System and Method for Generating Real-Time Indicators iin a Trading List or Portfolio

• US 20100174666A1
• Filed: 03/15/2010
• Published: 07/08/2010
• Est. Priority Date: 06/29/2005
• Status: Active Grant

• Current Assignee: Virtu ITG Software Solutions LLC
• Original Assignee: ITG Software Solutions, Inc. (Virtu Financial, Inc.)
• Inventors: Yang, Jian, Domowitz, Ian, Serbin, Vitaly, Brandes, Yossef, Borkovec, Milan, Sinclair, Robert D.
• Granted Patent: US 8,001,033 B2
• Time in Patent Office: Days
• US Class Current: 705/36.R
• CPC Class Codes: G06Q 10/04 Forecasting or optimisation specially adapted for administrative or management purposes, e.g. linear programming or "cutting stock problem" market predictions or forecasting for commercial activities G06Q30/0202
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• 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
• CPC Class Codes: G06Q 40/08 Insurance

Abstract

A trading platform computer system for detecting an abnormal trading condition of a security uses real-time and estimated values of one or more variables associated with the condition of the security to generate one or more analytic metrics that are compared to empirical distributions based on one or more peer groups for the security. An indicator can then be displayed to a trader as an indication of the abnormal condition.

Claims

1. A trading platform comprising:

a trading interface executed on a trader desktop device; and

a server computer coupled to one or more electronic communication networks, wherein said server computer is configured to;

receive current market data from a remote data source via a digital communications link including a current value of a first variable related to a condition of a first security,

estimate the value of the first variable based on historical market data for the first security,

calculate a first analytic metric based on a relationship between the current value of the first variable and the estimated value of the first variable,

receive a plurality of values of the first variable related to the condition of each of a plurality of securities in a peer group of the first security,

estimate a plurality of values of the first variable based on historical market data for each of the plurality of securities in the peer group,

calculate an empirical distribution of analytic metrics for the peer group, wherein the analytic metrics are based on relationships between the values of the first variable retrieved for members of the peer group and the values obtained by estimating,

compare the first analytic metric for the first security with the empirical distribution of analytic metrics for the peer group to determine whether the condition of the first security is abnormal, and

provide to said trading interface via said electronic communication network an indicator for display, wherein said indicator is reflective of abnormality in the condition of the first security.

2. The trading platform of claim 1, wherein said trading interface is configured to:

receive via an electronic communication network said indicator from said server, and

display said indicator to a user of said trading interface.

3. The trading platform of claim 1, wherein said server is further configured to periodically select a real-time value of a first variable from a stream of real-time values throughout a trading day;

wherein the historical market data is stored in a database, and said server computer is further configured to periodically update the database using the stream of real-time values.

4. The trading platform of claim 1, wherein the server is further configured to calculate a moving average of the value over a predetermined period of time using historical market data.

5. The trading platform of claim 1, wherein the server is configured to calculate an analytic metric by calculating at least one of relative volatility, relative volume, and relative cost.

6. The trading platform of claim 1, further comprising a peer group database storing empirical distributions of analytic metrics;

wherein the server is further configured to retrieve the empirical distribution corresponding to a peer group of the first security from the peer group database;

wherein the peer group database stores values of the first variable for a plurality peer groups; and

wherein the server is further configured to generate the empirical distribution of analytic metrics using values from the peer group database.

7. The trading platform of claim 1, wherein said server computer is further configured to retrieve a plurality of values of the first variable periodically throughout a trading day at predetermined intervals, and each time select a real-time value of the first variable.

8. The trading platform of claim 6, wherein said plurality of empirical distributions are based on a plurality of different peer groups.

9. The trading platform of claim 1, wherein the server is further configured to define a peer group and gather data related to the peer group to generate the empirical distribution;

wherein the peer group is either defined statically based on at least one of industry sector, exchange, and market capitalization, or dynamically based on real-time data related to the peer group; and

wherein the peer group is defined dynamically based on real-time data related to the peer group.

10. The trading platform of claim 1, wherein the server is further configured to determine where the calculated analytic metric falls within the empirical distribution;

and

wherein the server is further configured to describe where the calculated analytic metric falls within the empirical distribution in terms of percentile or in terms of standard deviation.

11. The trading platform of claim 10, wherein the server is further configured to describe where the calculated analytic metric falls within the empirical distribution in terms of standard deviation.

12. The trading platform of claim 1, wherein said indicator is reflective of the degree of abnormality of the security condition based on said comparison of the first analytic metric for the first security with the empirical distribution of analytic metrics for the peer group, and includes at least one of a numerical value related to the degree of abnormality, a number of symbols, wherein the number of symbols is related to the degree of abnormality, and a color coded numerical value related to the degree of abnormality;

wherein symbols include at least one of up and down arrows and bars, the up arrows representing a condition in the upper half of the empirical distribution and the down arrows representing a condition in the lower half of the empirical distribution, the bars being on either side of a divider to represent a condition in the upper or lower half of the distribution.

13. The trading platform of claim 1, wherein said server computer is further configured to execute a trade based on said comparison of the first analytic metric for the first security with the empirical distribution of analytic metrics for the peer group.

14. The trading platform of claim 2, wherein said trading interface is further configured to execute a trade based on said comparison of the first analytic metric for the first security with the empirical distribution of analytic metrics for the peer group.