System and Method for Calculating and Displaying Volume to Identify Buying and Selling in an Electronic Trading Environment

• US 20100010929A1
• Filed: 06/23/2009
• Published: 01/14/2010
• Est. Priority Date: 06/28/2005
• Status: Active Grant

• Current Assignee: Trading Technologies International, Inc.
• Original Assignee: Trading Technologies International, Inc.
• Inventors: West, Robert A., Tanpoco, Alvin F.
• Granted Patent: US 7,797,228 B2
• Time in Patent Office: Days
• US Class Current: 705/37
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Abstract

A system and method are provided for calculating and displaying volume to identify aggressive buying or selling activity. In a preferred embodiment, market information such as the inside market, last traded price, and last traded quantity is received from the electronic exchange and is used to assist a trader in determining the initiative side of a trade, either bid side or ask side. Once a determination is made, the result may be used to assist a trader analyzing the market volume. Other features and advantages are described herein.

Claims

1. A method for calculating a value associated with buying and selling a sector index comprising a plurality of tradeable objects being traded on an electronic exchange, the method comprising:

receiving at a computer device market information corresponding to each of the plurality of tradeable objects corresponding to the sector index, the market information comprising a last traded price, a last traded quantity for each tradeable object, and an inside market with a highest bid price and a lowest ask price currently available for each tradeable object;

comparing at the computer device the last traded price to the inside market for each tradeable object to determine if a last trade for each tradeable object occurred on a bid side or on an ask side based on received market information;

determining at the computer device a current running total volume for each tradeable object by adding or subtracting the last traded quantity to or from a preceding running total volume, based on the determination of whether the last trade occurred on the bid side or on the ask side; and

determining at the computer device a current running total volume for the sector index using the current running total volume for each tradeable object and a weight value assigned to each of the plurality of tradeable objects within the sector index.

2. The method of claim 1, wherein the preceding running total volume comprises a user-configured value.

3. The method of claim 1, wherein determining the current running total volume for each tradeable object comprises:

determining that the last traded price is equal to the lowest ask price; and

adding the last traded quantity to the preceding running total volume to determine the current running total volume.

4. The method of claim 1, wherein determining the current running total volume for each tradeable object comprises:

determining that the last traded price is equal to the highest bid price;

subtracting the last traded quantity from the preceding running total volume to determine the current running total volume.

5. The method of claim 1, wherein determining the current running total volume for each tradeable object comprises:

determining that the last traded price is higher than the lowest ask price; and

adding the last traded quantity to the preceding running total volume to determine the current running total volume.

6. The method of claim 1, wherein determining the current running total volume for each tradeable object comprises:

determining that the last traded price is higher than the lowest ask price; and

not adding the last traded quantity to the preceding running total volume to determine the current running total volume.

7. The method of claim 1, wherein determining the current running total volume for each tradeable object comprises:

determining that the last traded price is lower than the highest bid price; and

subtracting the last traded quantity from the preceding running total volume to determine the current running total volume.

8. The method of claim 1, wherein determining the current running total volume for each tradeable object comprises:

determining that the last traded price is lower than the highest bid price; and

not subtracting the last traded quantity from the preceding running total volume to determine the current running total volume.

9. The method of claim 1, further comprising:

displaying a value axis comprising a plurality of values in a chart region;

displaying a time axis comprising a plurality of times in the chart region; and

displaying an indicator representing the current running total volume for the sector index, wherein the indicator is being displayed in relation to the value axis and the time axis in the chart region.

10. The method of claim 1, further comprising:

calculating the weight value for each of the plurality of tradeable objects.

11. The method of claim 10, wherein the weight value is calculated using a point value and the market information for each of the plurality of tradeable objects.

12. The method of claim 11, wherein the weight value is calculated using the point value and the last traded price for each of the plurality of tradeable objects.

13. A computer readable medium having program code for causing a microprocessor to execute a method for calculating a value associated with buying and selling a sector index comprising a plurality of tradeable objects being traded on an electronic exchange, comprising:

a first program code for receiving market information corresponding to each of the plurality of tradeable objects corresponding to the sector index, the market information comprising a last traded price, a last traded quantity for each tradeable object, and an inside market with a highest bid price and a lowest ask price currently available for each tradeable object;

a second program code for;

comparing the last traded price to the inside market for each tradeable object to determine if a last trade for each tradeable object occurred on a bid side or on an ask side based on received market information;

determining a current running total volume for each tradeable object by adding or subtracting the last traded quantity to or from a preceding running total volume, based on the determination of whether the last trade occurred on the bid side or on the ask side; and

determining a current running total volume for the sector index using the current running total volume for each tradeable object and a weight value assigned to each of the plurality of tradeable objects within the sector index.

14. The computer readable medium of claim 13, wherein the preceding running total volume comprises a user-configured value.

15. The computer readable medium of claim 13, wherein determining the current running total volume for each tradeable object comprises:

determining that the last traded price is equal to the lowest ask price; and

adding the last traded quantity to the preceding running total volume to determine the current running total volume.

16. The computer readable medium of claim 13, wherein determining the current running total volume for each tradeable object comprises:

determining that the last traded price is equal to the highest bid price;

subtracting the last traded quantity from the preceding running total volume to determine the current running total volume.

17. The computer readable medium of claim 13, wherein determining the current running total volume for each tradeable object comprises:

determining that the last traded price is higher than the lowest ask price; and

adding the last traded quantity to the preceding running total volume to determine the current running total volume.

18. The computer readable medium of claim 13, wherein determining the current running total volume for each tradeable object comprises:

determining that the last traded price is higher than the lowest ask price; and

not adding the last traded quantity to the preceding running total volume to determine the current running total volume.

19. The computer readable medium of claim 13, wherein determining the current running total volume for each tradeable object comprises:

determining that the last traded price is lower than the highest bid price; and

subtracting the last traded quantity from the preceding running total volume to determine the current running total volume.

20. The computer readable medium of claim 13, wherein determining the current running total volume for each tradeable object comprises:

determining that the last traded price is lower than the highest bid price; and

not subtracting the last traded quantity from the preceding running total volume to determine the current running total volume.

21. The computer readable medium of claim 13, wherein the second program code is further for:

calculating the weight value for each of the plurality of tradeable objects using a point value and the market information for each of the plurality of tradeable objects.