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US 2003/0069834 A1Published application
Securities market and market maker activity tracking system and method
OwnerStephen Cutlerinventor
Life of this patent
Estimating the term…
Abstract
A method, system and computer program to monitor securities market activity to seek out imbalances in market activity that could lead to a price change in a particular security. Level 1 and/or level 2 data is analyzed to track the activity of market makers and to derive indicators of momentary upward or downward price pressure. The indicators associated with each selected security are displayed to a user.
Claims66
A method of tracking a plurality of symbols relating to securities traded on at least one common exchange, comprising:
- receiving a dynamically updated data stream containing level 1 data relating to the plurality of symbols traded over the at least one exchange, the level 1 data including at least the last trade price of each symbol;
- and
- analyzing the data stream for a set of symbols to derive a statistic indicative of temporary upward or downward price pressure, the statistic derived for each symbol from the set of symbols and updated based on the updated data stream, wherein deriving the statistic includes counting the number of times each symbol achieves a new intra-session high and counting the number of times each symbol achieves a new intra-session low.
A method of tracking a plurality of symbols relating to securities traded on at least one common exchange, comprising:
- receiving a dynamically updated data stream containing level 1 data relating to the plurality of symbols traded over the at least one exchange, the level 1 data including at least the last trade price of each symbol;
- and
- analyzing the data stream for a set of symbols to derive a statistic indicative of temporary upward or downward price pressure, the statistic derived for each symbol from the set of symbols and updated based on the updated data stream, wherein deriving the statistic includes determining a relationship between each trade price and at least one of an intra-session high and an intra-session low, the relationship indicative of how close the last trade value is to at least one of the intra-session high and the intra-session low.
A method of tracking activity of a plurality of market makers relating to securities traded on at least one common exchange where the market makers place bids and asks, comprising:
- receiving a dynamically updated data stream containing level 1 and level 2 data relating to a plurality of securities traded over the at least one exchange, the level 1 data including at least the last trade price of each security and the level 2 data containing a bid price, a bid time, a bid volume, a security identifier, and a market maker identifier for each bid, and an ask price, an ask volume, an ask time, a security identifier and a market maker identifier for each ask;
- for a selected security, displaying at least some of the bid prices and associated market maker identifiers on a display in an order according to bid price and displaying at least some of the ask prices and associated market maker identifiers on the display in an order according to ask price;
- and
- for a selected market maker, visually emphasizing at least one of a displayed bid price or a displayed ask price.
1 more element
A method of tracking activity of a market maker relating to securities traded on at least one common exchange where the market maker places bids and asks, comprising:
- receiving a dynamically updated data stream containing level 1 and level 2 data relating to a plurality of securities traded over the at least one exchange, the level 1 data including at least the last trade price of each security and the level 2 data containing a bid price, a bid time, a bid volume, a security identifier, and a market maker identifier for each bid, and an ask price, an ask time, an ask volume, a security identifier and a market maker identifier for each ask;
- identifying each security from a selected set of securities for which the market maker has at least one of an active bid or an active ask;
- displaying a list of the identified securities along with an indication of the market maker's bid price and ask price;
- and
- visually emphasizing any bid price and any ask price for which the market maker has the inside bid and the inside ask respectively.
2 more elements
A method of tracking activity of a plurality of market makers relating to securities traded on at least one common exchange where the market makers place bids and asks, comprising:
- receiving a dynamically updated data stream containing level 1 and level 2 data relating to a plurality of securities traded over the at least one exchange, the level 1 data including at least the last trade price of each security and the level 2 data containing a bid price, a bid time, a bid volume, a security identifier, and a market maker identifier for each bid, and an ask price, an ask time, an ask volume, a security identifier and a market maker identified for each ask;
- selecting a set of securities from the plurality of securities;
- determining for each selected security an indication of at least one of bid volume and ask volume for each market maker;
- displaying the securities and market makers by the indication of at least one of bid volume and ask volume in a table;
- and
- visually emphasizing any displayed indication of bid volume and any displayed indication of ask volume for which the associated market maker respectively has an inside bid price or an inside ask price.
3 more elements
A system for tracking a plurality of symbols relating to securities traded on at least one common exchange, comprising:
- a receiver for receiving a dynamically updated data stream containing level 1 data relating to the plurality of symbols traded over the at least one exchange, the level 1 data including at least the last trade price of each symbol;
- and
- a processor for executing logic to analyze the data stream for a set of symbols to derive a statistic indicative of temporary upward or downward price pressure, the statistic derived for each symbol from the set of symbols and updated based on the updated data stream, wherein deriving the statistic includes counting the number of times each symbol achieves a new intra-session high and counting the number of times each symbol achieves a new intra-session low.
A system of tracking a plurality of symbols relating to securities traded on at least one common exchange, comprising:
- a receiver for receiving a dynamically updated data stream containing level 1 data relating to the plurality of symbols traded over the at least one exchange, the level 1 data including at least the last trade price of each symbol;
- and
- a processor for executing logic to analyze the data stream for a set of symbols to derive a statistic indicative of temporary upward or downward price pressure, the statistic derived for each symbol from the set of symbols and updated based on the updated data stream, wherein deriving the statistic includes determining a relationship between each trade price and at least one of an intra-session high and an intra-session low, the relationship indicative of how close the last trade value is to at least one of the intra-session high and the intra-session low.
A system for tracking activity of a plurality of market makers relating to securities traded on at least one common exchange where the market makers place bids and asks, comprising:
- a receiver for receiving a dynamically updated data stream containing level 1 and level 2 data relating to a plurality of securities traded over the at least one exchange, the level 1 data including at least the last trade price of each security and the level 2 data containing a bid price, a bid time, a bid volume, a security identifier, and a market maker identifier for each bid, and an ask price, an ask volume, an ask time, a security identifier and a market maker identifier for each ask;
- and
- a display for displaying, for a selected security, at least some of the prices and associated market maker identifiers on a display in an order according to bid price and displaying at least some of the ask prices and associated market maker identifiers on the display in an order according to ask price, wherein, for a selected market maker, at least one of a displayed bid price or a displayed ask price is visually emphasized.
A system of tracking activity of a market maker relating to securities traded on at least one common exchange where the market maker places bids and asks, comprising:
- a receiver for receiving a dynamically updated data stream containing level 1 and level 2 data relating to a plurality of securities traded over the at least one exchange, the level 1 data including at least the last trade price of each security and the level 2 data containing a bid price, a bid time, a bid volume, a security identifier, and a market maker identifier for each bid, and an ask price, an ask time, an ask volume, a security identifier and a market maker identifier for each ask;
- a processor for executing logic to identify each security from a selected set of securities for which the market maker has at least one of an active bid or an active ask;
- and
- a display for displaying a list of the identified securities along with an indication of the market maker's bid price and ask price, wherein any bid price and any ask price for which the market maker has the inside bid and the inside ask respectively is visually emphasized.
1 more element
A system of tracking activity of a plurality of market makers relating to securities traded on at least one common exchange where the market makers place bids and asks, comprising:
- a receiver for receiving a dynamically updated data stream containing level 1 and level 2 data relating to a plurality of securities traded over the at least one exchange, the level 1 data including at least the last trade price of each security and the level 2 data containing a bid price, a bid time, a bid volume, a security identifier, and a market maker identifier for each bid, and an ask price, an ask time, an ask volume, a security identifier and a market maker identified for each ask;
- a processor for executing logic to determine, for each security from a set of securities from the plurality of securities, an indication of at least one of bid volume and ask volume for each market maker;
- and
- a display for displaying the securities and market makers by the indication of at least one of bid volume and ask volume in a table, wherein any displayed indication of bid volume and any displayed indication of ask volume for which the associated market maker respectively has an inside bid price or an inside ask price is visually emphasized.
1 more element
Dependencies are inferred from the claim text.