# US 2017/0287069 A1 · Evaluation of order execution quality > Agents: this data is available as JSON from the patentgrep API and MCP server — see https://patentgrep.com/llms.txt - Number: US 2017/0287069 A1 - Document ID: US20170287069A1 - Status: Published application - Kind: A1 - Application number: 15/473,968 - Filed: 2017-03-30 - Published: 2017-10-05 - Earliest claimed: 2016-04-04 - Assignees: Fidessa PLC - Applicants: Fidessa PLC - Inventors: Bruce Bland; Daniel Nicholass; Oleh Danyliv; Christian Voigt - Web page: https://patentgrep.com/patent/US20170287069A1 ## CPC - G06Q 40/04: Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange - G06Q 10/06395: {Quality analysis or management} - G06Q 40/06: Asset management; Financial planning or analysis - G06Q: INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR ## Abstract The present disclosure generally provides techniques for analyzing and displaying the order execution quality of market instruments traded during a relevant period, or lifetime, of the order. The utilization of quote information in calculating a normalization factor allows for comparisons across instruments, orders, and days for instruments with a publically available price irrespective of executed volume. A calculated Z score illustrates the quality of an order execution for a specific traded time as compared to all possible random executions. Moreover, the techniques disclosed herein allow for the comparison of execution quality across market instruments, orders sizes, and other variables via a graphical user interface and other data visualization tools, and can encapsulate evaluation methods using other adjusted Z score thresholds and/or alternatively take into account desirable volume weighting when calculating the standard deviation. ## Claims ### Claim 1 A computer system for evaluating the quality of order execution during a relevant period, comprising: a processor; and a memory storing instructions that, when executed by the processor, cause the computer system to: receive and aggregate market information for one or more market instruments on one or more exchanges; generate a time-series of quotes for the relevant time period; determine a standard deviation of a price of the market instrument during an order execution based on the time-series of quotes; determine an expected standard deviation of a price of the order execution traded using N trades; and determine a normalized benchmark for assessing a quality of the order execution utilizing the standard deviation of the price of the market instrument, wherein the normalized benchmark is an adjusted Z score for the trade. ### Claim 2 (depends on 1) The computer system of claim 1, wherein the market information is real time market information, historic market information, or a combination of real time and historic market information. ### Claim 3 (depends on 1) The computer system of claim 1, wherein the market information includes bid, ask, or midpoint price quotes of one or more market instruments during the relevant period. ### Claim 4 (depends on 1) The computer system of claim 1, wherein the market information includes market trade information. ### Claim 5 (depends on 1) The computer system of claim 1, wherein the standard deviation is a time weighted standard deviation determined using time weighted quote information. ### Claim 6 (depends on 5) The computer system of claim 5, wherein the time weighted standard deviation is determined based on at least one of a highest bid, a lowest ask, or a mid-price. ### Claim 7 (depends on 1) The computer system of claim 1, wherein the adjusted Z score is determined based on at least one of an interval time weighted average price, an interval volume weighted average price, an arrival price, a price of an execution, and an average spread. ### Claim 8 (depends on 1) The computer system of claim 1, further comprising a graphical user interface configured to display the adjusted Z score. ### Claim 9 (depends on 8) The computer system of claim 8, wherein the adjusted Z score is displayed as a text overlay or as a plot. ### Claim 10 (depends on 1) The computer system of claim 1, wherein the relevant time period ranges from order placement to order execution or order cancellation. ### Claim 11 (depends on 1) The computer system of claim 1, wherein the standard deviation is calculated from between order placement to order execution or order cancellation. ### Claim 12 A non-transitory computer-readable medium storing instructions that, when executed by a processor, cause a computer system to evaluate the quality of order execution during a relevant period, by performing the steps of: receiving and aggregating market information for one or more market instruments on one or more exchanges; generating a time-series of quotes for the relevant time period; determining a standard deviation of a price of the market instrument during an order execution based on the time-series of quotes; determining an expected standard deviation of a price of the order execution traded using N trades; and determining a normalized benchmark for assessing a quality of the order execution utilizing the standard deviation of the price of the market instrument, wherein the normalized benchmark is an adjusted Z score for the trade. ### Claim 13 (depends on 12) The non-transitory computer-readable medium of claim 12, wherein the adjusted Z score is determined based on at least one of an interval time weighted average price, an interval volume weighted average price, an arrival price, a price of an execution, and an average spread. ### Claim 14 A method for evaluating the quality of an executed order during a relevant period, comprising: receiving an order for a market instrument via an order entry interface, rendered via a graphical user interface; displaying order parameters that define orders to be executed on one or more exchanges; receiving and aggregating market information for the market instrument; generating and displaying a time-series of quotes for the relevant period; calculating an adjusted Z score; and displaying the adjusted Z score via the graphical user interface either as a text overlay to other market instrument charting or visualization tools or as a standalone graphical display. ### Claim 15 (depends on 14) The method of claim 14, further comprising generating and displaying a performance indicator. ### Claim 16 (depends on 14) The method claim 14, further comprising ranking the adjusted Z score values from more than one order. ### Claim 17 (depends on 14) The method claim 14, further comprising transforming the adjusted Z score into a price, wherein the price is utilized to evaluate the performance of a corresponding executed trade. ### Claim 18 (depends on 14) The method of claim 14, wherein the order parameters include one of market instrument, exchange, relevant period, order size, or order type. ### Claim 19 (depends on 14) The method of claim 14, wherein the market information includes price quotes of the market instrument during the relevant period, or lifetime of the order, and wherein the quote information includes one of a bid, an ask, and a midpoint price quote. ### Claim 20 (depends on 14) The method of claim 14, wherein the adjusted Z score is calculated using a standard deviation of quotes for the market instrument and a N number of random executions.