SYSTEM AND METHOD FOR GENERATING REAL-TIME INDICATORS IN A TRADING LIST OR PORTFOLIO

• US 20150012412A1
• Filed: 07/11/2014
• Published: 01/08/2015
• Est. Priority Date: 06/29/2005
• Status: Abandoned Application

• Current Assignee: ITG Software Solutions, Inc. (Virtu Financial, Inc.)
• Original Assignee: ITG Software Solutions, Inc. (Virtu Financial, Inc.)
• Inventors: BRANDES, Yossef, DOMOWITZ, Ian, BORKOVEC, Milan, YANG, Jian, SINCLAIR, Robert D., SERBIN, Vitaly
• Application Number:
  US14/329,170
• Publication Number:
  US 20150012412A1
• Time in Patent Office: Days
• US Class Current: 705/37
• 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 method of displaying abnormal trading conditions for a security on a graphical user interface, the method comprising:

dynamically displaying, on the graphical user interface, market data for a plurality of securities, including an indication of a security and an indication of a current value for a first variable of the security;

determining, by a computer, that the current value for the first variable is abnormally different from a value estimated for the first variable based on historical market data when a difference between the current value and the estimated value exceeds a preselected threshold for abnormality; and

when it is determined that the current value of the first variable is abnormal, displaying, in real-time, on the user interface, a graphical indicator reflecting that the value for the first variable of the security is abnormal and a magnitude of the abnormality.

2. The method of claim 1, wherein the step of determining that the current value for the first variable is abnormally different from a value estimated for the first variable based on historical market data comprises:

receiving an indication of the preselected threshold for abnormality from a remote server via an electronic communications network.

3. The method of claim 1, wherein the abnormality relates to at least one of:

current trade price, current trading volume, current-ask spread, or current depth.

4. The method of claim 1, wherein the graphical indicator reflects that the value of the first variable of the security is abnormal with respect to the values of the variable for a peer group of securities.

5. The method of claim 4, wherein the peer group of securities corresponds to a group of securities having similar trading characteristics to the security, wherein the trading characteristics include at least one of:

volume, volatility, or price.

6. The method of claim 4, wherein the peer group is defined either (1) statically based on at least one of industry sector, exchange, and market capitalization or (2) dynamically based on current data related to the peer group.

7. The method of claim 4, wherein the graphical indicator reflects a position of the value for the first variable within a distribution of the values of the variable for the peer group.

8. The method of claim 1, further comprising:

automatically executing a trade based on determining that the difference between the current value for the first variable and the estimated value exceeds a preselected threshold for abnormality.

9. The method of claim 1, wherein the graphical indicator includes at least one of:

a numerical value related to a degree of abnormality, a number of symbols related to the degree of abnormality, a color related to the degree of abnormality, and a color-coded numerical value related to the degree of abnormality.

10. The method of claim 1, further comprising:

displaying on a single row of the user interface, a stock symbol for the security, the value for the first variable, and the graphical indicator of abnormality; and

displaying, on each other row of the user interface, information for a respective other security, including the stock symbol of the other security and a value of the first metric for the other security.

11. A client system for displaying abnormal trading conditions for a security on a graphical user interface, the client system comprising:

a data request component for sending requests to a server for market data;

a data receiving component for receiving the market data, wherein the market data includes;

a current value for a first variable for a security; and

an indication that the current value for the first variable is abnormally different from a value estimated for the first variable based on historical market data when a difference between the current value and the estimated value exceeds a preselected threshold for abnormality; and

a display device configured to dynamically display, in real-time, the market data, wherein the displayed market data includes;

an indication of the security, an indication of the current value for a first variable, and when it is determined that the current value of the first variable is abnormal, a graphical indicator reflecting that the value for the first variable of the security is abnormal and a magnitude of the abnormality.

12. The client system of claim 11, wherein the abnormality is based on at least one of:

current trade price, current trading volume, current-ask spread, or current depth.

13. The client system of claim 11, wherein the graphical indicator reflects that the current value of the first variable of the security is abnormal with respect to the values of the variable for a peer group of securities.

14. The client system of claim 11, wherein the peer group of securities corresponds to a group of securities having similar trading characteristics to the security, wherein the trading characteristics include at least one of:

volume, volatility, or price.

15. The client system of claim 11, wherein the peer group is defined either (1) statically based on at least one of industry sector, exchange, and market capitalization or (2) dynamically based on current data related to the peer group.

16. The client system of claim 14, wherein the graphical indicator reflects a position of the value for the first variable within a distribution of the values of the variable for the peer group.

17. The client system of claim 11, wherein the client system is configured to:

automatically submit a trade request based on receiving the indication that the difference between the current value for the first variable and the estimated value exceeds a preselected threshold for abnormality.

18. The client system of claim 11, wherein the graphical indicator includes at least one of:

a numerical value related to a degree of abnormality, a number of symbols related to the degree of abnormality, a color related to the degree of abnormality, and a color-coded numerical value related to the degree of abnormality.

19. The client system of claim 11, wherein the displayed market data further includes:

a historical moving average of values for the first variable with respect to a peer group of securities.

20. The client system of claim 11, wherein the indication of the security, indication of the current value, and the graphical indicator of abnormality are displayed in a row of a table, wherein the row comprises a respective analogous entry for each of a plurality of other securities.