System and method of visual representation of stock exchange transactions

• US 20110178950A1
• Filed: 01/21/2010
• Published: 07/21/2011
• Est. Priority Date: 01/21/2010
• Status: Active Grant

• Current Assignee: Visual Trader Systems SL
• Original Assignee: Visual Trader Systems SL
• Inventors: Parga Landa, José Antonio
• Granted Patent: US 8,694,405 B2
• Time in Patent Office: Days
• US Class Current: 705/36.R
• 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

System and method of visual representation of stock exchange transactions which provide additional information for traders when it comes to taking buy/sell decisions for stocks, being oriented towards electronic stock exchange transactions. Specifically, the present invention is aimed at tools for trading of products that can be traded in terms of quantities and/or prices. The method is based on labeling each transaction with a label selected from between initiated buy transaction, when the execution price is equal to or greater than the sell limit price registered in the first sell level of the order book, and initiated sell transaction, when the execution price is equal to or lower than the buy limit price registered in the first buy level of the order book.

Claims

1. Method of visual representation of stock exchange transactions for at least one registered stock in terms of price levels in a price limit order book, where each transaction is defined by a transaction information associated with said transaction, which comprises at least:

a date and time;

a negotiation market;

a negotiated stock;

an execution volume;

a sell limit price registered in the first sell level of the order book;

a buy limit price registered in the first buy level of the order book;

an execution price;

wherein the method comprises for each stock exchange transaction;

receiving in real time at least one transaction and its associated transaction information;

labeling the at least one transaction with a label selected from between initiated buy transaction, when the execution price is equal to or greater than the sell limit price registered in the first sell level of the order book, and initiated sell transaction, when the execution price is equal to or lower than the buy limit price registered in the first buy level of the order book;

determining the value in real time of a binary variable known as “

side”

which takes the value “

1”

when the transaction information is an initiated buy transaction and takes the value “

2”

when the transaction information is an initiated sell transaction;

depicting in real time, on a user graphic interface, the transaction information selected between the initiated sell transaction information, the initiated buy transaction information and a combination of both by means of at least two colors determined by the “

side”

binary variable.

2. The method of claim 1, wherein it further comprises:

adding a color for depicting in real time, on the user graphic interface, the evolution in time of the buy limit price in the first buy level and of the sell limit price in the first sell level;

calculating for each minimum representation time period “

t”

, a buy volume executed against the sell orders of the book (ASK), VA_t, whose value corresponds to the sum of the executed volumes of initiated buy transactions whose date and time lie within the minimum representation time period “

t”

, and an executed sell volume against buy orders of the book (BID), VB_t, whose value corresponds to the sum of the executed volumes of initiated sell transactions whose date and time lie within the minimum representation time period.

3. The method of claim 2, wherein the method further comprises:

calculating a real Bid/Ask pressure for the minimum representation time “

t”

;

PR_t=VA_t−

VB_t;

depicting in real time, on said use graphic interface, the evolution in time of the real Bid/Ask pressure, said pressure being represented between the representation made for the time evolution of the buy limit price in the first buy level and the sell limit price in the first sell level, with the color determined by the value “

1”

of the side variable if PR_t is greater than zero and its intensity being proportional to the absolute value of PR_t, and by the value “

2”

of the side variable if PR_t is less than zero and its intensity being proportional to the absolute value of PR_t;

adding a color when the value of PR_t is equal to zero.

4. The method of claim 2, wherein the method further comprises:

depicting in real time, on that user graphic interface, the evolution in time of the volume of each buy and sell level of the price limit order book, the buy volumes below the first buy level in the price axis being represented in the color determined for buys, and the sell volumes above the first sell level in the price axis being represented in the color determined for sells.

5. The method of claim 3, wherein the method further comprises:

depicting in real time, on that user graphic interface, the evolution in time of the volume of each buy and sell level of the price limit order book, the buy volumes below the first buy level in the price axis being represented in the color determined for buys, and the sell volumes above the first sell level in the price axis being represented in the color determined for sells.

6. The method of claim 2, wherein the method further comprises:

calculating, in real time, the accumulated by price real Bid/Ask pressure PRA_t;

PRA_t(p)=α

·

PRA_t-1(p)+VA_t(p)−

VB_t(p);

where PRA_t-1 represents the accumulated real Bid/Ask pressure in the minimum representation period t−

1 and α

is a coefficient between 0 and 1 weighting the importance of period t−

1 for the calculus of period t;

depicting in real time, on said use graphic interface, the evolution in time of the accumulated by price real Bid/Ask pressure, said pressure being represented at each price level the stock price passes through, with the color determined for buys if PRA_t is greater than zero, its intensity being proportional to the absolute value of PRA_t, and with the color determined for sells if PRA_t is less than zero, its intensity being proportional to the absolute value of PRA_t;

adding a color when the value of PRA_t is equal to zero.

7. The method of claim 6, wherein the method further comprises:

depicting in real time, on said user graphic interface, the evolution in time of some moving averages of the values VA_t y VB_t on the basis of some weightable values, length in number of time periods of the moving window, selected by the user;

calculating the volume imbalance between the first sell level of the order book (ASK) and the first buy level of the order book in order to determine the immediate evolution in the stock price by means of a ratio;

8. The method of claim 2, wherein the method further comprises:

normalizing the volume of each registered level in the order book by means of;

9. The method of claim 8, wherein the method further comprises:

calculating a gradient for each normalized volume of the price limit order book by means of;

VV_tⁱ=Vn_tⁱ−

Vn_t-1ⁱ;

where VV_tⁱ is the gradient of level i for the period t, and Vn_tⁱ and Vn_t-1ⁱ represent the normalized volume of level i for the time period t and t−

1 respectively;

depicting in real time, on said user graphic interface, the evolution in time of the gradients of each level of the order book, with the positive gradients of buy levels of the order book and the negative gradients of sell levels of the order book being represented in a color representing a price rise signal and its intensity being proportional to the absolute value of the gradient, and the negative gradients of buy levels of the book and the positive gradients of sell levels of the book being represented in a color representing a price drop signal and its intensity being proportional to the absolute value of the gradient.

10. The method of claim 1, wherein the transaction information additionally comprises the two codes of the two members carrying out the transaction;

wherein the method further comprises;

calculating;

a buy limit volume Vlb, which is equal to the sum of transaction volumes conducted by the member by means of buy limit price orders during a determined period;

a sell limit volume Vls, which is equal to the sum of transaction volumes conducted by the member by means of sell limit price orders during a determined period;

a buy market volume Vmb, which is equal to the sum of transaction volumes initiated by the member by means of buy market orders during a determined period; and

a sell market volume Vms, which is equal to the sum of transaction volumes initiated by the member by means of sell market orders during a determined period;

for each member and for a representation option selected from among all the transactions conducted on the same stock by a member and all the transactions conducted by a member on various stocks;

calculating a value known as odds-rate, OR;

11. System of visual representation of stock exchange transactions for at least one registered stock in terms of price levels in a price limit order book, wherein each transaction is defined by a transaction information associated with that transaction, said transaction information associated with said transaction being stored in a market database which sends said information to some user equipment comprising at least:

a memory element for storing in real time the transaction information associated with each transaction of each stock;

a processor which analyzes in real time the transaction information stored in the memory element, it calculates some representation parameters on the basis of the transaction information associated with each transaction and sends those parameters to a graphic processor;

a graphic processor which analyzes in real time the representation parameters and sends them to a user graphic interface;

a user graphic interface which produces a graphic representation in real time of the representation parameters.

12. The system of visual representation of stock exchange transactions of claim 11, wherein the user equipment additionally comprises a database connected to the processor which stores the analysis made by the processor in order to produce an accumulated representation of the data.