System and method for calculating and displaying volume to identify buying and selling in an electronic trading environment
First Claim
Patent Images
1. A method for calculating a value associated with buying and selling a tradeable object being traded on an electronic exchange, the method comprising:
- receiving market information corresponding to the tradeable object, the market information comprising a last traded price, a last traded quantity for the tradeable object, and an inside market with a highest bid price and a lowest ask price currently available for the tradeable object;
comparing the last traded price to the inside market to determine if a last trade occurred on a bid side or on an ask side based on received market information; and
determining a current running total volume by adding or subtracting the last traded quantity 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.
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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.
65 Citations
17 Claims
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1. A method for calculating a value associated with buying and selling a tradeable object being traded on an electronic exchange, the method comprising:
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receiving market information corresponding to the tradeable object, the market information comprising a last traded price, a last traded quantity for the tradeable object, and an inside market with a highest bid price and a lowest ask price currently available for the tradeable object; comparing the last traded price to the inside market to determine if a last trade occurred on a bid side or on an ask side based on received market information; and determining a current running total volume by adding or subtracting the last traded quantity 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. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9)
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10. A computer readable medium having program code for causing a microprocessor to execute a method for calculating a value for a tradeable object being traded on an electronic exchange, comprising:
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a first program code for receiving market information corresponding to the tradeable object, the market information comprising a last traded price and last traded quantity for the tradeable object, and an inside market with a highest bid price and a lowest ask price currently available for the tradeable object; and a second program code for comparing the last traded price to the inside market to determine if a last trade occurred on a bid side or on an ask side based on received market information, and determining a current running total volume by adding or subtracting the last traded quantity from an preceding running total volume, based on the determination of if the trade occurred on the bid side or on the ask side. - View Dependent Claims (11, 12, 13, 14, 15, 16, 17)
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Specification