Systems and methods for trading with market depth information

1. A system for displaying market depth information and identifying unusual or aberrational trading patterns, comprising:

a first computing device including one or more processors, configured to:

receive full-order or price aggregated market depth information for a market instrument as input from one or more second computing devices over a network, said market depth information including a plurality of bid and ask order metrics at corresponding prices of the market instrument and associated time information, wherein the bid and ask order metrics include a plurality of bid and ask order volumes;

generate a graphical representation of the market depth information having a first axis corresponding to time and a second axis corresponding to price of the market instrument, the graphical representation being a two-dimensional grid demarked by time intervals along the first axis and price intervals along the second axis, wherein a historical market depth profile of the market instrument is represented along the first axis;

generate a discrete color gradient corresponding to one or more of the plurality of bid and ask order metrics based on at least the market depth information;

align the discrete color gradient corresponding to one or more of the plurality of bid and ask order metrics at corresponding locations within each of the first axis and the second axis intervals of the graphical representation of the market depth information, wherein the color gradient at each location within the two-dimensional grid corresponds to a volume over the corresponding time interval;

compare the two-dimensional grid with one or more predetermined criteria indicative of aberrational order volume at a location within the two-dimensional grid;

change the coloring of locations within the two-dimensional grid corresponding to aberrational order volume;

continuously update the color gradient and axis alignment based on at least the market depth information, and indicate, via the color gradient, a suggested price point for placing an order, wherein the suggested price point for placing an order identifies a price without signaling trade intentions;

display, via a display device coupled with the first computing device, the graphical representation of the market depth information and the aligned color gradient, wherein the graphical representation is displayed onto a plot area and the aligned color gradient is displayed within the graphical representation, and wherein the plot area includes a button configured to accept a first user input corresponding to a desired trade price and a scroll bar configured to accept a second user input corresponding to a zoom action;

determine a visual change in the display of the plot area in response to receipt of a first input within the plot area of the display device;

update the plot area on the display device, wherein the update reflects the change in the display of the plot area;

display an entry dialog on the display device in response to receipt of a second user input via an input device for an order to be placed; and

submit the order at the suggested price point to a stock exchange to execute a trade.

2. The system of claim 1 , wherein the first computing device is further configured to receive market depth information for the market instrument from a plurality of sources.

3. The system of claim 1 , wherein the plurality of bid and ask order metrics include, for each corresponding price, one or more of order volume at the corresponding price, number of orders available at the corresponding price, and consideration of orders available at the corresponding price.

4. The system of claim 1 , wherein the volume over the corresponding time interval includes a volume selected from the group consisting of a volume at the beginning of the time interval, a volume at the end of the time interval, or an average volume over the time interval.

5. The system of claim 1 , wherein the first computing device is further configured to generate color gradients of a first color for bid orders and generate color gradients of a second color for ask orders.

6. The system of claim 1 , wherein the first computing device is configured to compare the grid with one or more predetermined criteria by calculating an expected profile for at least one time interval on the grid, the expected profile including an expected volume for each price interval at the at least one time interval, and comparing the expected volumes with the order volumes at corresponding price intervals.

7. The system of claim 6 , wherein the first computing device is further configured to change the coloring of locations within the grid corresponding to locations where the difference between the expected volume and the order volume are below a predetermined threshold.

8. The system of claim 7 , wherein the computing device is further configured to:

determine the suggested price point at which the aberrational order volume is lower than the expected volume based;

accept user input from an input device, coupled to the computing device, via a click on the grid at a location corresponding to the suggested price point; and

create an order at the suggested price point and a selected order volume.

9. The system of claim 8 , wherein the order created at the suggested price point and selected order volume results in an improved priority queue position.

10. The system of claim 9 , wherein the priority queue is a price-time priority queue.

11. The system of claim 1 , wherein the first computing device is further configured to scroll the grid along the first axis upon a new time interval.

12. The system of claim 1 , further comprising an input device, coupled to the computing device, for accepting an input from a trader, and wherein the computing device is further configured to zoom, scroll, or pan the grid area in response to the input.

13. The system of claim 12 , wherein the first computing device is further configured to accept input from the trader for an order at a selected price and submit said order at said selected price.

14. The system of claim 13 , wherein the first computing device is further configured to generate color gradients of a third color for orders placed into the market by the trader.

15. The system of claim 1 , wherein a size of the price intervals is a tick size of the market instrument.

16. A method for displaying market depth information and identifying unusual or aberrational trading patterns, comprising:

receiving at a first computing device coupled with a display device, full-order or price aggregated market depth information for a market instrument as input from one or more second computing devices over a network, said market depth information including a plurality of bid and ask order metrics at corresponding prices of the market instrument and associated time information, wherein the bid and ask order metrics include a plurality of bid and ask order volumes;

generating a graphical representation of the market depth information having a first axis corresponding to time and a second axis corresponding to price of the market instrument, the graphical representation being a two-dimensional grid demarked by time intervals along the first axis and price intervals along the second axis, wherein a historical market depth profile of the market instrument is represented along the first axis;

generating a discrete color gradient corresponding to one or more of the plurality of bid and ask order metrics based on at least the market depth information;

aligning the discrete color gradient corresponding to one or more of the plurality of bid and ask order metrics at corresponding locations within each of the first axis and the second axis intervals of the graphical representation of the market depth information, wherein the grid is indexed by time interval and price interval, and wherein the color gradient at each location within the grid corresponds to a volume over the corresponding time interval;

comparing, with the first computing device, the grid with one or more predetermined criteria indicative of aberrational order volume at a location within the grid;

changing the coloring of locations within the grid corresponding to aberrational order volume;

continuously updating the color gradient and axis alignment based on at least the market depth information, and indicating, via the color gradient, a suggested price point for placing an order;

displaying, with the display device, the graphical representation of the market depth information and the aligned color gradient, wherein the graphical representation is displayed onto a plot area and the aligned color gradient is displayed within the graphical representation wherein the plot area includes a button configured to accept a first user input corresponding to a desired trade price and a scroll bar configured to accept a second user input corresponding to a zoom action, and wherein the aligned color gradient corresponds to one or more of the plurality of bid and ask order metrics within the graphical representation, wherein the display device facilitates execution of a trade, and wherein the suggested price point identifies a price without signaling trade intentions;

receiving a first input on the display device, via an input device;

determining, in response to the receipt of the first input, a visual change in the plot area;

updating the plot area on the display device to reflect the visual change;

receiving a second input via the input device for an order to be placed at the suggested price point;

displaying an entry dialog on the display device in response to receipt of the second input; and

submitting the order at the suggested price point to a stock exchange in order to execute a trade.

17. The method of claim 16 , wherein receiving market depth information for the market instrument including receiving market depth information from a plurality of sources.

18. The method of claim 16 , wherein the plurality of bid and ask order metrics include, for each corresponding price, one or more of order volume at the corresponding price, number of orders available at the corresponding price, and consideration of orders available at the corresponding price.

19. The method of claim 16 , wherein the volume over the corresponding time interval includes a volume selected from the group consisting of a volume at the beginning of the time interval, a volume at the end of the time interval, or an average volume over the time interval.

20. The method of claim 16 , wherein generating a color gradient corresponding to one or more of the plurality of bid and ask order volumes includes generating color gradients of a first color for bid orders and generate color gradients of a second color for ask orders.

21. The method of claim 16 , wherein comparing the grid with one or more predetermined criteria includes calculating an expected profile for at least one time interval on the grid, the expected profile including an expected volume for each price interval at the at least one time interval, and comparing the expected volumes with the order volumes at corresponding price intervals.

22. The method of claim 21 , wherein changing the coloring of locations within the grid including changing the coloring of locations corresponding to locations where the difference between the expected volume and the order volume are below a predetermined threshold.

23. The method of claim 22 , further comprising:

determining, based on the comparing, the suggested price point at which the aberrational order volume is lower than the expected profile;

accepting user input via a click on the grid at a location corresponding the suggested price point; and

creating an order at the suggested price point and a selected order volume.

24. The method of claim 23 , wherein the order created at the suggested price point and selected order volume results in an improved priority queue position.

25. The method of claim 24 , wherein the priority queue is a price-time priority queue.

26. The method of claim 16 , further comprising scrolling the grid along the first axis upon a new time interval.

27. The method of claim 16 , further comprising accepting, with an input device, an input from a trader, and zooming, scrolling, or panning the grid area in response to the input.

28. The method of claim 27 , further comprising accepting, with the input device, input from the trader for an order at a selected price and submit said order at said selected price.

29. The method of claim 28 , further comprising generating color gradients of a third color for orders placed into the market by the trader.

30. The method of claim 16 , wherein a size of the price intervals is a tick size of the market instrument.

31. A non-transitory computer-readable medium storing instructions that, when executed by a processor, causes a computer system to display market depth information and identify unusual or aberrational trading patterns by performing the steps of:

receiving full-order or price aggregated market depth information for a market instrument as input from one or more second computing device over a network, said market depth information including a plurality of bid and ask order metrics at corresponding prices of the market instrument and associated time information, wherein the bid and ask order metrics include a plurality of bid and ask order volumes;

generating a graphical representation of the market depth information having a first axis corresponding to time and a second axis corresponding to price of the market instrument, the graphical representation being a two-dimensional grid demarked by time intervals along the first axis and price intervals along the second axis, wherein a historical market depth profile of the market instrument is represented along the first axis;

generating a discrete color gradient corresponding to one or more of the plurality of bid and ask order metrics based on at least the market depth information;

aligning the discrete color gradient corresponding to one or more of the plurality of bid and ask order metrics at corresponding locations within each of the first axis and the second axis intervals of the graphical representation of the market depth information, wherein the color gradient at each location within the two-dimensional grid corresponds to a volume over the corresponding time interval;

comparing the two-dimensional grid with one or more predetermined criteria indicative of aberrational order volume at a location within the two-dimensional grid;

changing the coloring of locations within the two-dimensional grid corresponding to aberrational order volume;

continuously updating the color gradient and axis alignment based on at least the market depth information, and indicate, via the color gradient, a suggested price point for placing an order, wherein the suggested price point for placing an order identifies a price without signaling trade intentions;

displaying, via a display device coupled with the first computing device, the graphical representation of the market depth information and the aligned color gradient, wherein the graphical representation is displayed onto a plot area and the aligned color gradient is displayed within the graphical representation, and wherein the plot area includes a button configured to accept a first user input corresponding to a desired trade price and a scroll bar configured to accept a second user input corresponding to a zoom action;

determining a change in the display of the plot area in response to receipt of a first input within the plot area of the display device;

updating the plot area on the display device, wherein the update reflects the change in the display of the plot area;

displaying an entry dialog on the display device in response to receipt of a second user input via an input device for an order to be placed; and

submitting the order at the suggested price point to a stock exchange to execute a trade.