System and method for processing and displaying quantity information during user-configurable time periods

• US 7,558,754 B1
• Filed: 02/28/2003
• Issued: 07/07/2009
• Est. Priority Date: 02/28/2003
• Status: Active Grant

• Current Assignee: Trading Technologies International, Inc.
• Original Assignee: Trading Technologies International, Inc.
• Inventors: West, Robert A., Burns, Michael J., Singer, Scott F., Schwarz, Stephen A.
• Primary Examiner(s): Kramer; James A
• Assistant Examiner(s): LEMIEUX, JESSICA
• Application Number:
  US10/376,437
• Time in Patent Office: 2,321 Days
• Field of Search: 705/37
• US Class Current: 705/37
• 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

A system and method for displaying quantity related information determined for a plurality of time periods are described. According to one method, a trader may define one or more time periods for which a trading application may determine traded quantities, traded buys, traded sells, or other quantity related information at a plurality of price levels during the defined time periods. The trading application may then graphically display the quantities for each time period in relation to the static axis of prices. The method further includes periodically updating the displayed traded quantity to reflect the quantity during the defined time period, where the quantity is updated based on subsequent market updates that are received from the exchange for the tradable object.

Claims

1. A method for displaying quantity related information associated with a tradable object in an electronic trading environment, the method comprising:

defining a time period to be used to determine traded buy or traded sell quantity related information associated with the tradable object;

determining at a computer device traded quantity related information for the time period at each of a plurality of price levels at which the tradable object is traded on at least one exchange, wherein the traded quantity related information for each price level during the time period is determined using market updates being received from the at least one exchange;

determining at a computer device whether the traded quantity related information for the time period at each of the plurality of price levels comprises the traded buy quantity or the traded sell quantity, wherein the traded buy quantity is determined when an order to buy is used to match an order to sell pending at a price level in an order book at the at least one exchange, and wherein the traded sell quantity is determined when an order to sell is used to match an order to buy pending at a price level in the order book at the at least one exchange;

when the traded quantity related information comprises the traded buy quantity, displaying for each price level along a price axis of the plurality of price levels the traded buy quantity related information for the time period using a first graphical representation;

when the traded quantity related information comprises the traded sell quantity, displaying for each price level along the price axis of the plurality of price levels the traded sell quantity related information for the time period using a second graphical representation that is distinguishable from the first graphical representation; and

dynamically updating at a computer device the displayed traded buy quantity related information and the traded sell quantity related information at each price level so that the displayed traded buy or traded sell quantity reflects buy or sell quantity traded at each price level during a moving window, wherein a size of the moving window is defined by the time period.

3. The method of claim 1, wherein the traded buy quantity related information associated with the tradable object comprises a traded buy quantity.

4. The method of claim 1, wherein the traded sell quantity related information associated with the tradable object comprises a traded sell quantity.

5. The method of claim 1, wherein the time period comprises a user configurable time period.

6. The method of claim 1, wherein the traded quantity related information at each of the plurality of price levels is determined using a user-configurable formula.

7. The method of claim 1, further comprising:

displaying a first graphical indicator to represent the traded buy quantity related information for the time period in association with each of the plurality of price levels; and

displaying a second graphical indicator to represent the traded sell quantity related information for the time period in association with each of the plurality of price levels.

8. The method of claim 7, wherein the first graphical indicator comprises a first bar indicator representing the traded buy quantity related information for the time period in relation to each of the plurality of price levels, and wherein the second graphical indicator comprises a second bar indicator representing the traded sell quantity related information for the time period in relation to each of the plurality of price levels.

9. The method of claim 7, further comprising displaying a numerical representation associated with the traded buy quantity related information and the traded sell quantity related information at each of the plurality of price levels.

14. The method of claim 8, wherein a size of the first bar indicator is dynamically increased or decreased as the traded buy quantity during the defined time period changes, and wherein a size of the second bar indicator is dynamically increased or decreased as the traded sell quantity during the defined time period changes.

15. The method of claim 8, further comprising:

displaying a first bar at a first price level to represent traded buy quantity related information associated with a first time period;

displaying a second bar at the first price level to represent traded buy quantity related information associated with a second time period;

displaying a third bar at the first price level to represent traded sell quantity related information associated with the first time period; and

displaying a fourth bar at the first price level to represent traded sell quantity related information associated with the second time period.

16. The method of claim 15, further comprising:

using the first bar and the second bar at the first price level to represent traded buy quantity during a combined time period comprising the first time period and the second time period; and

using the third bar and the fourth bar at the first price level to represent traded sell quantity during the combined time period.

17. The method of claim 16, further comprising:

using a first graphical format in relation to the first bar;

using a second graphical format in relation to the second bar;

using a third graphical format in relation to the third bar; and

using a fourth graphical format in relation to the fourth bar.

18. The method of claim 15, wherein the first and second bars are aligned, and wherein the third and fourth bars are aligned.

19. The method of claim 15, further comprising:

as new market updates are received and new traded buy quantity is detected, dynamically shifting old data from the first bar to the second bar such that the old data previously used in relation to the first bar is moved to the second bar for determining traded buy quantity related information in relation to the second time period; and

as new market updates are received and new traded sell quantity is detected, dynamically shifting old data from the third bar to the fourth bar such that old data previously used in relation to the third bar is moved to the fourth bar for determining traded sell quantity related information in relation to the second time period.

20. The method of claim 19, further comprising:

as the new market updates are received, using the new market updates to determine new traded buy quantity and new traded sell quantity corresponding to a new time period.

21. The method of claim 1, further comprising:

displaying a price axis.

22. The method of claim 21, wherein the price axis is static.

23. The method of claim 21, further comprising:

displaying the plurality of price levels in relation to the price axis.

24. The method of claim 21, further comprising:

dynamically displaying a first indicator representing quantity associated with at least one trade order to buy the tradeable object at a first price level; and

dynamically displaying a second indicator representing quantity associated with at least one trade order to sell the tradeable object at a second price level.

2. A computer readable medium having stored therein instructions to execute a method for displaying quantity related information associated with a tradable object in an electronic trading environment, the method comprising:

defining a time period to be used to determine traded buy or traded sell quantity related information associated with the tradable object;

determining at a computer device traded quantity related information for the time period at each of a plurality of price levels at which the tradable object is traded on at least one exchange, wherein the traded quantity related information for each price level during the time period is determined using market updates being received from the at least one exchange;

determining at a computer device whether the traded quantity related information for the time period at each of the plurality of price levels comprises the traded buy quantity or the traded sell quantity, wherein the traded buy quantity is determined when an order to buy is used to match an order to sell pending at a price level in an order book at the at least one exchange, and wherein the traded sell quantity is determined when an order to sell is used to match an order to buy pending at a price level in the order book at the at least one exchange;

when the traded quantity related information comprises the traded buy quantity, displaying for each price level along a price axis of the plurality of price levels the traded buy quantity related information for the time period using a first graphical representation;

when the traded quantity related information comprises the traded sell quantity, displaying for each price level along the price axis of the plurality of price levels the traded sell quantity related information for the time period using a second graphical representation that is distinguishable from the first graphical representation; and

dynamically updating at a computer device the displayed traded buy quantity related information and the traded sell quantity related information at each price level so that the displayed traded buy or traded sell quantity reflects buy or sell quantity traded at each price level during a moving window, wherein a size of the moving window is defined by the time period.

10. A trading application configured to receive a plurality of market updates for a tradable object from an exchange, determine a traded buy quantity and a traded sell quantity at each of a plurality of price levels during a time period, and display the traded buy quantity using a first graphical representation and traded sell quantity using a second graphical representation that is distinguishable from the first graphical representation for each price level in relation to the plurality of price levels along a price axis, wherein the traded buy quantity is determined when an order to buy is used to match an order to sell pending at a price level in an order book at the exchange, and wherein the traded sell quantity is determined when an order to sell is used to match an order to buy pending at a price level in the order book at the exchange, wherein the trading application is further configured to dynamically update the displayed traded buy quantity and the displayed traded sell quantity using subsequent market updates so that the displayed traded buy and sell quantity for each price level reflects buy quantity and sell quantity traded during a moving window, wherein a size of the moving window is defined by the time period.

11. The trading application of claim 10, wherein the trading application is configured to display the traded buy quantity and traded sell quantity that have been traded at each of the plurality of price levels in relation to a static axis of prices.

12. The trading application of claim 10, wherein the time period comprises a user-configurable time period.

13. The trading application of claim 10, wherein the trading application is further configured to determine a traded buy quantity and a traded sell quantity for each of the plurality of price levels during a plurality of time periods, and to display the traded quantities for the plurality of time periods.