System and method for securities liquidity flow tracking, display and trading
First Claim
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1. A method for performing liquidity flow analysis for a security comprising:
- receiving trading data associated with the security, wherein the trading data comprises trading data for a plurality of buyers and sellers;
defining display parameters for the trading data;
displaying elements of the trading data in accordance with the defined display parameters;
defining analysis parameters for the trading data;
aggregating the trading data for the plurality of buyers and sellers for the security; and
analyzing the trading data according to the analysis parameters to determine whether the security exhibits a liquidity flow imbalance.
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Abstract
A method, system and computer program that receives, processes, and displays level one, level two, and time and sales securities data. Through a variety of charts, the data is analyzed to identify liquidity trade imbalances and trends in trading liquidity. A logic based trading algorithm utilizes the current market maker activity information and the historical liquidity tiers to execute trades automatically.
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Citations
43 Claims
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1. A method for performing liquidity flow analysis for a security comprising:
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receiving trading data associated with the security, wherein the trading data comprises trading data for a plurality of buyers and sellers;
defining display parameters for the trading data;
displaying elements of the trading data in accordance with the defined display parameters;
defining analysis parameters for the trading data;
aggregating the trading data for the plurality of buyers and sellers for the security; and
analyzing the trading data according to the analysis parameters to determine whether the security exhibits a liquidity flow imbalance. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17, 18, 19, 20, 21, 22, 23, 24, 25, 26, 27, 28, 29, 30, 31, 32, 33, 34, 35)
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36. A method for performing liquidity flow analysis for a security comprising:
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receiving trading data associated with the security, wherein the trading data comprises over a predetermined time interval, bid prices and an associated bid volume and ask prices and an associated ask price volume;
assigning each bid price to an appropriate bid price tier from among a plurality of bid price tiers;
assigning each ask price to an appropriate ask price tier from among a plurality of ask price tiers;
displaying a plurality of first elements each representing one of the plurality of bid price tiers and a bid price volume associated therewith;
displaying a plurality of second elements each representing one of the plurality of ask price tiers and an ask price volume associated therewith;
analyzing the bid price volume for each one of the plurality of bid price tiers and the ask price volume for each one of the plurality of ask price tiers to determine whether the security exhibits a liquidity trade imbalance. - View Dependent Claims (37, 38, 39, 40, 41, 42)
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43. A computer program product for performing liquidity flow analysis for a security, the computer program comprising:
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a computer usable medium having computer readable program code modules embodied in the medium for performing the liquidity flow analysis;
a computer readable first program code module for receiving trading data associated with the security wherein the trading data comprises over a predetermined time interval, bid prices and an associated bid volume and ask prices and an associated ask price volume;
a computer readable second program code module for assigning each bid price to an appropriate bid price tier from among a plurality of bid price tiers;
a computer readable third program code module for assigning each ask price to an appropriate ask price tier from among a plurality of ask price tiers;
a computer readable fourth program code module for displaying a plurality of first elements each representing one of the plurality of bid price tiers and a bid price volume associated therewith;
a compute readable fifth program code module for displaying a plurality of second elements each representing one of the plurality of ask price tiers and an ask price volume associated therewith; and
a computer readable sixth program code module for analyzing the bid price volume for each one of the plurality of bid price tiers and the ask price volume for each one of the plurality of ask price tiers to determine whether the security exhibits a liquidity trade imbalance.
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Specification