WO2016124975A1 - System and method for analysing trade information - Google Patents

Abstract

The present invention relates to systems and methods for analysing and displaying trade information that allows online and real-time trading in easily configurable manner. The present invention includes a system for analysing trade data. The system comprises a market data source configured to provide publicly available order data; an order database configured to store order data received from one or more market data sources and to store historical data of the market, said order database is in communication with market data source; an order data processing server configured to process received data and to provide said data to a data display unit, said order data processing unit is in communication with the order database; and a data display unit in communication with the order data processing unit and said unit is configured to display data in predetermined manner.

Description

SYSTEM AND METHOD FOR ANALYSING TRADE INFORMATION

Technical Field The present invention relates to systems and methods for analysing and displaying trade information that allows online and real-ti me trading in easi ly configurable manner.

Background Some systems and methods for treading are known from prior art. US Patent Application No. US 2007/0005481 describes a real time graphical user interface for on-line trading. The system displays at least one stock and other equity type information for trade related actions by user with an electronic exchange. US Patent Application No. US 2012/0005060 describes a system and method for configuring trade order parameters to associate with one or more trade orders, where the trade orders may^¬ be submitted to one or more electronic exchanges.

US Patent Application No. US 2002/0099422 provides a method and system for reducing the time it takes for a trader to place a trade when electronically trading on an exchange, thus increasing the likelihood that the trader will have orders filled at desirable prices and quantities.

US Patent Application No. US 2004/0153393 provides a system and method for displaying a plurality of profit and risk related indicators are described. A graphical interface displays and dynamically updates a plurality of profit/loss (P L) indicators including a realized, net, and open indicator.

US Patent Application No. US 2003/0004853 provides an interactive graphical front end system for use in trading securities provides a GUI display where buy and sell orders at specific prices for any selected security at any instant in time are displayed, and where the data is displayed for more than one market trading participant. US Patent Application No. US 2002/0120551 describes a computer with at least one screen that has both input and output capabilities, graphical software controllable by input to the computer that follows and plots the movement of financial information, and trading software controllable by the computer.

U.S. Patent Nos. 6,772, 132 and 6,766,304 provide a method and system for reducing the time it takes for a trader to place a trade when electronically trading on an exchange, thus increasing the likelihood that the trader will have orders filled at desirable prices and quantities.

U.S. Patent No. 5,297,031 provides broker workstation for managing orders in a market for trading commodities, securities, securities options, futures contracts and futures options and other items. United States Patent Application Publication No. US 2004/0103054 provides a trading screen that may display price and quantity information for price levels in a static axis of prices.

US Patent Application No. US 2003/0065608 provides 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.

US Patent Application No. US 2003/0004852 provides an electronic spread trading tool to be used when buying and selling comparable commodities either simultaneously or in conjunction with one another. US Patent Application No. US 2002/0184237 provides a system for distributing data describing trading activity occurring on a plurality of different Electronic Communications Networks, each of which receives buy and sell orders from stock traders and each of which performs equity sales transactions based on the received orders. US Patent Application No. US 2002/0178105 describes system and methods are provided to facilitate a display of investment information associated with a plurality of share prices.

United US Application No. US 2002/0073017 provides a method and system of presenting data and analysis for use in stock market trading. US Patent Application No. US 2002/0055899 provides system and method for displaying and organizing highly complex and voluminous financial information pertaining to stock market trading activity on a computer display terminal in a manner that permits an individual to easily monitor and assimilate the information.

U.S. Patent No. 6,134,535 provides an improvement in computer automated stock exchange trading whereby a graphic user interface with a mouse and display is used to select parameters such as share symbol, price selection, order size, and transaction type, as well as other indicators to launch a trading order to the order entry system of a stock exchange computer.

US Patent Application No. US 2002/0023038 provides an auction system and method is disclosed which displays a graphical representation of a buy bid, ask bid and a series of incremental bids therebetween along a scale. US Patent Application No. US 2002/0138401 provides a securities transaction, such as a buy or sell order is transmitted to a securities exchange with an indicator requesting automatic execution.

U.S. Patent No. 4,750, 135 describes local subscriber that defines its own filter sets and/or local templates, which are used to create new updateable local trading instrument displayable data records from a common remotely transmitted data stream of trading instrument data records, which are user created reconstituted data records different from the transmitted trading instrument data records.

U.S. Patent No. 5,270,922 describes a data processing and communication system distributes and displays financial market ticker, quotation, news and ancillary information via a plurality of stored program controlled work stations.

U.S. Patent No. 5,689,65 provides a system for processing and displaying financial market, data corresponding to user selected primary and secondary symbols having a programmable computer with a display.

U.S. Patent No. 5,924,083 provides a distributed electronic trading system for displaying a real-time filtered view of at least one market in which financial instalments are traded. The market view includes a predetermined number of orders currently available to a viewing trading entity based upon one or more credit limits entered by the viewing trading entities and/or other trading entities in the system.

U.S. Patent No. 5,946,667 describes data processing system and method is disclosed for implementing and control of a financial debt instrument, which is issued for a limited period of time and is traded as a listed security.

U.S. Patent No. 6,012,046 and U.S. Pat. No. 6,098,051 describe crossing network thai matches buy and sell orders based upon a satisfaction and quantity profile is disclosed. The crossing network includes a number of trader terminals that can be used for entering orders.

U.S. Patent No. 6, 195,647 describes a data processing system is disclosed which provides an interface with a securities exchange system over which securities are traded. U.S. Patent No. 6,272,474 provides a method for providing stock information to traders. Stock information is received that includes bid offers, ask offers, the size of the bid offers and the size of the ask offers and the identity of the market makers making each offer.

Summary of the invention

The subject of invention refers to system and method for analysing trade data and displaying on a graphical user interface.

A system for analysing trade data comprising multiple interconnected units: a market data source, an order database; an order data processing server and a data display unit.

The market data source configured to provide publicly available order data. The market data source can be CME, CBOT, EUREX, MICEX and similar sources. The order database configured to store order data received from one or more market data sources and to store historical data of the market. The order database is in communication with the market data source. The database stores historical data and processes inquiries like history of charts, transactions, etc., from clients of the system. The order is request to buy or sell sent by investors to brokers and/or market makers at an exchange. The order data processing server configured to process received data and to provide said data to a data display unit, said order data processing unit is in communication with the order database.

In one embodiment the order database and order data processing server can be a single unit.

The data display unit in is communication with the order data processing unit and said data display unit is configured to display data in predetermined manner. The data display unit can further comprise the following data display subunits: a chart subunit; a smart tape subunit; a tick cluster subunit; a spread tape subunit; an all price subunit; a depth of market (DOM) subunit; a trading DOM subunit; a spread charts subunit; and other subunits configured to display a data in a user predetermined manner. A Depth of Market (DOM) is a measure of the number of open buy and sell orders for a security or currency at different prices. The depth of market measure provides an indication of the liquidity and depth for that security or currency. The higher the number of buy and sell orders at each price, the higher the depth of the market. Depth of market data is also known as the order book, since it shows pending orders for a security or currency. This data is available from most exchanges for a fee. The chart subunit configured to output market data, especially orders, in user predetermined manner. The smart tape subunit configured to display order data that are filtered in predetermined manner by a system user. The tick cluster subunit configured to display order data in the form of cluster that are filtered in predetermined manner by a system user. The spread tape subunit configured to display volumes available for each value of a spread. The all price subunit configured to display of volumes by prices of orders; The DOM subunit configured to highlight big orders, to register Iceberg orders and to display spoofing algorithms of a market. The trading DOM subunit configured to execute user orders. The spread charts subunit configured to execute user orders displayed in the form of chart. Additionally subject of invention relates to a method for analysing trade data using previously described system. The method comprises the following steps: collecting market data, providing said market data to order data processing server, and graphically displaying and updating said processed data. Market data received from a market data source are collected in an order database. Said market data are provided to order data processing server for processing said data according to user defined manner. Later said processed data are graphically displayed in a data display unit and subsequently updated according to the system configuration. The data display unit is configurable by said user including: graphically displaying and updating a chart subunit having output market data, especially orders, in user predetermined manner; graphically displaying and updating a smart tape subunit having order data that are filtered in predetermined manner by a user; graphically displaying and updating a tick cluster subunit having order data in the form of cluster that are filtered in predetermined manner by a user; graphically displaying and updating a spread tape subunit having volumes available for each value of a spread; graphically displaying and updating an all price subunit having volumes by prices of orders; graphically displaying and updating a depth of market (DOM) subunit highlighting big orders, registering Iceberg orders and displaying spoofing algorithms of a market; graphically displaying and updating a trading DOM subunit having executed or to be executed user orders; and graphically displaying and updating a spread charts subunit having executed or top be executed user orders in the form of chart.

Brief description of the drawings The following disclosure will be better understood by a person skilled in the art when read in conjunction with the figures, which show various example embodiments. The figures are for the purpose of illustrating example system and method, but it is understood that the various inventions, described herein, are not limited to the arrangements and instrumentality shown in the figures.

Fig. 1 is a block diagram that illustrates a system for analysing trade information.

Fig. 2 is a computer screen shot showing an overview of the graphical user interface for the spread tape,

Fig. 3 is a computer screen shot showing an overview of the graphical user interface for the all price;

Fig. 4 is a computer screen shot showing an overview of the graphical user interface for the subject invention illustrating Depth of Market (DOM) in user defined manner;

Fig. 5 is a computer screen shot showing an overview of the graphical user interface for the trading DOM; Fig. 6 is a computer screen shot showing an overview of the graphical user interface for the orders;

Fig. 7 is a computer screen shot showing an overview of the graphical user interface for the trader chart;

Fig. 8 is a computer screen shot showing an overview of the graphical user interface for trading from the chart;

Fig. 9 is a computer screen shot showing an overview of the graphical user interface for trading from the chart. A system for analysing trade data and displaying thereof (see Fig. 1) comprising a market data source configured to provide publicly available order data. Market data source can be CME, CBOT, EUREX, MICEX, etc. Market data source is connected to order database configured to store order data received from one or more market data sources and to store historical data of the market. System further comprises order data processing server configured to process received data and to provide said data to a data display unit. The order data processing unit is in communication with the order database. System further comprises a data display unit that is in communication with the order data processing unit. The data display unit is configured to display data in predetermined manner as a graphical user interface. The data display unit comprises multiple data display subunits that can be additionally configured by the user. The data display unit can comprise a chart subunit, a smart tape subunit, a tick cluster subunit, a spread tape subunit, an all price subunit, a DOM subunit, spread chart subunit and/or trading DOM subunit. All subunits are configured to display order data in a user-determined manner.

Spread tape subunit displays volumes available for each value of a spread (see Fig. 2). Values of the columns from left to right (see Fig. 2) are as follows: 1) Time - time of the corresponding spread; 2) Bid - price where Bid was located; 3) Bid Trades Size - volume traded at the Bid side (i.e. market sales); 4) Between Trades Size— volume traded inside the spread (between Bid and Ask); 5) Ask Trades Size - volume traded at the Ask side (i.e. market purchases); 6) Ask— price where Ask was located; and 7) Delta - total delta for all data available in the counter. Data in each of columns can be coloured, for example in red and green colour, to allow easier recognition of market data status.

In Fig. 3 is illustrated an all price display subunit. It displays distribution of volumes by prices. It allows levels with maximal volumes, trades, bids, asks and deltas to be found for a randomly selected period. Such levels, as a rule, are good supports and resistances. This subunit allows to configure market data under pre-set intervals (current day, week, month, contract, etc.). Data in the columns can be sorted by clicking on them. The DOM display subunit (see Fig. 4) is configured as a graphical user interface for displaying Depth of Market (DOM) in user defined manner. An innovative stock DOM allowing analysis of the activity of high-frequency algorithms (HFT). It allows to analyse the following: highlight big orders, register Iceberg orders (do not display), and/or display spoofing algorithms. Example of a spoofing algorithm: an order is presented to DOM for 9/10 seconds, deleted for 1/10 seconds and then presented again. Such changes are hard for a human eye to recognise and therefore an impression of a big order on a certain level is created. An iceberg order is a large single order that has been divided into smaller lots, usually through the use of an automated program, for the purpose of hiding the actual order quantity. "Spoofing" is a practice in which traders place orders to give an artificial impression of an intention to buy or sell shares.

In Fig. 4 is illustrated a graphical user interface - a window - that includes the following columns: DND column- do not display or iceberg order. For example, we have figure 32 in the DND column. It means that during the entire period while this DOM is open 32 lots were bought or sold (depending on the column location) at this price with the help of iceberg orders. If we see, for example, the figure 19/39 in this column, it means that during the entire period of this DOM being launched 39 transactions were concluded at this price with the help of iceberg orders, of which 19 were concluded recently (while this price was seen in DOM). If later this price becomes invisible in DOM, then just figure 39 will remain on this level. The volume of iceberg orders can be filtered with the help of the DND Order Filter parameter. Window (Fig. 5) also includes SPO column - displaying spoofing orders or orders used for depicting an incorrect balance between buyers and sellers in DOM. For example, an entry (56-132X)-1000 is seen in the SPO column. It means that orders with a volume exceeding the Spoofing Vol Filter parameter at this price were presented and withdrawn 132 times, of which 56 were performed recently (while this price was seen in DOM). If later this price becomes invisible in DOM, there will be (0-132X)-1000 on this level. -1000 means that the last operation on this level was the withdrawal of an order with the size of 1000 lots. If the figure is positive, it means that the last operation was the placement of an order. The volume of orders and the number of operations can be regulated by Spoofing Vol Filter and the Spoofing Count Filter parameters. The window (Fig. 5) furher includes Bid and Ask columns where the current Bid and Ask orders are located. The amount of all orders in each column is provided below. The Volume Filter parameter highlights orders with a volume exceeding the set one. Values in brackets after the best bid or the best ask prices show the cumulative volume accumulated in this spread. If the current bid or ask changes, the values in the brackets will return to zero.

Trading DOM display subunit (Fig. 5) displays the following information: Name of the window and the selected trade tool 1; Names of the columns 2: BUY column— displays total Bid orders, PRICE column— price scale, and SELL column - displays total Ask orders; Active Stop orders 3; Cancel the pending order 4; Total amount of pending orders for this price level, in contracts 5; Active Limit orders 6; Buy Market Button 7; Reverse button 8 (reverse of an open position in the opposite direction at the market price); Cancel all pending Bid orders 9; Average price of the position 10; Last— price of the last transaction 11 (figure in brackets gives the size of the last print); PnL 12— result of an open position (Three display modes are possible: in points, percentage and cash equivalent. Switched by the left- click); Sell Market Button 13; Button Close all Positions and Pending Orders 14; Cancel all pending Ask orders 15; and Size of an open position 16. The sign and colour of the background displays a trend of an open position. If there are no open positions for this tool, the FLAT value is displayed. A trade order can be sent by one click on the selected price. Left-click is responsible for sending Limit Orders and right-click is responsible for sending Stop Orders. To send a pending Bid order, click as required in the left column BUY. To send a pending Ask order, click as required in the left column SELL. If the Buy Limit is set at above the market price or the Sell Limit is set at below the market price, they will act as market orders at the BestAsk price or the BestBid price correspondingly. This is done specially for the fast and convenient sending of market orders right from Trading DOM.

Additional panels - Orders, Settings, OCO Settings are located in the bottom part of the Trading DOM window. For opening/closing of each panel, click on its name or the designated button. The orders panel is responsible for sending trade orders (Fig. 6). On said panel the following information is displayed: BUY MARKET/SELL MARKET — market purchase/sale; BUY BID/SELL BID— set buy/sell limit at BestBid; BUY ASK/SELL ASK — set buy/sell limit at BestAsk; Type— selection from the list of pending order types; Limit/Stop— setting the limit/stop of the price; and Send Order— sending of a pending order. Said panel further comprises Settings panel for setting section of trade and visualization of data. It has the following settings: Symbol— ticker of the current tool; Qty— volume of opened positions; Account— current account; and TIF— time to the expiration of orders (DAY - until the end of the trade session, GTC - until manual cancellation). OCO Settings - a group for the OCO (one cancel other) orders. If one and the same OCO Group is set for several orders and one of the orders is performed or cancelled, all other orders of this group are automatically cancelled following this. Said panel include additional settings like One- click mode - one-click trade mode (activating or deactivating the confirmation of sending orders), and Stop mode as StopLimit - the option for selecting a mode of setting Stop orders. If a tick is put, the Stop orders sent from the chart have the StopLimit type. When the mode is activated, it is also required to set sliding (in ticks) for the StopLimit orders. Visual and colour settings of the Trading DOM will allow the customer-tailored look to be set.

Chart trader display subunit displays order control buttons and section of settings (Fig. 7). Chart trader display comprises the following order control buttons: BUY/SELL MARKET - market purchase/sale; BUY/SELL ASK - set a buy/sell limit at BestAsk; BUY/SELL BID - set a buy/sell limit at BestBid; Cancel Bids/Asks - delete pending buy/sell limits; Cancel All — delete all pending orders; Reverse— reverse the current position; and Close - close the current position and delete all pending orders. Section of settings (Fig. 7) comprises the following options: Account— current account; Qty— volume of opened positions; TIF— time to the expiration of orders (DAY - the current day, GTC - until cancellation); OCO GROUP - a group for the OCO (one cancel other) orders; One-click mode - one-click trade mode (activating or deactivating a confirmation of sending orders); and Stop as StopLimit - the option for selecting a mode of setting Stop orders. If one and the same OCO Group is set for several orders and one of the orders is performed or cancelled, all other orders of this group are automatically cancelled following this. If a tick is put, the Stop orders sent from the chart have the StopLimit type. When the mode is activated, it is also required to set sliding (in ticks) for the StopLimit orders A graphical user interface of a spread charts subunit (Fig. 8 and Fig. 9) has section of trading control from the chart. When this mode is activated, limit and stop orders can be set on the chart by left- or right-clicks. The system is configured to activate this mode by pressing the spacebar. The trade panel is opened by clicking on Chart Trader in the menu (this button is only seen for the current activation: Rithmic). When the mouse cursor is below BestBid, the Buy Limit order is set with the left-click. The Sell Stop order is presented with the right-click. When the mouse cursor is above BestAsk, the Sell Limit order is set at the left-click. The Buy Stop order is presented with the right-click. Every order and position has its closure button (a cross). To modify an order, highlight it and move it to a new location.

One or more of the units/sub units of the system discussed above may be implemented alone or in combination in various forms in hardware, firmware, and/or as a set of instructions in software, for example. Certain embodiments may be provided as a set of instructions residing on a computer-readable medium, such as a memory, hard disk, CD-ROM, DVD, and/or EPROM, for execution on a general purpose computer or other processing device.

Certain embodiments of the present invention may omit one or more of these units/subunits and/or perform the steps in said units/subunits in a different order than the order listed. For example, some steps may not be performed in certain embodiments of the present invention. As a further example, certain steps may be performed in a different temporal order, including simultaneously, than listed above.

While the inventions have been described with reference to certain embodiments, it will be understood by those skilled in the art that various changes may be made and equivalents may^¬ be substituted without departing from the scope of the invention. In addition, many modifications may be made to adapt a particular situation or material to the teachings of the invention without departing from the spirit or scope of the present inventions. Therefore, it is intended that the inventions not be limited to the particular embodiments disclosed herein.

Claims

1. A system for analysing trade data comprising:

- a market data source configured to provide publicly available order data;

- an order database configured to store order data received from one or more market data sources and to store historical data of the market, said order database is in communication with market data source;

- an order data processing server configured to process received data and to provide said data to a data display unit, said order data processing unit is in communication with the order database;

- a data display unit in communication with the order data processing unit and said unit is configured to display data in predetermined manner, wherein the data display unit comprises the following data display subunits:

- a chart subunit configured to output market data, especially orders, in user predetermined manner;

- a smart tape subunit configured to display order data that are filtered in predetermined manner by a system user;

- a tick cluster subunit configured to display order data in the form of cluster that are filtered in predetermined manner by a system user;

- a spread tape subunit configured to display volumes available for each value of a spread;

- an all price subunit configured to display of volumes by prices of orders;

- a depth of market (DOM) subunit configured to highlight big orders, to register Iceberg orders and to display spoofing algorithms of a market;

- trading DOM subunit configured to execute user orders;

- a spread charts subunit configured to execute user orders displayed in the form of chart.

2. A method for analysing trade data using said system according to Claim 1, wherein said method comprising:

- collecting market data received from a market data source in an order database, - providing said data to order data processing server for processing said data according to user defined manner,

- graphically displaying and updating said processed data in a data display unit, wherein said data display unit is configurable by said user including:

- graphically displaying and updating a chart subunit having output market data, especially orders, in user predetermined manner;

- graphically displaying and updating a smart tape subunit having order data that are filtered in predetermined manner by a user;

- graphically displaying and updating a tick cluster subunit having order data in the form of cluster that are filtered in predetermined manner by a user;

- graphically displaying and updating a spread tape subunit having volumes available for each value of a spread;

- graphically displaying and updating an all price subunit having volumes by prices of orders;

- graphically displaying and updating a depth of market (DOM) subunit highlighting big orders, registering Iceberg orders and displaying spoofing algorithms of a market;

- graphically displaying and updating a trading DOM subunit having executed or to be executed user orders;

- graphically displaying and updating a spread charts subunit having executed or top be executed user orders in the form of chart.