Order execution quality of financial market transactions utilizing an adjusted Z-score benchmark

A non-transitory computer-readable medium storing instructions that, when executed by a processor, cause a computer system communicatively coupled to a graphical display and one or more market exchange platforms via a network to evaluate the quality of at least one order for one or more market instruments during a trading period, by performing the steps of:

• receiving each order for the one or more market instruments during the trading period and associated order parameters, wherein the order parameters define the order for one or more market instruments, via an order entry interface, rendered via a first graphical user interface on the graphical display;
• determining a number of random execution points based on the received order parameters or automatically based on at least the total order size divided by the average trade size in a market where the instrument is being traded, if an order parameter was not entered;
• displaying the received and determined order parameters on the first graphical user interface on the graphical display;
• receiving, over the network, market information for the one or more market instruments via the one or more market exchange platforms, wherein the market information is a combination of the real-time and historic market information and comprises at least price information, bid, ask, or midpoint price quotes of the one or more market instruments, taken at the number of random execution points during the trading period;
• aggregating the received market information for the one or more market instruments;
• generating and displaying a dynamic time-series of quotes for the trading period in a time-series graph on a second graphical display, wherein the time series graph illustrates a real-time midpoint quote range for one or more market instruments;
• transmitting, over the network, instructions to the one or more market exchange platforms to execute each order;
• determining an adjusted Z score for the one or more market instruments based on the market information collected at the number of random execution points;
• transforming the adjusted Z score into a performance price using a time weighted standard deviation of the market information of the one or more market instruments based on at least one of a highest bid, a lowest ask, or a mid-price;
• determining a quality rating of each order based on the performance price;
• generating and displaying the determined quality ratings along a first axis representing a numerical value and the performance price on a second axis in a third graphical user interface on the graphical display;
• analyzing the quality of each order by at least one of comparing the displayed performance price for the one or more market instruments or the displayed quality rating of each order to the market information for the one or more market instrument;
• compiling each order associated with a low quality-rating that was executed during the trading period wherein the low quality-rating is defined as those with a Z score outside of a user defined range;
• generating and displaying, via a fourth graphical user interface on the graphical display, a compliance report containing at least the adjusted Z score and a realized execution price for only the orders associated with a low quality-rating which were compiled, wherein for each compiled order the compliance report contains a display where the adjusted Z score is plotted along a first axis, price is plotted along a second axis, and upper and lower range limits, based on the time weighted standard deviation, are shown connecting the two axes;
• and
• storing the compiled orders associated with a low quality-rating and their associated plots from the fourth graphical user interface for further compliance analysis.

A method for evaluating the quality of at least one order for one or more market instruments during a trading period on a computer system communicatively coupled to a graphical display and one or more market exchange platforms via a network, the method comprising:

• receiving each order for the one or more market instruments during the trading period and associated order parameters, wherein the order parameters define the order for one or more market instruments, via an order entry interface, rendered via a first graphical user interface on the graphical display;
• determining a number of random execution points based on the received order parameters or as automatically based on at least the total order size divided by the average trade size in a market where the instrument is being traded, if an order parameter was not entered;
• displaying the received and determined order parameters on the first graphical user interface on the graphical display;
• receiving, over the network, market information for the one or more market instruments via the one or more market exchange platforms, wherein the market information is a combination of the real-time and historic market information and comprises at least price information, bid, ask, or midpoint price quotes of the one or more market instruments, taken at the number of random execution points during the trading period;
• aggregating the received market information for the one or more market instruments;
• generating and displaying a dynamic time-series of quotes for the trading period in a time-series graph on a second graphical display, wherein the time series graph illustrates a real-time midpoint quote range for one or more market instruments;
• transmitting, over the network, instructions to the one or more market exchange platforms to execute each order;
• determining an adjusted Z score for the one or more market instruments based on the market information collected at the number of random execution points;
• transforming the adjusted Z score into a performance price using a time weighted standard deviation of the market information of the one or more market instruments based on at least one of a highest bid, a lowest ask, or a mid-price;
• determining a quality rating of each order based on the performance price;
• generating and displaying the quality ratings along a first axis representing a numerical value and the performance price on a second axis in a third graphical user interface on the graphical display;
• analyzing the quality of each order by at least one of comparing the displayed performance price for the one or more market instruments or the displayed quality rating of each order to the market information for the one or more market instruments;
• compiling each order associated with a low quality-rating that was executed during the trading period wherein the low quality-rating is defined as those with a Z score outside of a user defined range;
• generating and displaying, via a fourth graphical user interface on the graphical display, a compliance report containing at least the adjusted Z score and a realized execution price for only the orders associated with a low quality-rating which were compiled, wherein for each compiled order the compliance report contains a display where the adjusted Z score is plotted along a first axis, price is plotted along a second axis, and upper and lower range limits, based on the time weighted standard deviation, are shown connecting the two axes;
• and
• storing the compiled orders associated with a low quality-rating and their associated plots from the fourth graphical user interface for further compliance analysis.