System and method for analyzing and displaying security trade transactions

• US 7,590,587 B2
• Filed: 06/11/2003
• Issued: 09/15/2009
• Est. Priority Date: 06/18/2002
• Status: Active Grant

• Current Assignee: Trading Technologies International, Inc.
• Original Assignee: Trading Technologies International, Inc.
• Inventors: Duquette, Douglas Ray
• Primary Examiner(s): Kramer; James A
• Assistant Examiner(s): Vezeris; James A
• Application Number:
  US10/517,960
• Publication Number:
  US 20050228735A1
• Time in Patent Office: 2,288 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

Processing and charting security exchange trading and market information shows security traders if current transactions originated as buy orders or sell orders, and simultaneously indicates traded quantity. Security exchange trading information is received including price, volume and time of each trade. Market information is also received including bids and offers. The security exchange trading and market information is processed simultaneously and displayed as a continuously updated real-time chart depicting the exchange auction process. The chart is formed by plotting each trade at the price traded, and for each plot point shows a distinctive icon indication whether the transaction was initiated by a buyer or seller.

Claims

1. A method for use with a trader workstation for displaying securities market transaction information comprising:

a. receiving transaction information regarding a selected security via a computing device, the information including a price of at least one trade;

b. receiving order book information regarding open orders for a selected security via the computing device;

c. determining whether each of a user-selected range of trades represented in the transaction information was seller-initiated or buyer-initiated via the computing device, according to both the transaction information and order book information, an open sell order in the order book being bought comprising a buyer-initiated trade and an open buy order in the order book being sold comprising a seller-initiated trade;

d. displaying for each trade of a user-selected security within the user-selected range of transactions represented in said transaction information an indicium representing said price of such trade via an output device associated with the computing device, the indicium having an appearance distinguishing between buyer-initiated and seller-initiated trades; and

e. displaying at least a subset of the order book information relating to the user-selected security adjacent said indicia via the output device.

2. The method of claim 1 wherein d. further comprises:

displaying the trades in a two-dimensional chart having a first axis representing trade price and a second axis being substantially perpendicular to the first axis and representing time.

3. The method of claim 1 further comprising:

grouping the trades into one or more auction events, the trades in each auction event being related to one another as determined by user-selectable criteria;

and wherein d. further comprises displaying the trades in a two-dimensional chart having a first axis representing trade price and a second axis representing time of initiation of an auction event.

4. The method of claim 2, wherein the order book information includes at least one proposed transaction price, and e. thereof further comprises:

displaying at least a subset of the order book information adjacent the first axis such that the at least one proposed transaction price is aligned with a position corresponding to the proposed transaction price on the first axis.

5. The method of claim 1, wherein receiving order book information further comprises:

receiving the order book information as part of a universal data structure including at least one bid price and a respective quantity of units sought to be purchased at each of such bid prices, and at least one offer price and a respective quantity of units sought to be sold at each of such offer prices.

6. The method of claim 1, further comprising:

receiving a universal data structure including, for the at least one security;

a lowest trade price observed for the security during a current trading day;

a highest trade price observed for the security during the current trading day;

a change in price observed since the current trading day began.

7. The method of claim 1, wherein receiving transaction information and receiving order book information further comprise:

receiving the transaction information and order book information regarding the selected security from an exchange server operatively coupled to a market data system of a securities exchange using a universal data structure for data from all exchanges and for all products traded.

8. A method for displaying market transaction information using a trader workstation, the method comprising:

receiving transaction information for a tradable object including price of at least one executed trade for the security via a computing device;

receiving order book information for open orders for the tradable object via the computing device, the open orders including at least one bid and at least one offer for the tradable object;

receiving a user-selected range of trades associated with the transaction information via a user-input device associated with the computing device;

in response receiving the transaction information and the order book information, determining whether each of the trades in the user-selected range represent seller-initiated or buyer-initiated trades or are not determinable via the computing device, according to both the transaction information and the order book information, where an open sell order in the order book being bought comprises a buyer-initiated trade, an open buy order in the order book being sold comprises a seller-initiated trade, and a value of the trade being between a best ask and best bid being not determinable; and

displaying in a two-dimensional chart for each trade in the user-selected range via an output device associated with the computing device, an indicator representing the trade price where the indicator distinguishes between buyer-initiated trades, seller-initiated trades and non-determinable trades.

9. The method of claim 8 further comprising displaying at least a subset of the order book information associated with the user-selected security.

10. The method of claim 8 where the two-dimensional chart comprises a first axis representing trade price and a second axis being substantially perpendicular to the first axis and representing time of initiation of an auction event.

11. The method of claim 10 further comprising grouping the trades by an auction event, trades in an auction event being related as determined by at least one user-selectable criterion.

12. The method of claim 8, where the order book information comprises a proposed transaction price, and the method further comprises displaying at least a subset of said order book information adjacent a first axis aligning the proposed transaction price with a position corresponding to said proposed transaction price on the first axis.

13. A computer-readable medium having code stored thereon for execution by a processor, the processor carrying out the steps as instructed by the code, the computer-readable medium comprising:

a transaction information module configured to receive executed transaction information for a tradable object including price of at least one executed trade for the security;

an order book information module receiving module configured to receive order book information for open orders for the tradable object, the open orders including at least one bid and at least one offer for the tradable object;

a user-input module configured to receive a user-selected range of trades associated with the transaction information;

a determination module configured to determine whether trades in the user-selected range represent seller-initiated or buyer-initiated trades or are not determinable according to both the transaction information and the order book information, an open sell order in the order book being bought comprising a buyer-initiated trade, an open buy order in the order book being sold comprising a seller-initiated trade, and a trade that is not determinable comprising a price between a best ask price and best bid price; and

a display module configured to display, in a two-dimensional chart for each trade in the user-selected range, an indicator representing the trade price, where the indicator distinguishes between buyer-initiated trades, seller-initiated trades and non-determinable trades.

14. The computer-readable medium of claim 13 comprising a display module configured to display a subset of the order book information associated with the user-selected security.

15. The computer-readable medium of claim 13 where the two-dimensional chart comprises a first axis for trade price and a second axis being substantially perpendicular to the first axis and for time of initiation of an auction event.

16. The computer-readable medium of claim 14 comprising grouping the trades by an auction event, each trade being related as determined by at least one user-selectable criterion.

17. The computer-readable medium of claim 13, where the order book information comprises a proposed transaction price, and the method further comprises displaying at least a subset of said order book information adjacent the first axis aligning the proposed transaction price with a position corresponding to said proposed transaction price on the first axis.