Method, system and machine readable program for mitigating effects of spikes in financial data

A computer-implemented method of adjusting the scale resolution of a displayed set of data values of a chart associated with a financial instrument displayed in a graphical user interface (GUI), the method comprising:

• monitoring the displayed chart to detect a rescale condition, said chart including data points representing variations in the set of data values, wherein detecting the rescale condition includes detecting a spike in the set of data values that causes the chart's scale resolution to decrease such that, due to the decreased scale resolution, the variations in the set of values for the financial instrument are graphically compressed;
• determining that the spike is an anomaly;
• removing the spike from the set of data values based on the spike being an anomaly;
• automatically rescaling the chart with the spike removed such that the scale resolution of the chart is increased;
• and
• displaying the rescaled chart on the GUI with the increased scale resolution such that the variations in the set of values for the financial instrument are graphically expanded due to the increased scale resolution, wherein the determining that the spike is an anomaly is determined by:
• a) identifying a time interval associated with the financial instrument, the financial instrument having a first set of data related thereto;
• and
• b) based upon the first set of data, analyzing whether the time interval includes the spike.

A computer system operable to adjust the scale resolution of a displayed set of data values of a chart associated with a financial instrument for display comprising:

• a hardware processor that executes one or more processes;
• a graphical user interface (GUI) operatively connected to the hardware processor;
• and
• a computer readable non-transitory memory operatively connected to the hardware processor and storing a process, the process, when executed by the hardware processor, causes the hardware processor to:
• monitor the displayed chart to detect a rescale condition, said chart including data points representing variations in the set of data values, wherein detecting the rescale condition includes detecting a spike in the set of data values that causes the chart's scale resolution to decrease such that, due to the decreased scale resolution, the variations in the set of values for the financial instrument are graphically compressed;
• determine that the spike is an anomaly;
• remove the spike from the set of data values;
• automatically rescale the chart with the spike removed such that the scale resolution of the chart is increased;
• and
• display the rescaled chart on the GUI with the increased scale resolution such that the variations in the set of values for the financial instrument are graphically expanded due to the increased scale resolution, wherein the hardware processor performs the following steps to determine that the spike is an anomaly:
• a) identify a time interval associated with the financial instrument, the financial instrument having a first set of data associated therewith including a plurality of values relating to the financial instrument during the time interval;
• and,
• b) analyze whether the time interval includes the spike using a confidence value “C” based upon a mean “m” and standard deviation “s” of the plurality of data points of the first set of data and a user selected multiplier “A”, wherein C=m+(A*s).

A computer-implemented method for analyzing financial data generated in an exchange, wherein the exchange is in communication with a client/server network, the client/server network including a client computer having a hardware processor, computer readable non-transitory memory operatively connected to the hardware processor and storing a program, and a graphical user display (GUI) operatively connected to the hardware processor, wherein the program, when executed by the hardware processor, causes the hardware processor to perform the method comprising the steps of:

• adjusting the scale resolution of a displayed set of data values of a chart chart associated with a financial instrument displayed in a graphical user interface, the method comprising:
• monitoring the displayed chart to detect a rescale condition, said chart including data points representing variations in the set of data values, wherein detecting the rescale condition includes detecting a spike in the set of data values that causes the chart's scale resolution to decrease such that, due to the decreased scale resolution, the variations in the set of values for the financial instrument are graphically compressed;
• determining that the spike is an anomaly;
• removing the spike from the set of data values;
• automatically rescaling the chart with the spike removed such that the scale resolution of the chart is increased;
• and
• displaying the rescaled chart on the graphical user interface with the increased scale resolution such that the variations in the set of values for the financial instrument are graphically expanded due to the increased scale resolution, wherein the determining that the spike is an anomaly is determined by:
• a) receiving a first set of data related to the financial instrument on the exchange, the first set of data being within a time interval and including:
• (i) a high value for the financial instrument during the time interval;
• (ii) a low value for the financial instrument during the time interval;
• (iii) an opening value for the financial instrument during the time interval;
• and (iv) a closing value for the financial instrument during the time interval,
• b) detecting a spike in the time interval using a confidence value based upon the first set of data, and
• c) removing the spike from the first set of data based upon a confidence value C that the spike is an aberrant fluctuation, the confidence value “C” being equal to a mean “m” plus the product of a user selected multiplier “A” times a standard deviation “s” of the first set of data.