System and method of visual representation of stock exchange transactions

• US 8,694,405 B2
• Filed: 01/21/2010
• Issued: 04/08/2014
• Est. Priority Date: 01/21/2010
• Status: Active Grant

• Current Assignee: Visual Trader Systems SL
• Original Assignee: Visual Trader Systems SL
• Inventors: Parga Landa, Jos Antonio
• Primary Examiner(s): Ebersman, Bruce I
• Assistant Examiner(s): POE, KEVIN T
• Application Number:
  US12/656,234
• Publication Number:
  US 20110178950A1
• Time in Patent Office: 1,538 Days
• Field of Search: 705/36.R, 705/35
• 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. A 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 transaction information associated with the transaction, the transaction information including at least:

a date and time;

a negotiation market;

a negotiated stock;

an execution volume;

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

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

an execution price,

the method for each stock exchange transaction comprising;

receiving in real time, using a user equipment processor, at least one transaction and its associated transaction information;

labeling, using the user equipment processor, the at least one transaction with a label selected from between an 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 an 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, using the user equipment processor, a value in real time of a binary variable known as “

side”

which takes a value “

1”

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

2”

when the transaction information is an initiated sell transaction;

depicting in real time, using a user equipment graphic processor and 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;

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

calculating for each minimum representation time period “

t”

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

t”

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

t”

.

2. The method of claim 1, further comprising:

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

t”

;

PR_t=VA_t−

VB_t;

depicting in real time, on the use graphic interface, an evolution in time of the real Bid/Ask pressure, the pressure being represented between a 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 a color determined by the value “

1”

of a side variable if PR_t is greater than zero and its intensity being proportional to an 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; and

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

3. The method of claim 1, further comprising:

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

4. The method of claim 2, further comprising:

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 1, further comprising:

calculating, in real time, an 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 a minimum representation period t−

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

1 for a calculus of period t;

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

6. The method of claim 5, further comprising:

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

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

7. The method of claim 1, further comprising:

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

8. The method of claim 7, further comprising:

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

∇

V_tⁱ=Vn_tⁱ−

Vn_t-1ⁱ;

where ∇

V_tⁱ is a gradient of level i for a period t, and Vn_tⁱ and Vn_t-1ⁱ represent a normalized volume of level i for a time period t and t−

1 respectively;

depicting in real time, on the user graphic interface, an evolution in time of gradients of each level of the order book, with positive gradients of buy levels of the order book and 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 an 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 an absolute value of the gradient.

9. The method of claim 1, wherein transaction information includes two codes of two members carrying out a transaction, and wherein the method further comprises:

calculating;

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

a sell limit volume Vls, which is equal to a 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 a 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 a 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 transactions conducted on a same stock by a member and all a transactions conducted by a member on various stocks;

calculating a value known as odds-rate, OR;