makers with open asks, by
  • the table 56a can show the relative volume column 90, the market maker column 94 and the actual volume column 96 for each security in the watch list and suppress display of the buy and sell pressure column
  • the securities tracking system 10 will also update the displayed information using dynamic sorting. With the exception of the chart window 58 (described below) most of the securities tracking system 10 will also update the displayed information using dynamic sorting. With the exception of the chart window 58 (described below) most of the securities tracking system 10 will also update the displayed information using dynamic sorting. With the exception of the chart window 58 (described below) most of the securities tracking system 10 will also update the displayed information using dynamic sorting. With the exception of the chart window 58 (described below) most of the chart window 58 (described below) most of the chart window 58 (described below)
  • each table can be sorted by selecting the words identified at the top of each column by invoking a keyboard 30, mouse 32, or voice command.
  • the tables are periodically refreshed to show information relating to current market activity.
  • the tables and chart(s) can be refreshed continually as new data is received and statistics are calculated.
  • the tables and chart(s) shown on the display screen 50 can be refreshed at periodic intervals such as every quarter second, every half second, every one second, every two seconds, every four seconds, or the like.
  • the tables are re-ordered row by row to properly display the data in the manner selected by the user.
  • the user has selected to view table 56a by placing the securities tracking system 10 in the watch list display mode and the user has selected to display the information in table 56a by relative bid volume
  • the stocks will be ordered such that the highest relative bid volume stock will appear first, followed by the second highest relative bid volume stock and so forth (even if a different order of stocks were displayed before the refresh).
  • the user can select to turn off this dynamic sorting feature of the present invention so that updated information will be displayed, but in the row by row order in which the rows were before the refresh.
  • the securities tracking system 10 stores historical statistics relating to market activity for each stock in the user's database. More specifically, this information is stored and can be charted in the chart window 58 in various manners discussed below. Briefly, the stored information includes actual bid and ask volume, number of bidding and offering market makers, buy and sell pressure, relative bid and ask volume, and pressurized bid and ask volume (alternatively, certain statistics can be re-calculated as needed from historical records). Historical records are also stored for information described below when the securities tracking system 10 is placed in the market maker's book mode or the market players mode, the market stocks mode and the index mode.
  • This additional information also includes each bid and ask placed by each market maker for each security so that charts indicating the extent to which a particular market maker is supporting a particular security or sector may be generated. For example, over the course of a period of time it may become clear that a particular market maker has been offering a large number of shares at prices close to the last trade value in order to sell off at least a portion of that market maker's ownership in a particular security. To assist the user in discerning this information, the market maker's activity can be charted in the same chart along with other information, including, for example, actual trade values, actual volume, and/or an average of bid or ask volumes for all market makers for the security. Market Maker's Book Mode Referring now to FIG.
  • the analysis result window 56 is illustrated when the user places the system 10 in the market maker's book mode by selecting the book display selection button 72 (FIG. 2).
  • the table illustrated in FIG. 4B will be referred to as table 56b.
  • the securities tracking system 10 While in the market maker's book mode, the securities tracking system 10 will change the content of the drop-down menu 74 to reflect a list of market makers from which the user can select a specific market maker.
  • Table 56b will present information allowing the user to track activity of the selected market maker, or the "market maker's book.”
  • the securities for which the selected market maker has an active bid or ask within the filtration thresholds selected by the user will be displayed by ticker symbol in table 56b.
  • the actual volume being bid or offered by the selected market maker will be displayed in an actual volume column 100.
  • the actual volume column 100 has two sub-columns categorized by bids and asks. These volumes are specific to the selected market maker and are also displayed as relative volumes in a relative volume column 102.
  • the relative volume of bids is calculated by dividing the actual bid volume by the sum of the actual bid volume and the actual ask volume.
  • the relative ask volume is calculated by dividing the actual ask volume by the sum of the actual bid volume and the actual ask volume.
  • a column 104 identifying the market maker's bid and ask prices for each security. It is noted that presently available level 2 information is limited to the best bid and the best offer of each market maker for each security, except for some electronic market makers who make available all of their bids and offers for each stock. Therefore, the information presented in table 56b is correspondingly limited. Should information concerning all bids and all offers of each market maker for each security become widely available, the system 10 can be modified as will be apparent to one skilled in the art to generate statistics relating to all bids and asks in each market maker's book.
  • the information displayed in table 56b can be sorted by any of the displayed columns or sub-columns. In addition, selected columns can be hidden from view or brought into view by the user.
  • the information can be dynamically sorted as described above so that upon each display screen 50 refresh, the rows will be listed in order according to the present market maker activity.
  • market maker bidding and offering activity is stored by the system 10 so that the charts relating to market maker activity for a particular security can be displayed.
  • the user can display level 1 and level 2 information for a selected security in the level 1 and level 2 information display window 54 by selecting the security from the list presented in table 56b.
  • a table 56b' presenting information related to the market maker's book is illustrated with an inside bid/ask action feature turned on.
  • the respective bid and ask columns are given contrasting colors, such as green for the bid columns (represented in the drawing figure as light grey with black text) and red for the ask columns (represented in the drawing figure as dark grey with white text).
  • all of the tables displayed in the result window 56 can be displayed with columns and/or rows of differing background colors and/or patterns, and/or differing text colors and/or fonts.
  • the inside bid/ask feature highlights the bid prices (column 104) for which the market maker is presently the highest bidder for the associated security (i.e., the market maker has the inside bid). Similarly, the inside bid/ask feature also highlights the ask prices (column 104) for which the market maker presently has the lowest ask for the associated security (i.e., the market maker has the inside ask). For example, and as illustrated, the bids and asks that are inside bids and asks for the displayed market maker can be displayed with a white background in the appropriate row and column position.
  • the selected market maker has the highest bid for the securities represented by the following symbols: SEMA, CEFT, FLEX, ORCL, MCLD, SUNW, IMNX, VRTS, TLAB, PSFT and XOXO.
  • the selected market maker also has the lowest ask for the securities represented by the following symbols: SBUX, SHPGY, TMPW, IMNX, ERICY, INTU and TEVA.
  • the selected market maker has both the inside bid and inside ask for the security represented by IMNX.
  • the inside bid/ask feature visually presents the user with an indication of which stocks the selected market maker is making the best bid/ask. Similar to the tracker feature described above with respect to tables 84a and 84b, this highlighting feature assists the user in following the activity of a particular market maker. As a result, the user is provided with multidimensional data that can be quickly assimilated to assist the user in making a more informed decision about placing a trade.
  • the inside bid/ask feature could also be used to highlight inside bid volume and ask volume if price was not displayed (e.g., in connection with the display of table 56c (FIG. 4C) as discussed below with regard to the market stocks mode).
  • each displayed bid price and ask price in column 104 can be shown against a background color corresponding to the bid/ask plateau to which the bid/ask belongs. More specifically, with reference back to tables 84 of FIG. 3, each bid and ask is grouped with other bids and asks having the same price and those groupings are shown against different colored backgrounds. Those same background colors (or other background colors or patterns) can be used when displaying bid price and ask price in table 56b' to visually demonstrate the relationship between the displayed bid prices and ask prices to other bid and ask prices from other market makers.
  • the analysis result window 56 is illustrated when the system 10 is placed in the market stocks mode. Entry into the market stocks mode can be accomplished by the user selecting the appropriate display selection button 72.
  • the table illustrated in FIG. 4C will be referred to as table 56c.
  • the system 10 identifies the market maker with the highest combined bid and ask volume for any security in the user's database as within the filtration level selected by the user. It is noted that the bid and ask volume calculations can include all bid/asks for each market maker and for each security that are in the data system and survive the application of the selected filter.
  • a particular market maker may have multiple bids outstanding for a particular security and the data provider may, for example, include the five highest priced bids in the incoming data stream.
  • the resulting volume calculation for that market maker and security can be based on all five of those bids (subject to the application of the filters as described herein).
  • the system 10 can make volume calculations using only the highest bid and lowest ask for each market maker for each security.
  • the market maker identifiers are displayed in a MMID column 106. Also displayed in column 108 for each security is the actual bid and ask volume generated by the identified market maker listed in column 106. Relative volume is calculated from the values in column 108 and displayed in a relative volume column 100. More specifically, for each security and market maker pair, the market maker's actual bid volume is divided by the sum of the market maker's actual bid volume and actual ask volume to arrive at a relative bid volume and the market maker's actual ask volume is divided by the sum of the market maker's actual bid volume and the actual ask volume to arrive at a relative ask volume.
  • the securities have been arranged by total actual volume. That is, the sum of the bids and asks for each reported market maker are totaled and arranged in descending order. It is noted that this total is not shown in the illustrated example, but can be shown if desired.
  • table 56c can be arranged in various orders by the user selecting one of the various column or subcolumn (e.g., bid or ask) headings. Selecting any of the ticker symbols using a mouse, keyboard or voice command will display the associated level 1 and level 2 information for that security in the level 1 and level 2 information display window 54.
  • ticker symbol SSCC is identified as the fourth and fifth entries in the table.
  • the first entry for SSCC is for the market maker with the fourth highest combined bid and ask volume for any security in the user's database (ARCA with 35,300 shares bid and 100 shares offered for SSCC) and the second entry for SSCC is for the market maker with the fifth highest combined bid and ask volume for any security in the user's database (REDI with 1 ,000 shares bid and 31 ,700 shares offered for SSCC).
  • REDI with 1 ,000 shares bid and 31 ,700 shares offered for SSCC
  • the identified market maker's bid and/or ask price can be listed and the securities tracking system 10 can identify whether this price is the highest bid or the lowest ask.
  • table 56c can include one entry for each security and the market maker identifier for the market maker having the highest bid volume and the market maker having the highest ask volume in two separate columns. Similar to the inside bid/ask feature described above in connection with FIG. 8, the inside bid volume (bid volume associated with an inside price) and inside ask volume (ask volume associated with an inside price) could be highlighted.
  • the information displayed in table 56c assists the user in determining when a particular market maker is attempting to purchase or sell a large amount of shares in a particular security. This information is collected so that charts of historical market maker activity can be generated and displayed.
  • the analysis result window 56 is illustrated when the user places the system 10 in the market player's mode by selecting the market player's selection button 72 (FIG. 2).
  • the table illustrated in FIG 4D will be referred to as table 56d.
  • the system 10 In the market player's mode, the system 10 separately sums the bid volume and the ask volume for all of the securities for which each market maker has an open ask or an open bid within the filtration level selected by the user. These values are respectively reported in column 112 of table 56d.
  • the market makers are listed in order of total volume, that is, the combined bid volume and ask volume associated with each market maker.
  • table 56d can be ordered according to any of the other columns or subcolumns (for example, by bid or ask volume).
  • the actual volumes of column 112 are converted to relative volumes in the manner described above and reported in column 114.
  • the system 10 will also calculate the buy pressure and sell pressure specific to each market maker. More specifically, the system 10 will sum the number of bids for which the market maker has increased their price and reduce that number by the number of bids for which the market maker has reduced their price to derive market maker buy pressure total. Similarly, the system 12 will calculate sell pressure by summing the number of asks for which the market maker has increased their price and reduce that number by the number of asks for which the market maker has reduced their price and display the total as market maker sell pressure. Market maker buy and sell pressure are displayed in column 116. Similarly to table 56a, the information displayed in table 56d can be sorted by any of the displayed columns or subcolumns. In addition, selected columns can be hidden from view or brought into view by the user.
  • the information can be dynamically sorted as described above so that upon each display screen 50 refresh, the market makers will be listed in order according to the present market maker activity.
  • the statistics calculated by the system 10 for table 56d can be stored so that charts related to market maker activity can be displayed. It is noted that the user can display a selected market maker's book (table 56b) by selecting the corresponding market maker identifier from the list presented in table 56d.
  • the analysis result window 56 is illustrated when the user places the system 10 in the insider mode by selecting the corresponding insider button 72 (FIG. 2).
  • the table illustrated in FIG. 4E will be referred to as table 56e.
  • the insider mode is used to display statistics calculated by the system 10 which are indicative of a market maker's persistence at the inside market. More specifically, when a market maker desires to add a position, that market maker needs to be one of the most aggressive bidders.
  • a market maker when a market maker desires to sell a position, the market maker needs to be one of the most aggressive offering market makers for that security.
  • a market maker may desire to conceal activity relating to one or more securities by only placing bids or asks of small volumes persistently at or near the inside market.
  • Goldman Sachs sold off a very large position in World Com (ticker symbol WCOM) stock by offering 1 ,000 or fewer shares at a time at prices that were at or near the lowest ask price.
  • the insider mode is intended to assist in apprising the user of this type of aggressive purchase or sell action by one or more market makers.
  • the system 10 uses a market maker persistence statistic akin to a moving average, or exponential smoothing, to track market maker presence at the inside market.
  • the persistence statistic is expressed as a percentage and is approximately the percentage of the time a particular market maker has had the most aggressive bid or the most aggressive ask for any particular security over a specified period of time.
  • the persistence statistic can be calculated for any period of time.
  • column 118 reports the persistence statistic for a three-minute interval by security (column 122) and by market maker (column 124).
  • Column 120 displays the persistence statistic for a fifteen-minute interval for the same security/market maker pairs.
  • the securities are sorted by most aggressive bidder based on the three-minute interval period.
  • Siebel Systems (ticker symbol SEBL) is associated with the market maker most aggressively bidding for any of the stocks over the last three minutes. More specifically, approximately 37.3% of the time the market maker identified by NFSC had the highest bid for Siebel Systems. Over the same three minutes, NFSC had the lowest ask for approximately 0.2% of the time. Over a fifteen-minute interval NFSC had the highest bid for SEBL approximately 11.9% of the time and the lowest ask approximately 0.2% of the time.
  • An exemplary approach involves breaking the time period (e.g., three minutes, fifteen minutes, an hour, a trading session, or the like) into a plurality of segments. Each segment has a known duration, such as a quarter of a second, a half of a second, one second, two seconds, four seconds, or the like.
  • the rate at which the period is broken into segments is referred to herein as an index rate.
  • the index rate can be the same as the refresh rate for refreshing information displayed on the display screen 50, but need not be the same as the refresh rate.
  • each market maker is given a value of either one or zero for each security in the user's database.
  • a bid value of one is assigned to any market maker for the segment/security if the market maker's level 2 bid is equal to or higher than the level 1 bid for the security (i.e., the inside market bid).
  • an ask value of one is assigned to any market maker for the segment/security if the market maker's level 2 ask is equal to or lower than the level 1 ask for the security (i.e., the inside market ask).
  • a bid value of zero is assigned to each market maker for any segment of time for which the market maker does not have a level 2 bid that is equal to or higher than the level 1 bid.
  • An ask value of zero is assigned to each market maker for any segment of time for which the market maker does not have a level 2 ask that is equal to or lower than the level 1 ask for that stock.
  • more than one market maker can be at the inside market during any given segment, each being assigned an appropriate bid or ask value of one for the segment.
  • the bid and ask values for each market maker and each security are tracked over the period of time and can be converted into a percentage by numerically summing all of the bid values assigned to each market maker on a security by security basis and dividing that number by the number of segments in the period and summing all of the ask values assigned to each market maker on a security by security basis and dividing that number by the number of segments in the period.
  • an exponentially smoothed persistence percentage is calculated by separately summing each bid or ask according to an exponential average where the current sum of all values ( ⁇ VALc) is calculated according to equation 1 as follows:
  • Equation 1 m is the number of segments in the period, CV is the current value assigned to the marker maker and ⁇ VALp is the prior sum of all values calculated according to equation 1 one segment earlier.
  • the ⁇ VALc value is multiplied by 100 to arrive at a percentage, that percentage representing the exponential average of the aggregation of each bid or ask value for the market maker for a selected security over the time period of interest. The equation is solved separately for bid and ask values.
  • the index rate is set to assign a bid and ask value every second. Therefore, over a three minute time period, there are 180 segments (three minutes times sixty segments per minute). If a particular market maker has a level 2 bid at or higher than the highest level 1 bid for a security for 90 of those segments, the ⁇ VALc would approach 0.50. If the current value assigned to the market maker is one, indicating that at the current time segment the market maker has a bid equal to or higher than the highest level 1 bid, the second term of the equation will increase the persistence percentage slightly. In the example, the persistence percentage would be about 50.3%. As one skilled in the art will appreciate, a solution for equation 1 for each market maker, for each stock, for each time period of interest, will be solved for both bids and asks.
  • the solution is an approximation to the percentage of time the market maker spends at the inside market and results in a means of calculating an exponential moving average for the market maker's time spent at the inside market.
  • the resulting persistence statistic can be graphed for the time period or weighted against the volume of the associated bids and asks from the market maker.
  • other formulas can be used to measure the persistence, or percentage of time, that a market maker has a bid equal to the inside bid or an ask equal to the inside ask.
  • certain securities that are not widely traded may have one or more market makers continually placing a bid or an ask for the security until a seller or buyer becomes available. This may take a considerable amount of time (e.g., minutes to days) and skew the results prescribed in table 56e. Therefore, the user can activate a filter to discard certain securities from the insider mode statistics.
  • the filter disregards securities having a trade volume below a certain threshold.
  • the volume threshold can be the trade volume from the previous trading day or an average traded volume for the security.
  • the threshold is user definable and can be established globally or for selected securities.
  • the information displayed in table 56e can be sorted by any of the displayed columns or subcolumns. In addition, selected columns can be hidden from view or brought into view by the user.
  • the information can be dynamically sorted as described above so that upon each display screen 50 refresh, the rows will be listed in order according to the present market maker activity.
  • data associated with table 56e market maker bidding and offering activity is stored by the system 10 so that charts relating to market maker activity for any particular security can be displayed.
  • the user can display level 1 and level 2 information for a selected security in the level 1 and level 2 information display window 54 by selecting the security from the list presented in column 122 of table 56e.
  • the user can display a market maker's book (table 56b) by selecting the market maker identifier in column 124 of table 56e.
  • Count Mode Referring now to FIG. 9, the analysis result window 56 is illustrated when the securities tracking system 10 is placed in the count mode. In the count mode, the analysis result window 56 displays a table 56f identifying each security tracked by the securities tracking system 10 (this may include all securities and indices in all of the user's watch lists or all securities on all exchanges from which data is received - even if the securities and indices are of different type, such as a mix of stocks and futures). Alternatively, the displayed securities can be the securities from a selected watch list. The displayed securities may be limited by one or more filters as discussed below.
  • the information presented in the table 56f can include the price information, such as the last trade value (column 300), a rank indicator (column 302, discussed in greater detail below with respect to the rank mode) and the intra-session high trade value and low trade value (column 304).
  • the price information such as the last trade value (column 300), a rank indicator (column 302, discussed in greater detail below with respect to the rank mode) and the intra-session high trade value and low trade value (column 304).
  • the table 56f can include a high count and a low count (respectively, columns 306a and 306b).
  • the high count represents the number of times during the trading session that the security traded at a new and higher intra-session high price.
  • the low count represents the number of times during the trading session that the security traded at a new and lower intra-session low price.
  • the securities tracking system can be configured to ignore new highs and/or lows established during an initial period of trading for the trading session to allow the price for the security to settle near a trading range.
  • the high count and the low count are based on level 1 trade price data.
  • open balance period
  • trades for each security are made over a range of prices that establish a market value (or "opening balance” price range) for the security.
  • This opening balance price range is bounded by a high price and a low price, and contains all of the other trades in between.
  • an entire session's trades for a security will fall within the opening balance price range.
  • securities may experience a trending day, or a session when the security steadily advances in value or steadily declines in value. During such a session, the security will typically move in the same direction with some regularity and tend to close within five percent of the session's high (or low) trade value.
  • Certain traders would like to be able to identify when a security is having a trending day. Also, certain traders may be especially interested when a security trades outside the security's opening balance price range. These factors could assist the trader in deciding when to buy or sell a particular security.
  • the high count and the low count may serve as an indicator of trending, or that a particular security has a likelihood of advancing during the course of the trading session or declining during the course of the trading session.
  • Securities having a relatively large high count value tend to be securities that have a likelihood of advancing during the course of the trading session.
  • Securities having a relatively large low count value tend to be securities that have a likelihood of declining during the course of the trading session.
  • the count mode is intended to display to the user, on a real time or near real time basis, the number of new intra-session highs and/or new intra-session lows for each displayed security once an opening balance period has elapsed. Since each individual may have a different opinion as to how much time is needed for the market to establish a stable opening balance price range, the opening balance period during which new intra-session highs and new intra-session lows will be disregarded by the securities tracking system 10 can be defined by the user. The time period during which the securities tracking system 10 will disregard new intra-session highs and lows will be referred to herein as a count delay interval.
  • Some common count delay intervals can include, for example, zero minutes (i.e., the high count and low count are calculated from the start of the trading session), fifteen minutes, thirty minutes, forty five minutes and sixty minutes.
  • the securities tracking system 10 will, for each security monitored in the count mode, increment a high counter each time the security trades above the trading session's high for the security.
  • the securities tracking system 10 will, for each security monitored in the count mode and following the delay interval, increment a low counter each time the security trades below the trading session's low for the security. It is noted that the trading session's high and low are updated each time a new high and/or low is reached and each trade is compared against the current high and low to determine if the high counter or the low counter should be incremented.
  • FIG. 9 illustrates a list of securities sorted by the securities having the highest numerical high count.
  • the security represented by the symbol MXIM has established thirty nine new highs for the trading session following the count delay interval. No securities are shown with a low count of greater than zero.
  • sorting the table 56f on a desired column can be accomplished by selecting the column. In the illustrated example, the descriptive heading of the selected column is shown in bold text.
  • the table 56f displaying the high count and the low count can be updated using dynamic sorting. That is, at each screen refresh, the table can be reordered row by row to place the securities in order based on the updated values in the selected column. Also, the columns can be displayed in ascending or descending order.
  • the securities for which the securities tracking system 10 maintains the high count and the low count can optionally be filtered.
  • the securities can be filtered based on volume. Liquidity of a security can be a concern to traders when deciding when to place a trade. Should there not be sufficient trading volume in a security, the trader cannot be assured that the trade (buy or sell) will proceed at or near the desired value.
  • the securities tracking system can allow the user to filter out securities from the table 56f that do not exceed a certain liquidity threshold.
  • the volume filter can be based on the previous trading session's traded volume.
  • the securities tracking system 10 can be configured to track the high count and the low count for securities that had a total trade volume of greater than a certain number of shares (e.g., 500,000 shares) during the previous session (or trading day).
  • the threshold can be established globally for all securities and/or on a security by security basis.
  • alternative volume filters can be employed.
  • the high count and the low count can be maintained for all securities, but only those securities that reach a certain trade volume for the current trading session will be displayed in table 56f.
  • the high count and the low count can be maintained for only those securities that reach a certain trade volume after a predetermined time has elapsed. The predetermined time could be the same as the count delay interval or another time period.
  • Another filter that can be used (with or without the volume filter) is a price filter.
  • Securities with a relatively low price e.g., about $5.00 or less
  • the securities tracking system 10 can be configured to track the high count and the low count for securities having a trade value of over a specified threshold.
  • the specified threshold can be user definable, apply to all securities globally and/or on a security by security basis, and/or can be set against various values (e.g., price at the close of the last session, current trade price, session's high, etc.).
  • Other filters, such as a user definable filter can also be used alone or in conjunction with the foregoing filters, to reduce the securities tracked in the count mode to a desirable set of securities.
  • a user may select a security from the security column of table 56f to display level 1 and level 2 information for the selected security in the level 1 and level 2 information display window 54 or in a separate window.
  • the analysis result window 56 is illustrated when the securities tracking system 10 is placed in the rank mode.
  • the rank mode is used to generate a statistic referred to herein as the rank value (or simply, the "rank").
  • the rank value presents the user with information regarding the relationship between a last trade price for a security and the intra-trading session high and low for the security. It may sometimes be desirable to display the high count and the low count discussed above with respect to the count mode along with the rank value.
  • the table 56f can include each of the rank column 302, the high count column 306a and the low count column 306b, as well as any other columns of information considered valuable by the user.
  • the rank value is calculated for each security displayed in the table 56f. The calculation is made for each trade for each of the displayed securities.
  • the rank value can be calculated for each security tracked by the securities tracking system 10 (this may include all securities in all of the user's watch lists or all securities on all exchanges from which data is received - even if the securities are of different type, such as a mix of stocks, futures and/or indices).
  • the displayed securities can be the securities in a selected watch list.
  • the displayed securities may be limited by one or more filters as discussed below.
  • the rank value is a percentage value that is indicative of how far the last trade for the security is away from the session's high and low for the security.
  • the difference between the session's high and the session's low is referred to herein as the "day's range.” As new trading highs and/or lows are established for a security, the day's
  • Equation 2 can be used to calculate the rank value.
  • the rank value will be updated as new trade information (trade price, new session high and new session low) is received and processed by the securities tracking system 10.
  • the rank values can be calculated on a real time basis and displayed on a real time basis or on a near real time basis depending on the display 28 refresh options selected by the user.
  • the table 56f illustrates the securities ordered by the securities' corresponding rank value in descending order.
  • the table 56f can be updated using dynamic sorting. That is, at each screen refresh, the table can be reordered row by row to place the securities in order based on the updated values in the selected column. Also, the columns can be displayed in ascending or descending order.
  • FIG. 10 illustrates a list of securities sorted by the securities having the highest numerical high rank.
  • ASML has a rank value of one hundred percent, indicating that the last trade was at the session high.
  • MERQ had a last trade of $39.12 which was about 97.4 percent of the day's range.
  • MERQ has posted twenty two new highs for the session (as identified in column 306a). These indicators may assist the user in concluding that the value of the MERQ securities is trending in an upward direction. A rank value at or approaching zero would indicate that the stock is at or near its session low.
  • equation 2 would mathematically result in a zero value. Therefore, by definition, a security trading at a new high would have a rank value of one hundred and a security trading at a new low would have a rank value of zero.
  • the rank can be used to alert the user to when a security reaches a new intra-session high or a new intra-session low as those new highs and/or lows are reached.
  • two tables 56f (or a single, but split table 56f) can be displayed to assist the user in visually following securities that are establishing new highs and securities that are establishing new lows.
  • the securities for which the securities tracking system 10 maintains the rank value can optionally be filtered.
  • the securities can be filtered based on volume and/or price in the manners described above for the count mode.
  • Other filters such as a user definable filter, can also be used alone or in conjunction with the foregoing filters, to reduce the securities tracked in the rank mode to a desirable set of securities.
  • Insider Aging Window Referring back now to FIG. 3, the insider aging window 88 will be described in more detail.
  • the illustrated example of the insider aging window 88 is a three-minute window, however, other time periods or additional time periods can be depicted in the same manner in the insider aging window 88.
  • the insider aging window 88 displays the market makers who have been the most aggressive in placing bids or asks.
  • the market makers are reported by market maker identifier followed by the approximate percentage of the time period (as calculated by the persistence percentage equation) the market maker has been at the inside market over the time period.
  • the insider aging window 88 can be displayed using dynamic sorting to appropriately reorder the lists of market makers displayed in the insider aging window 88 based on current market maker activity.
  • the illustrated chart window 58 shows the values at which a particular security has been traded, the time of those trades and the volume of the trades for a one minute time period. It is noted that when a particular stock is selected from either the analysis result window 56 or the alert window 60, a chart corresponding to that stock will be displayed in the chart window 58. Therefore, the chart displayed in the chart window 58 will usually correspond with the information displayed in the level 1 and level 2 information displayed in the information display window 54. However, at certain times, the chart may not correspond to the information displayed in the information display window 54, such as if the chart window 58 is used to display sector indices or a particular market maker's activity. Also, the chart window 58 can be displayed in its own sizable window, separate from the example GUI display screen 50 layout.
  • the chart window 58 has a first menu 150 in the form of a drop down box for selecting the type of chart to be displayed, such as actual trading activity as shown in the illustrated example in a graphing subwindow 152.
  • the first menu 150 also includes choices to select among graphs of historical information on a securities by securities basis or a market maker by market maker basis.
  • Example graphs include historical collections of data for the values derived for table 56a displayed when the securities tracking system 10 is placed in the watch list display mode. These graphs can include charts of net volume, relative volume, bid and/or ask volume, net or relative buy and/or sell pressure, net or relative pressurized volume, and so forth. As indicated earlier, additional charts can be constructed based on specific market maker activity. These graphs include graphs of historical information calculated when the securities tracking system 10 is placed in any of the market maker book mode, the market stocks mode, the market players mode, and the insider mode.
  • a second menu 154 is provided so that the user can select the duration for which the selected information will be displayed. For example, information can be displayed on a tick- by-tick basis, on a minute-by-minute basis, on a five-minute basis or on a ten-minute basis.
  • information can be displayed on a tick- by-tick basis, on a minute-by-minute basis, on a five-minute basis or on a ten-minute basis.
  • time periods can be charted, such as by hours, days, months, quarters or years.
  • a scroll bar is provided as part of the graphing sub- window 152 to allow the user to view earlier portions of the charts.
  • the securities tracking system 10 includes a zoom feature where the user places the mouse cursor 156 over the desired item to be zoomed in on by initiating a mouse 32, keyboard 30 or voice command. Upon initiating the command, a zoom chart 158 (illustrated in FIG. 5B) is displayed on the display screen 50. The zoom chart 158 displays information at the corresponding time index but with greater resolution.
  • the securities tracking system 10 will display a chart corresponding to the chart displayed in the graphing sub-window 152 but at a duration which is one choice smaller from the duration selection made in the second menu 154 for the graphing sub-window 152.
  • the zoom chart 158 will display information surrounding the selected five-minute interval by one-minute increments. The user can repeat this process by clicking at a point in the zoom chart 158 to then display a second zoom chart 158 in the form of a tick chart for the selected one-minute interval.
  • the chart window illustrated in FIG. 5A shows a one-minute chart and a corresponding zoom chart 158 illustrated in FIG. 5B is a tick chart.
  • an example alert window 60 is displayed.
  • the alert window contains alerts which are triggered by level 1 data, level 2 data or the statistics derived therefrom.
  • the alerts can be programed by the user to be triggered on a global basis, on a per-security basis or on a per-market maker basis.
  • alerts are those which are triggered for any security or market maker upon the presence of a certain condition.
  • the user can specify that an alert is triggered if relative bid volume for any security drops below 10%.
  • An example specific alert is if the relative bid volume (ask volume) for Dell Computers (ticker symbol DELL) goes below 15% (above 85%).
  • Alerts can take a number of forms, such as flashing icons on the display screen 50, audio alerts broadcast via the speaker 40 and the addition of the alert to the alert window 60. It is noted that the securities tracking system 10 produces alerts for all items in the user's database and not just the items displayed at any given time on the display screen 50.
  • the user can select any of the displayed alerts in the alert window 60 by invoking an appropriate keyboard 30, mouse 32 action or voice command.
  • the level 1 and level 2 information display window 54 will show level 1 and level 2 information for the selected security
  • the chart window 58 will show a trade history chart for the selected security.
  • a pop-up menu will appear offering the user choices for taking action with respect to the alert. The menu choices include clearing the alert (i.e., removing the alert from display so that if the alert threshold is crossed again, the alert will be regenerated), resetting the alert (i.e., entering a new alert threshold), and opening an alert programming menu for configuring how the alerts are generated based on calculated statistics.
  • the alert if the user does not select the alert and/or take action based upon one of the menu choices, the alert will clear itself automatically on the occurrence of a programmed event.
  • programmed events can include the expiration of a timer (for example, the alert will be removed from the alert window if it has been displayed for two minutes without otherwise being acted upon by the user) or when the condition generating the alert no longer persists (for example, if relative bid volume for a security falls below 10% and triggers an alert, the alert will be cleared if the relative bid volume goes back above the 10% threshold or some other programmed alert clearing threshold).
  • FIG. 6 illustrates some example alerts that can be defined by the user.
  • alerts can be established based on the calculated statistics or based on level 1 information and/or level 2 information.
  • Alerts are displayed in table format.
  • the illustrated exemplary table contains seven items of information. The order of alerts can be sorted by selecting headings displayed across the top of the table. These headings, as with the headings of the other tables presented in the various windows of the display screen 50, can be in "button" format as illustrated in FIG. 6.
  • ticker symbol column i.e., the category of level 1 , level 2 or calculated statistics which generates the alert
  • field column i.e., the category of level 1 , level 2 or calculated statistics which generates the alert
  • type column i.e., an identification of how the alert was triggered with respect to the category identified in the field column
  • value column for identifying the threshold value for triggering the alert
  • last value column for identifying the value that triggered the alert
  • time column for identifying the time at which the alert was generated.
  • the first two exemplary alerts illustrated in FIG. 6 are triggered using level 1 information. More specifically, the alerts for JNPR and AAPL were generated based on price (i.e., last trade value), and more particularly the daily high or low, for those particular securities. Respectively, the trade values which triggered those alerts were $33.94 and $21.60. These alerts may be configured by the user to be specific to the particular stocks. For example, if JNPR was trading at about $40.00 per share, the user may have been interested in any significant deviation from that amount.
  • Example alerts that can be configured include the price falling below or rising above specified values (e.g., $36.50 and $45.00 respectively) or a certain percentage deviation in price.
  • the next four exemplary alerts illustrate alerts generated based on relative volume. For example, an alert was programmed by the user for Dell Computer (ticker symbol DELL) so that if the relative bid volume dropped below 15% the alert would be triggered.
  • the next three alerts for JNPR, ATHM and MSFT exemplify a globally configured alert to be triggered if any security has a relative volume that falls below 10% or rises above 90%.
  • the next two alerts illustrate triggered alerts based on buy pressure (i.e., upward price pressure) or sell price pressure (i.e., downward price pressure).
  • buy pressure i.e., upward price pressure
  • sell price pressure i.e., downward price pressure
  • the user may have configured an alert to be triggered if any security has a buy pressure of 10 or greater and a sell pressure of 10 or greater.
  • the alert for ROBS the user may have configured an alert to be triggered if the buy pressure for ROBS is -8 or less and the sell pressure for ROBS is -6 or less.
  • alerts can be programmed for any data value and can be based on a specific threshold value or deviation (expressed as a number or as a percentage) from a current or specified value.
  • an alert can be based on multiple parameters. For example, an alert could be configured to detect of a security has a buy/sell pressure of X/Y and a total bid/ask volume of Z shares.
  • each functional block may represent a module, segment, or portion of code that contains one or more executable instructions to implement the specified logic function(s).
  • each functional block may represent a circuit or a number of interconnected circuits to implement the specified logical function(s).
  • the operational logic 200 will commence a data feed by establishing a communications link with the level 1 and level 2 data service provider. As indicated above, the data will be received over the external network 38 or alternative communications device, such as the satellite receiver 39, using the appropriate interface, such as the modem 24 or data transceiver 25.
  • the securities and market maker activity tracking software tool, or program is launched. More specifically, the software tool is read from the memory 16 or other computer readable medium and executed by the processor 14.
  • the operational logic 200 will retrieve program settings.
  • the program settings include items such as level 2 data filtration levels, refresh rates, index rates, index periods, and so forth.
  • the program links the user to the database containing user-defined parameters, such as the watch lists populated with securities of interest to the user, user-defined alerts and security information (e.g., level 1 and level 2 information). Should the user not link the program to a database, the operational logic 100 will terminate in processing block 208. If, however, the user links the software tool to a database in processing block 206, the operational logic 200 will proceed to processing block 210 where the operational logic checks for a security code. If the correct security clearance is made, the operational logic 200 will proceed to processing block 212 where the software tool will load the user's database, including the watch lists and associated securities and the alerts to be triggered based on changing market conditions and market maker activity.
  • user- defined parameters such as the watch lists populated with securities of interest to the user, user-defined alerts and security information (e.g., level 1 and level 2 information).
  • security information e.g., level 1 and level 2 information
  • processing block 210 If a valid security code is not verified in processing block 210 the user will be afforded the opportunity to input valid security clearance in processing block 214. If, in processing block 214, the user does not input valid security clearance information, the software tool will terminate in processing block 208. Otherwise, the operational logic 200 will proceed to processing block 212. It should be understood that access to the software tool can be limited by alternative access control techniques, including passwords, biometric scans, and/or digital signatures.
  • the computer system 12 can carry out portions of the operational logic 200 described herein and transmit data and/or calculated values to a remote workstation or remote workstations for display, further processing and/or completing other portions of the operational logic 200.
  • processing block 216 the software tool will access the data feed that was commenced in processing block 202.
  • the data feed may contain level 1 information, level 2 information, indices information (i.e., the DOW, the NASDAQ composite, the S&P 500, and the like), futures information, options information and currency information.
  • the operational logic 200 Upon accessing the data feed in processing block 216, the operational logic 200 will begin to monitor the data feed in processing block 218.
  • the processing block 218 will examine the items of information received over the data feed and pass each item of information to an appropriate subprocess. In the illustrated embodiment, three subprocesses are present corresponding to an indices subprocess 220 (FIG. 7B), a level 1 data subprocess 224 (FIG. 7C) and a level 2 data subprocess 238 (FIG. 7D).
  • Other subprocesses can be added for the processing and handling of data feed information relating to futures, options and currencies, but will not be described in detail herein.
  • Processing block 218 (FIG. 7A) will pass any information related to an index to the indices subprocess 220.
  • the system 10 does not perform any detailed calculations based on index data. Therefore, in processing block 222, the operational logic 200 will update any display screen 50 information that has changed based on the index information contained within the data stream on or before the next display screen 50 refresh.
  • processing block 218 (FIG. 7A) will pass these items of level 1 information to the level 1 data subprocess 224.
  • the level 1 data subprocess 224 will determine if the item of level 1 information corresponds to any security or alert contained within the user's database or to the information used by the count and/or rank modes. It is noted that subsequent to loading the user's data in processing block 212, the user may have updated or otherwise changed one or more securities in one or more of the user's watch lists and/or changed the alert parameters processed by the system 10.
  • processing block 228, and subsequent processing blocks 232 to 236, when determining if the incoming items of level 1 information correspond to items in the user's database. If any item of level 1 information does not correspond to an item in the user's database or to the information used by the count or rank modes, that item of level 1 information will be discarded in processing block 230. Otherwise, the items of incoming level 1 information will be passed to processing block 232 where the level 1 subprocess 224 will conduct any appropriate processing of the level 1 data items.
  • the display screen 50 windows (such as the information display window 54, the analysis result window 56 and the chart window 58) will be updated based on any new or changed level 1 information for the security presently displayed in those windows.
  • the level 1 data subprocess 224 will determine if any alerts based on level 1 information (e.g., price of a trade) triggers one of the alerts. If an alert is triggered based on level 1 information, that alert will be displayed in the alert window 60 or otherwise broadcast to the user.
  • the processing block 234 can also be programmed to determine if any triggered alerts should be cleared. As indicated above, alerts can be cleared by appropriate user action, on the expiration of a timer associated with each alert, or if the condition generating the alert is no longer present. If there is an alert or alerts to be cleared, the level 1 data subprocess 224 will clear the alert and remove it from display in processing block 234.
  • the operational logic 200 will display a chart in the chart window 58 according to selections made by the user. Those selections include a bar chart of specified duration or a tick chart as is known in the art.
  • the user may elect to zoom in on one aspect of the chart to call up a zoom chart 158 having a duration resolution less than the duration resolution displayed in chart 152 (FIG. 5A).
  • the drop down menu 150 the user can also select other types of charting methods as described in greater detail above to display charts of calculated statistics based on the activity of market makers.
  • processing block 218 (FIG. 7A) will pass these items to the level 2 data subprocess 238.
  • the level 2 data subprocess 238 will determine if each incoming level 2 data value corresponds to an item contained within the user's database, including securities contained within the watch list and alerts. If the incoming level 2 data value does not correspond with an item in the user's database, the level 2 data item will be discarded in processing block 242. Otherwise, the level 2 data item will be passed to processing block 244. It is noted that any changes to the user's database since loading of the information contained within the user's database in processing block 212 (FIG. 7A) will be considered by processing block 240. Those updates will also be considered for each of the processing blocks 244 through 256.
  • the level 2 data subprocess 238 will track each item of level 2 information received since the last display screen 50 refresh for use in subsequent calculations as described herein.
  • the level 2 data subsystem 238 will apply the level 2 filters as described in greater detail above. More specifically, each level 2 filter, as set by default or as set by the user (e.g., 1 %, 1.5%, 2%, etc. of the last trade value for each stock), will be applied to the level 2 data to filter out bids and asks a specified percentage away from the corresponding security's last trade price to derive corresponding data sets containing the bids and asks placed by the market makers for each security that have been passed by the filter (i.e., not discarded as being outside the filtration level thresholds).
  • the level 2 data subsystem 238 will calculate the statistics for the various modes of operation, including the watch list mode, market maker's book mode, the market stocks mode, the market player's mode, and the insider mode, for each data set resulting from the application of each filter in processing block 248.
  • the statistics calculated in processing block 248 will be stored in processing block 250 for subsequent retrieval and display as a chart in window 58, in the analysis result window 56, and/or in the information display window 54. It is noted that the statistics are stored along with the level 1 data.
  • the level 2 data subsystem 238 will determine if any alerts dependent upon level 2 statistics are triggered based on the calculated statistics of processing block 248 and, if any alerts are tripped, processing block 252 will display those alerts in the alert window 60 or otherwise notify the user.
  • the generation of alerts can be limited to alerts triggered based on statistics generated from one of the data sets resulting from the application of a filter in processing block 248.
  • Processing block 252 will also determine if there are any previously triggered alerts to be cleared and if so, clear those alerts. As indicated above, alerts may be cleared by appropriate user action, upon the expiration of a timer associated with each alert, or if the condition generating the alert is no longer present.
  • the level 2 data subprocess dynamically sorts the statistics along with the statistics' associated ticker symbols and market maker identifiers. As described above in greater detail, the dynamic sorting uses the most recently calculated statistics to arrange the displayed items in an order selected by the user. For example, if the user has selected the watch list display mode and to view the displayed information by total volume, the level 2 data subprocess 238 will arrange the securities in the displayed watch list with the security having the highest combined total of bid volume and ask volume displayed first, the security having the next highest combined total bid and ask volume displayed second, and so forth.
  • the level 2 data subprocess 238 will update the display of level 2 data (such as the raw bid and ask data displayed in the information display window 54) and any associated calculated statistics (such as the statistics displayed in the analysis result window 56 and the index aging window 88) at the next display screen 50 refresh. It is noted that the displayed information is displayed according to the user-selected mode of operation and the selected filtration level for displayed information.
  • the logic described herein can be embodied in any computer-readable medium for use by or in connection with an instruction execution system such as a computer/processor- based system or other system that can fetch or obtain the logic from the computer-readable medium and execute the instructions contained therein.
  • a "computer-readable medium” can be any medium that can contain, store or maintain logic and/or data for use by or in connection with the instruction execution system.
  • the computer-readable medium can be any one of many physical media such as, for example, electronic, magnetic, optical, electromagnetic, infrared, or semiconductor media.
  • suitable computer-readable medium would include, but are not limited to, a portable magnetic computer diskette such as a floppy disk, a hard disk, a random access memory (RAM), a read-only memory (ROM), an erasable, programmable read-only memory (EPROM), or a compact disk (e.g., a CD, a CD-RW, or a DVD-ROM).
  • a portable magnetic computer diskette such as a floppy disk, a hard disk, a random access memory (RAM), a read-only memory (ROM), an erasable, programmable read-only memory (EPROM), or a compact disk (e.g., a CD, a CD-RW, or a DVD-ROM).
  • a portable magnetic computer diskette such as a floppy disk, a hard disk, a random access memory (RAM), a read-only memory (ROM), an erasable, programmable read-only memory (EPROM), or a compact disk (e.g., a
  • Example Distributed Architecture As indicated above, portions of the operational logic described herein can be distributed among multiple processors and/or multiple computing systems.
  • the system 10' includes a data source 350, a server 352 and one or more clients 354.
  • the server 352 is responsible for calculating many of the statistics described above. Custom sets of information, including raw data and calculated statistics, can then be transmitted to the clients 354 for additional processing and/or display.
  • the clients 354, which can be general purpose computer devices, will typically be used by traders and those interested in observing securities market and market maker activity.
  • the data source 350 transmits a data stream containing level 1 and level 2 information for all securities and indices from an exchange or exchanges of interest to the server 352.
  • the data stream can be provided by a data vendor(s) and/or by one or more exchanges.
  • the data stream can be transmitted over any network interface, including, for example, a dedicated communication connection, the Internet, satellite communication connection and so forth.
  • the server 352 which can be a general computing device, includes logic (e.g., in the form of software) to carry out the operations of a data object 356, a data server 358 and one or more socket machines 360.
  • the data object 356 receives the incoming data stream of level 1 and level 2 information.
  • the data object 356 can retain a master list of all of the symbols tracked by each client 354 configured to receive information (data and statistics) from the server 352. It is noted that each client 354 may be interested in receiving information for different sets of symbols, but it is expected that there will be extensive overlapping of the symbols of interest from client 354 to client 354 as most traders are interested in symbols having high liquidity associated therewith.
  • the symbols of interest to a particular client 354 can be grouped into a client list (the client list can be constructed from the watch lists associated with each client 354) and the master list can be constructed from each client list.
  • the data object 356 can calculate many of the statistics described herein. Thus, much of the processing involved with the system 10' can be centralized. Thereafter, the data and/or statistics can be transmitted from the data object 356 to each of the data server 358 and the socket machines 360.
  • the data server 358 retains data and/or calculated statistic for historical retrieval if desired by one or more of the clients 354 as described below in greater detail.
  • the retained information can include all data and/or statistics from the present trading session and/or historical data and/or statistics from past trading sessions.
  • the data server 358 can also be responsible for retaining information regarding each client 354 in the form of a subscriber database, which can include, for example, the client list for each client 354, client 354 access privileges and so forth.
  • the socket machines 360 receives data and statistics from the data object 356.
  • the data and statistics are sent from the data object 356 in broadcast fashion to be received by each socket machines 360 that is "listening" to an output port of the data object 356. Therefore, the overall server 352 is scalable by enabling and disabling socket machines 360 on an as needed basis.
  • the clients 354 can be configured to log on to the system 10' by establishing a communication connection (via a networked communication link or a direct communication link) to one of the socket machines 360 of the server 352.
  • Each socket machine 360 can establish communication connections with multiple clients 354.
  • the server 352 can be configured to balance the load of transmitting information (e.g., data and calculated statistics) to the various clients 354 among the various enabled socket machines 354.
  • the socket machines 360 retransmit the data and statistics received from the data object 356 to each client 354 according to each client's 354 client list. In this manner, the client 354 receives data and statistics for only those symbols that are of interest to the client 354.
  • the information is transmitted from the socket machines 360 to each client 354 in broadcast format (e.g., the clients 354 "listen" for data to be sent from the associated socket machine 360 without prompting).
  • each client 354 can reduce the amount of bandwidth consumed by each client/server connection and can reduce the amount of filtering and processing performed by each client 354 in comparison to a configuration where each client 354 receives a complete data stream containing information associated with more symbols than of interest to the client 354.
  • each client can perform various processing functions on the data and statistics as described in greater detail above. These processing functions can include, for example, filtering, dynamically sorting, generating alerts, charting, displaying and so forth.
  • the client 354 can also maintain a database of data and/or statistics for use in generating a display or chart of historical information.
  • the database can include information for the current trading session or multiple days worth of information. Should additional information be desired (information for a time period during which the client 354 was not in communication with the server 352) the client 354 can send a query to the server 352 for the desired information.
  • the socket machines 360 can retain some data for each symbol on the master list (e.g., the current day's trading data and statistics, plus recent historical data and statistics). If the information requested by the client 354 is retained by the socket machine 360, then the socket machine 360 can transmit the information to the requesting client 354. If the requested information is not retained by the socket machine 360, the socket machine 360 can retrieve the desired information from the data server 358 and then transmit the information to the requesting client 354.
  • some data for each symbol on the master list e.g., the current day's trading data and statistics, plus recent historical data and statistics.

Abstract

L'invention concerne un procédé, un système et un programme informatique permettant de surveiller l'activité du marché des titres pour chercher des déséquilibres dans l'activité du marché, lesquels pourraient avoir pour conséquence un changement dans le prix d'un titre particulier. Des données de niveau 1 et/ou de niveau 2 sont analysées pour repérer l'activité des teneurs de marché et pour calculer des indicateurs de pression des prix momentanée vers le haut ou vers le bas. Ces indicateurs associés à chaque titre sélectionné peuvent être affichés pour un utilisateur.
PCT/US2002/023403 2001-07-24 2002-07-23 Systeme et procede de reperage de l'activite du marche des titres et des teneurs de marche WO2003010629A2 (fr)

Priority Applications (5)

Application Number Priority Date Filing Date Title
CA002455017A CA2455017A1 (fr) 2001-07-24 2002-07-23 Systeme et procede de reperage de l'activite du marche des titres et des teneurs de marche
JP2003515939A JP2004537114A (ja) 2001-07-24 2002-07-23 有価証券市場およびマーケットメーカーの動向を追跡するシステムおよび方法
EP02744879A EP1446740A4 (fr) 2001-07-24 2002-07-23 Systeme et procede de reperage de l'activite du marche des titres et des teneurs de marche
IL16000502A IL160005A0 (en) 2001-07-24 2002-07-23 Securities market and market maker activity tracking system and method
US10/480,089 US20050075965A1 (en) 2001-07-24 2002-07-23 Securities market and market maker activity tracking system and method

Applications Claiming Priority (4)

Application Number Priority Date Filing Date Title
US09/911,772 2001-07-24
US09/911,772 US7664695B2 (en) 2001-07-24 2001-07-24 Securities market and market maker activity tracking system and method
US10/167,950 US7680721B2 (en) 2001-07-24 2002-06-12 Securities market and market marker activity tracking system and method
US10/167,950 2002-06-12

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WO2003010629A2 true WO2003010629A2 (fr) 2003-02-06
WO2003010629A3 WO2003010629A3 (fr) 2003-08-14

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CA (1) CA2455017A1 (fr)
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GB2411977A (en) * 2004-02-03 2005-09-14 Patsystems Electronic trading system displaying market sentiment
US8069108B2 (en) 2005-07-26 2011-11-29 Cfph, Llc System and method for displaying and/or analyzing a limit order book
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Also Published As

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EP1446740A4 (fr) 2005-04-06
JP2004537114A (ja) 2004-12-09
IL160005A0 (en) 2004-06-20
EP1446740A2 (fr) 2004-08-18
WO2003010629A3 (fr) 2003-08-14
CA2455017A1 (fr) 2003-02-06

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