System and method for displaying and/or analyzing a limit order book

• US 20070027788A1
• Filed: 07/26/2005
• Published: 02/01/2007
• Est. Priority Date: 07/26/2005
• Status: Active Grant

• Current Assignee: CFPH LLC (Cantor Fitzgerald, L.P.)
• Original Assignee: CFPH LLC (Cantor Fitzgerald, L.P.)
• Inventors: Ondyak, Nathan, Bandman, Jeffrey, Sorenson, Eugene, Weinstein, Bernie
• Granted Patent: US 7,933,828 B2
• Time in Patent Office: Days
• US Class Current: 705/36.R
• CPC Class Codes: G06Q 30/08 Auctions
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis

Abstract

According to one embodiment, a method of generating a display of a limit order book is provided. Data regarding a plurality of limit orders entered onto an electronic market is received and recorded, at least temporarily. The data regarding each limit order includes a price and a time associated with that limit order. Based on the received data, a graphical display is generated that indicates, for each recorded limit order entered into the electronic market within a period of time, the price and the time associated with that limit order. The price associated with each limit order is indicated by a first axis of the graphical display and the time associated with each limit order is indicated by a second axis of the graphical display. The graphical display may be displayed using an electronic display device.

Claims

1. A method of generating a display of a limit order book, comprising:

receiving data regarding a plurality of limit orders entered onto an electronic market, the data regarding each limit order including a price and a time associated with that limit order;

recording, at least temporarily, the received data for each of the plurality of limit orders;

based on the received data for each of the plurality of limit orders, generating a graphical display indicating, for each recorded limit order entered into the electronic market within a period of time, the price and the time associated with that limit order, wherein the price associated with each limit order is indicated by a first axis of the graphical display and the time associated with each limit order is indicated by a second axis of the graphical display; and

displaying the graphical display using an electronic display device.

2. The method of claim 1, wherein the data regarding the plurality of limit orders is received substantially in real-time.

3. The method of claim 1, wherein the plurality of limit orders include a plurality of bids and a plurality of offers.

4. The method of claim 3, wherein the graphical display indicates each bid using a first type of identifier and each offer using a second type of identifier visually distinct from the first type of identifier.

5. The method of claim 3, wherein the plurality of limit orders further include a plurality of buy orders and a plurality of sell orders, each buy order comprising a bid that aggresses on an existing offer to initiate a trade and each sell order comprising an offer that aggresses on an existing bid to initiate a trade.

6. The method of claim 5, wherein the graphical display indicates each bid using a first type of identifier, each offer using a second type of identifier, each buy order using a third type of identifier, and each sell order using a fourth type of identifier, wherein each of the first, second, third and fourth types of identifiers are visually distinct from each other.

7. The method of claim 5, wherein the graphical display further indicates each take and each hit occurring during the particular period of time.

8. The method of claim 1, wherein:

each limit order has an associated size;

each limit order is represented in the graphical display with an icon; and

for each of at least a portion of the limit orders, the size of that limit order is indicated by at least one of the size, shape, color or transparency, opaqueness, or three-dimensional magnitude of the icon corresponding to that limit order.

9. The method of claim 1, wherein:

each limit order has an associated trading entity being one of a plurality of types of trading entities;

each limit order is represented in the graphical display with an icon; and

for each of at least a portion of the limit orders, the type of the trading entity associated with that limit order is indicated by at least one of the size, shape, color or transparency, or opaqueness of the icon corresponding to that limit order, such that trading orders associated with different types of trading entities may be distinguished in the graphical display.

10. The method of claim 1, wherein:

each limit order is represented in the graphical display with an icon; and

for each of at least a portion of the limit orders, the difference between the price associated with that limit order and a market price is indicated by at least one of the size, shape, color or transparency, or opaqueness of the icon corresponding to that limit order.

11. The method of claim 10, wherein:

the market price for a bid order is the price of the best bid currently on the electronic market; and

the market price for a sell order is the price of the best offer currently on the electronic market.

12. The method of claim 10, wherein the market price is the price of a recent trade between limit orders on the electronic market.

13. The method of claim 1, wherein:

a subset of limit orders having the same associated price and size are represented in the graphical display with an icon; and

the total size of the subset of limit orders is indicated by at least one of the size, shape, color, transparency, opaqueness, or three-dimensional magnitude of the icon representing the subset of limit orders.

14. The method of claim 1, wherein:

a subset of limit orders having the same associated price and size are represented in the graphical display with an icon; and

the number of limit orders in the subset of limit orders is indicated by at least one of the size, shape, color, transparency, opaqueness, or three-dimensional magnitude of the icon representing the subset of limit orders.

15. The method of claim 1, further comprising:

a particular limit order is represented in the graphical display with an icon;

receiving data indicating that the particular limit order has been removed from the electronic market; and

in response to receiving data indicating that the particular limit order has been removed from the electronic market, removing the icon representing the particular limit order from the graphical display.

16. The method of claim 1, wherein:

two or more limit orders may enter a trading state for a period of time; and

the duration of the trading state is indicated along the direction of the second axis of the graphical display.

17. The method of claim 1, further comprising:

periodically calculating one or more market indicators regarding the state of the electronic market, each periodic calculation including;

identifying a subset of limit orders for that periodic calculation;

determining a market distance for each of the subset of limit orders, the market distance for each limit order comprising the difference between the price of that limit order and a market price;

weighting each of the subset of limit orders based at least on the determined market distance for that limit order; and

calculating the one or more market indicators based at least on the weighting of each of the subset of limit orders; and

displaying the one or more periodically calculated market indicators using the electronic display device.

18. The method of claim 17, wherein each periodic calculation of the one or more market indicators comprises:

identifying a subset of limit orders for that periodic calculation including one or more bids and one or more offers, each bid and each offer having an associated size;

for each of the one or more bids, multiplying the weighting for that bid with the size of that bid to determine a weighted bid score for that bid;

summing the weighted bid scores for the one or more bids to determine a total bid score;

for each of the one or more offers, multiplying the weighting for that offer with the size of that offer to determine a weighted offer score for that offer;

summing the weighted offer scores for the one or more offers to determine a total offer score; and

calculating the difference between the total bid score and the total offer score to determine a net market score.

19. The method of claim 18, wherein displaying the one or more periodically calculated market indicators in a graphical user interface comprises displaying the net market score in the graphical user interface.

20. A method of analyzing an electronic limit order book, comprising:

receiving data regarding a plurality of limit orders entered onto an electronic market, the data regarding each limit order including a price and a time associated with that limit order;

recording, at least temporarily, the received data for each of the plurality of limit orders;

periodically calculating one or more market indicators regarding the state of the electronic market, each periodic calculation including;

identifying a subset of limit orders for that periodic calculation;

determining a market distance for each of the subset of limit orders, the market distance for each limit order comprising the difference between the price of that limit order and a market price;

weighting each of the subset of limit orders based at least on the determined market distance for that limit order; and

calculating the one or more market indicators based at least on the weighting of each of the subset of limit orders; and

displaying the one or more periodically calculated market indicators in a graphical user interface.

21. The method of claim 20, further comprising:

based on the received data for each of the plurality of limit orders, generating a graphical display indicating, for each recorded limit order entered into the electronic market within a period of time, the price and the time associated with that limit order, wherein the price associated with each limit order is indicated by a first axis of the graphical display and the time associated with each limit order is indicated by a second axis of the graphical display; and

displaying the graphical display in the graphical user interface.

22. The method of claim 20, wherein identifying a subset of limit orders for each periodic calculation comprises identifying the limit orders currently on the electronic market at the time of that periodic calculation, wherein the subset of limit orders currently on the electronic market changes between at least a portion of the periodic calculations.

23. The method of claim 20, wherein identifying a subset of limit orders for each periodic calculation comprises including in the subset only limit orders having a price within a particular market distance.

24. The method of claim 20, wherein:

identifying a subset of limit orders for each periodic calculation comprises including in the subset only limit orders having a price within a particular market distance; and

the method further comprises allowing a user to select the particular market distance.

25. The method of claim 20, wherein periodically calculating one or more market indicators comprises periodically updating the one or more market indicators based on changes in the subset of limit orders currently on the electronic market.

26. The method of claim 20, wherein:

each limit order has an associated size; and

calculating the one or more market indicators comprises multiplying the weighting for each of the subset of limit orders with the size of that limit order.

27. The method of claim 20, wherein:

each limit order has an associated size; and

the method comprises determining the number of limit orders at each of a plurality of prices; and

calculating the one or more market indicators comprises, for each of the plurality of prices, multiplying the number of limit orders at that price with the weighting for any of the limit orders at that price.

28. The method of claim 20, wherein:

each limit order has an associated size and an associated trading entity; and

the method comprises determining the number of different trading entities associated with one or more limit orders at each of a plurality of prices; and

calculating the one or more market indicators comprises, for each of the plurality of prices, multiplying the number of different trading entities associated with one or more limit orders at that price with the weighting for any of the limit orders at that price.

29. The method of claim 20, wherein each periodic calculation of the one or more market indicators comprises:

identifying a subset of limit orders for that periodic calculation including one or more bids and one or more offers, each bid and each offer having an associated size;

for each of the one or more bids, multiplying the weighting for that bid with the size of that bid to determine a weighted bid score for that bid;

summing the weighted bid scores for the one or more bids to determine a total bid score;

for each of the one or more offers, multiplying the weighting for that offer with the size of that offer to determine a weighted offer score for that offer;

summing the weighted offer scores for the one or more offers to determine a total offer score; and

calculating the difference between the total bid score and the total offer score to determine a net market score.

30. The method of claim 29, wherein displaying the one or more periodically calculated market indicators in a graphical user interface comprises displaying the net market score in the graphical user interface.

31. The method of claim 29, further comprising:

calculating a net market score moving average by calculating a moving average of a predetermined number of periodically calculated net market scores for the electronic market; and

displaying the net market score moving average in a graphical user interface.

32. The method of claim 29, wherein displaying the one or more periodically calculated market indicators in a graphical user interface comprises displaying at least one of the total bid score and the total offer score in the graphical user interface.

33. The method of claim 29, further comprising:

calculating a total bid score moving average by calculating a moving average of a predetermined number of periodically calculated total bid scores;

calculating a total offer score moving average by calculating a moving average of a predetermined number of periodically calculated total offer scores; and

displaying at least one of the total bid score moving average and the total offer score moving average in the graphical user interface.

34. The method of claim 20, wherein periodically updating the one or more market indicators comprises periodically updating the one or more market indicators substantially in real time.

35. The method of claim 20, wherein weighting each of the subset of limit orders based at least on the determined market distance for that limit order comprises using a weighting system in which market distance and weight are related exponentially.

36. The method of claim 20, wherein weighting each of the subset of limit orders based at least on the determined market distance for that limit order comprises using a weighting system in which market distance and weight are inversely related.

37. The method of claim 20, wherein:

the weighting of limit orders is based on a plurality of weights; and

the method further comprises allowing a user to select one or more of the plurality of weights.

38. The method of claim 20, wherein:

the plurality of limit orders includes one or more bids and one or more offers;

the market price for a bid order is the price of the best bid currently on the electronic market; and

the market price for a sell order is the price of the best offer currently on the electronic market.

39. The method of claim 20, wherein the market price is based on one or more recent trades between limit orders on the electronic market.

40. The method of claim 20, wherein the market price changes substantially in real time.

41. The method of claim 20, wherein:

each limit orders has an associated displayed size; and

the method further comprises;

determining a hidden size for one or more particular limit orders;

determining a relationship between the displayed size and the hidden size for the one or more particular limit orders; and

for the purposes of the periodic calculations of the one or more market indicators, adjusting the displayed size of at least a portion of the limit orders on the electronic market based on the determined relationship between the displayed size and the hidden size for the one or more particular limit orders.