Apparatus and method for automated display of market activity

• US 6,963,855 B1
• Filed: 04/10/2000
• Issued: 11/08/2005
• Est. Priority Date: 04/10/2000
• Status: Expired due to Term

• Current Assignee: Morgan Stanley Services Group Inc. (Morgan Stanley)
• Original Assignee: E*Trade Financial Corporation (Morgan Stanley)
• Inventors: Borzenko, Alexander
• Primary Examiner(s): Sough, Hyung
• Assistant Examiner(s): Dass, Harish T.
• Application Number:
  US09/545,974
• Time in Patent Office: 2,038 Days
• Field of Search: 705/37, 705/36, 705/35, 273/256, 345/762, 345/828, 345/111, 345/473, 345/2.2, 345/501, 345/88, 707/102, 707/5, 440/539.1, 440/84, 440/75, 440/86, 440/1, 340/984, 318/588
• US Class Current: 705/37
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Abstract

Thermographs and top mover lists as displays of market motion. Displays for time-dependent information. Thermographs comprising display areas on computer screens, the display areas divided into cells, tick times for a security stored in memory, color values calculated for each tick time and displayed in contiguous cells in the display area. Lists of top moving securities identified by calculation of security momenta comprising differences between a current time and tick times, the differences being summed.

Claims

1. A display depicting market activity, the display comprising:

a display area disposed on a computer screen;

displayed in the display area, information indicative of market activity, the information being dependent upon market data and tick times, wherein the information indicative of market activity comprises colors dependent upon color values; and

automated computing machinery that computes the color values according to the formula;

color value=((Y2−

Y1)/(X2−

X1))*(x−

X1)+Y1, wherein

color value is the color for display,

x is a time difference between a current time and the tick time, the time difference lying within a range of time differences, the range of time differences having a first value in the range of time differences and a last value in the range of time differences,

X1 is the first value in the range of time differences,

X2 is the last value in the range of time differences,

Y1 is a first value in a range of colors, the range of colors having first value in the range of colors and a last value in the range of colors, and

Y2 is the last value in the range of colors.

2. The display of claim 1 wherein the market data is dependent upon market activity, the market data being received in a computer as a data stream through a communications port.

3. The display of claim 1 wherein the market data comprises NASDAQ Level II Quotes.

4. The display of claim 1 wherein the market data comprises data representing ticks, the data representing ticks further comprising tick times.

5. The display of claim 4 wherein data representing ticks further comprises a symbol.

6. The display of claim 4 wherein data representing ticks further comprises a tick direction.

7. The display of claim 4 wherein data representing ticks further comprises a side.

8. The display of claim 4 wherein the data representing ticks is stored in memory storage locations in computer memory.

9. The display of claim 1 wherein the display area is divided into at least one display cell.

10. The display of claim 9 wherein the information indicative of market activity comprises color values dependent upon market data and upon tick times, the color values displayed as colors in the display area.

11. The display of claim 10 wherein, for each tick time stored in computer memory, one color value is calculated and displayed in one cell in the display area on the computer screen, each color value being displayed as a color in a separate cell.

12. The display of claim 9 wherein, for each tick time stored in computer memory for a symbol, one color value is calculated and displayed in one cell in the display area on the computer screen, each color value being displayed as a color in a separate cell.

13. The display of claim 9 wherein, for each tick time stored in computer memory for a symbol and a tick direction, one color value is calculated and displayed in one cell in the display area on the computer screen, each color value being displayed as a color in a separate cell.

72. The display of claim 1, said tick being a change in a quoted price for a security.

14. A display depicting market activity, the display comprising:

a display area disposed on a computer screen;

displayed in the display area, information indicative of market activity, the information being dependent upon market data and tick times, wherein the information indicative of market activity comprises a list of top moving securities comprising a predetermined number of securities, which list further comprises a security occupying a bottom position in the list (“

the bottom listed security”

); and

automated computing machinery programmed to compute;

for a security identified by a symbol in data representing a tick (“

the tick security”

), a security momentum, said security momentum being a numeric indication of relative security price motion;

a security momentum for the bottom listed security;

a comparison of the security momentum of the tick security and the security momentum of the bottom listed security;

replacement of the bottom listed security, with the tick security if the security momentum of the tick security is greater than the security momentum of the bottom listed security, thereby including the tick security in the list;

if the tick security is included in the list, a comparison of the security momentum of the tick security and the security momentum of a security just above the tick security in the list; and

an exchange of the positions of the tick security and the security just above the tick security in the list if the security momentum of the tick security is greater than the security momentum of the security just above the tick security in the list.

15. The display of claim 14 wherein, when computing a security momentum, the automated computing machinery also computes:

a time difference between a current time and stored tick times; and

a sum of the time differences so computed.

16. A method of representing market activity, wherein market data dependent upon market activity is received in a data stream through a communications port, the method comprising the steps of:

receiving a tick, said receiving further comprising extracting from said data stream and from a clock data representing a tick, wherein data representing a tick comprises a symbol and the time when the data representing a tick is received (“

tick time”

); and

creating a display dependent upon the data representing a tick, wherein creating a display further comprises the steps of;

calculating a difference between the tick time and a current time;

calculating a color value according to the formula;

color value=((Y2−

Y1)/(X2−

X1))*(x−

X1)+Y1, wherein

color value is the color value for display,

x is the time difference between the current time and the tick time, the time difference lying within a range of time differences, the range of time differences having a first value in the range of time differences and a last value in the range of time differences,

X1 is the first value in the range of time differences,

X2 is the last value in the range of time differences,

Y1 is a first value in a range of colors, the range of colors having a first value in the range of colors and a last value in the range of colors, and

Y2 is the last value in the range of colors; and

displaying the color value as a color on a computer screen.

17. The method of claim 16 further comprising storing the data representing a tick.

18. The method of claim 17 wherein the market data comprises NASDAQ Level II Quotes.

19. The method of claim 18 wherein ticks are represented by market data in the NASDAQ Level II Quotes.

20. The method of claim 16 wherein a tick is a change in a quoted price for a security.

21. The method of claim 16 wherein the data representing ticks comprises a security symbol.

22. The method of claim 21 wherein the data representing ticks further comprises a tick time.

23. The method of claim 22 wherein the data representing ticks further comprises a tick direction.

24. The method of claim 22 wherein the data representing ticks further comprises a side.

25. The method of claim 19, wherein storing data representing a tick further comprises determining the time the tick is received from NASDAQ (“

tick time”

).

26. The method of claim 18, wherein data representing a tick is received, storing data representing a tick further comprising storing the time the data representing the tick was received (“

tick time”

) in a time array having a number of ordered elements including a first element and a last element.

27. The method of claim 26 further comprising:

shifting the contents of the time array toward the last element, thereby emptying the first element and overwriting the last element; and

storing the tick time in the first element.

28. The method of claim 26, wherein creating a display further comprises calculating a color value for each tick time stored in the time array, the color values being dependent upon the corresponding tick times.

29. The method of claim 28 further comprising periodically displaying colors corresponding to the color values.

30. The method of claim 18, wherein the step of creating a display further comprises:

retrieving from computer memory the tick time stored in each element of the time array;

transforming each tick time in the time array into a color value; and

displaying each color value as a color on a computer screen.

31. The method of claim 30, wherein creating a display further comprises the steps of:

locating a display area on a video screen;

dividing the display area into at least one cell;

displaying in the cells on the video screen colors corresponding to the color values.

32. The method of claim 31, wherein the step of displaying colors in the cells on the video screen further comprises refreshing the display periodically.

33. The method of claim 31, wherein the step of dividing the display area into cells further comprises dividing the display area into a number of cells dependent upon the number of ordered elements in the time array.

34. The method of claim 30, wherein the step of transforming each tick time in the time array further comprises:

calculating a time difference between a current time and the tick time stored in each element of the time array; and

transforming the time difference into a color value.

35. The method of claim 34, wherein the step of transforming the time differences into color values further comprises calculating a color value according to the formula:

color value=((Y2−

Y1)/(X2−

X1))*(x−

X1)+Y1, wherein

color value is the color value for display,

x is a time difference between the current time and the tick time stored in an element of the time array, the time difference lying within a range of time differences, the range of time differences having a first value in the range of time differences and a last value in the range of time differences,

X1 is the first value in the range of time differences,

X2 is the last value in the range of time differences,

Y1 is the first value in a range of colors, the range of colors having a first value in the range of colors, and

Y2 is the last value in the range of colors.

36. A method of representing market activity, wherein market data dependent upon market activity is received in a data stream through a communications port, the method comprising the steps of:

receiving a tick, said receiving further comprising extracting from said data stream and from a clock data representing a tick, wherein data representing a tick comprises a symbol and the time when the data representing a tick is received (“

tick time”

), said receiving further comprising storing in computer memory the data representing a tick including storing the tick times; and

creating a display dependent upon the data representing a tick, wherein creating a display comprises generating a list of top moving securities dependent upon the data representing a tick, the list comprising securities having the highest security momenta, the list comprising at least one security and a bottom listed security, the generating of the list further comprising the steps of;

calculating from the stored tick times a security momentum for the security identified by the symbol in the data representing the tick (“

the tick security”

), said security momentum being a numeric indication of relative security price motion;

calculating a security momentum of the bottom listed security;

comparing the security momentum of the tick security with the security momentum of the bottom listed security;

if the comparison shows that the security momentum of the tick security is greater than the security momentum of the bottom listed security, the method further comprising replacing the bottom listed security with the tick security;

calculating the security momentum for the security just above the tick security on the list;

comparing the security momentum of the security just above the tick security and the security momentum of the tick security;

if the comparison shows that the security momentum of the tick security is greater than the security momentum of the security just above the tick security on the list, swapping the positions of the tick security and the security just above the tick security on the list.

37. The method of claim 36, wherein the step of calculating from the stored tick times a security momentum further comprises:

calculating time differences between a current time and stored tick times; and

summing the calculated time differences.

38. The method of claim 36, further comprising displaying on a computer screen the list of securities with the highest security momenta, each security in the list having a display location on the computer screen.

39. The method of claim 38 further comprising the steps of:

transforming each stored tick time into a color value wherein transforming further comprises calculating the color values according to the formula;

color value=((Y2−

Y1)/(X2−

X1))*(x−

X1)+Y1, wherein

color value is the color value for display,

x is a time difference between a current time and the tick time, the time difference lying within a range of time differences, the range of time differences having a first value in the range of time differences and a last value in the range of time differences,

X1 is the first value in the range of time differences,

X2 is the last value in the range of time differences,

Y1 is a first value in a range of colors, the range of colors having the first value in the range of colors and a last value in the range of colors, and

Y2 is the last value in the range of colors; and

displaying each color value as a color on the computer screen at a color display location dependent upon the display location of each security in the list.

40. The method of claim 39, wherein displaying each color value further comprises:

locating a color display area on a video screen dependent upon the display locations of the securities in the list;

dividing the color display area into at least one cell; and

displaying in the cells on the video screen colors corresponding to the color values.

41. The method of claim 38 further comprising displaying in the form of text the list of securities with the highest security momenta, the text showing the symbols of the securities with the highest security momenta, each symbol having a display location on the computer screen.

42. The method of claim 41 further comprising the steps of:

transforming each stored tick time into a color value, wherein the transforming further comprises calculating a color value according to the formula;

color value=((Y2−

Y1)/(X2−

X1))*(x−

X1)+Y1, wherein

color value is the color value for display,

x is a time difference between the current time and the tick time stored in an element of the time array, the time difference lying within a range of time differences, the range of time differences having a first value in the range of time differences and a last value in the range of time differences,

X1 is the first value in the range of time differences,

X2 is the last value in the range of time differences,

Y1 is the first value in a range of colors, the range of colors having a first value in the range of colors and a last value in the range of colors, and

Y2 is the last value in the range of colors; and

displaying each color value on the computer screen at a color display location dependent upon the display location of each symbol.

43. The method of claim 41, wherein displaying each color value further comprises:

locating a color display area on a video screen dependent upon the display locations of the symbols;

dividing the color display area into at least one cell; and

displaying in the cells on the video screen colors corresponding to the color values.

44. The method of claim 38, wherein the list of securities with the highest security momenta is displayed in the form of a bar chart.

45. A system, implemented in software on a digital computer, for depicting market activity, wherein the market activity is represented by a data stream, received through a communications port, the system comprising:

means for storing data representing a tick, wherein data representing a tick includes a tick time; and

means for creating a display dependent upon the data representing a tick, wherein the display comprises colors dependent upon color values, the means for creating further comprising means for calculating the color values according to the formula;

color value=((Y2−

Y1)/(X2−

X1))*(x−

X1)+Y1, wherein

color value is the color value for display,

x is a time difference between a current time and the tick time, the time difference lying within a range of time differences, the range of time differences having a first value in the range of time differences and a last value in the range of time differences,

X1 is the first value in the range of time differences,

X2 is the last value in the range of time differences,

Y1 is a first value in a range of colors, the range of colors having the first value in the range of colors and a last value in the range of colors, and

Y2 is the last value in the range of colors.

46. The system of claim 45 further comprising means for receiving the data stream.

47. The system of claim 46, wherein the data stream comprises NASDAQ Level II Quotes.

48. The system of claim 47, wherein ticks are represented by data in the NASDAQ Level II Quotes.

49. The system of claim 45, wherein a tick is a change in a quoted price for a security.

50. The system of claim 45, wherein the data representing ticks comprises a security symbol.

51. The system of claim 50, wherein the data representing ticks further comprises a tick direction.

52. The system of claim 50, wherein the data representing ticks further comprises a side.

53. The system of claim 47, wherein data representing a tick is received, means for storing data representing a tick further comprising means for storing the time the data representing the tick was received (“

tick time”

) in a time array having a number of physical computer memory locations including a first memory location and a last memory location.

54. The system of claim 53 further comprising:

means for shifting the contents of the time array toward the last memory location,

thereby emptying the first memory location and overwriting the last memory location; and

means for storing the tick time in the first memory location.

55. The system of claim 53, wherein means for creating a display further comprises means for calculating a color value for each tick time stored in the time array, the color values being dependent upon the tick times.

56. The system of claim 55 further comprising means for periodically displaying colors corresponding to the color values.

57. The system of claim 53, wherein means for creating a display further comprises:

means for retrieving from computer memory the tick time stored in each memory location of the time array;

means for transforming each tick time in the time array into a color value; and

means for displaying each color value onto a computer screen.

58. The system of claim 53, wherein means for creating a display further comprises:

means for locating a display area on a video screen;

means for dividing the display area into at least one cell; and

means for displaying in the cells on the video screen colors corresponding to the color values.

59. The system of claim 58, wherein means for displaying colors in the cells on the video screen further comprises means for refreshing the display periodically.

60. The system of claim 58, wherein the means for dividing the display area into cells further comprises means for dividing the display area into a number of cells dependent upon the number of memory locations in the time array.

61. The system of claim 57, wherein the means for transforming each tick time in the time array further comprises:

means for calculating a time difference between a current time and the tick time stored in each memory location of the time array; and

means for transforming the time difference into a color value.

62. The system of claim 61, wherein the means for transforming the time differences into color values further comprises means for calculating a color value according to the formula:

color value=((Y2−

Y1)/(X2−

X1))*(x−

X1)+Y1, wherein

color value is the color value for display,

x is a time difference between the current time and the tick time stored in a memory location of the time array, the time difference lying within a range of time differences, the range of time differences having a first value in the range of time differences and a last value in the range of time differences,

X1 is the first value in the range of time differences,

X2 is the last value in the range of time differences,

Y1 is the first value in a range of colors, the range of colors having a first value in the range of colors and a last value in the range of colors, and

Y2 is the last value in the range of colors.

63. A system, implemented in software on a digital computer, for depicting market activity, wherein the market activity is represented by a data stream, received through a communications port, the system comprising:

means for storing data representing a tick, wherein data representing a tick includes a tick time; and

means for creating a display dependent upon the data representing a tick, the means for creating a display further comprising means for generating a list of top moving securities dependent upon the data representing a tick, the list of top moving securities comprising securities having the highest security momenta, the list comprising at least one listed security and a bottom listed security, the means for generating a list further comprising;

means for calculating from the stored tick times a security momentum for the security identified by the symbol in the data representing the tick (“

the tick security”

), said security momentum being a numeric indication of relative security price motion;

means for calculating a security momentum of the bottom listed security;

means for comparing the security momentum of the tick security with the security momentum of the bottom listed security;

means for replacing the bottom listed security with the tick security if the security momentum of the tick security is greater than the security momentum of the bottom listed security;

means for calculating, if the tick security is on the list, the security momentum for the security just above the tick security on the list;

means for comparing the security momentum of the security just above the tick security on the list and the security momentum of the tick security;

means for swapping the positions of the tick security and the security just above the tick security on the list if the momentum of the tick security is greater than the security momentum of the security just above the tick security on the list.

64. The system of claim 63, wherein the means for calculating from the stored tick times a security momentum further comprises:

means for calculating time differences between a current time and stored tick times; and

means for summing the calculated time differences.

65. The system of claim 63 further comprising means for displaying on a computer screen the list of securities with the highest security momenta, each security in the list having a display location on the computer screen.

66. The system of claim 65 further comprising:

means for transforming each stored tick time into a color value, further comprising means for calculating the color values according to the formula;

color value=((Y2−

Y1)/(X2−

X1))*(x−

X1)+Y1, wherein

color value is the color value for display,

x is a time difference between a current time and the tick time, the time difference lying within a range of time differences, the range of time differences having a first value in the range of time differences and a last value in the range of time differences,

X1 is the first value in the range of time differences,

X2 is the last value in the range of time differences,

Y1 is a first value in a range of colors, the range of colors having the first value in the range of colors and a last value in the range of colors, and

Y2 is the last value in the range of colors; and

means for displaying each color value on the computer screen at a color display location dependent upon the display location of each security in the list.

67. The system of claim 66, wherein means for displaying each color value further comprises:

means for locating a color display area on a video screen dependent upon the display locations of the securities in the list;

means for dividing the color display area into at least one cell; and

means for displaying in the cells on the video screen colors corresponding to the color values.

68. The system of claim 65 further comprising means for displaying the list of securities with the highest security momenta in the form of text showing the symbols of the securities with the highest security momenta, each symbol having a display location on the computer screen.

69. The system of claim 68 further comprising:

means for transforming each stored tick time into a color value; and

means for displaying each color value on the computer screen at a color display location dependent upon the display location of each symbol.

70. The system of claim 69, wherein means for displaying each color value further comprises:

means for locating a color display area on a video screen dependent upon the display location of the symbols;

means for dividing the color display area into at least one cell; and

means for displaying in the cells on the video screen colors corresponding to the color values.

71. The system of claim 65, wherein the list of securities with the highest security momenta is displayed in the form of a bar chart.