Order execution quality of financial market transactions utilizing an adjusted z-score benchmark
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.
1. A computer system for evaluating the quality of an order for one or more market instruments during a trading period, the computer system communicatively coupled to a graphical display and one or more market exchange platforms via a network, the computer system comprising:
a processor; and
a memory storing instructions that, when executed by the processor, cause the computer system to:
receive the order for the one or more market instruments via a first graphical user interface on the graphical display;
display order parameters on the first graphical user interface on the graphical display, wherein the order parameters define the order for one or more market instruments;
receive, over the network, real-time market information for the one or more market instruments via the one or more market exchange platforms, wherein the market information comprises at least price information;
aggregate the received market information for the one or more market instruments;
transmit, over the network, instructions to the one or more market exchange platforms to execute the order;
determine an adjusted Z score by utilizing a standard deviation of the market information of the one or more market instruments;
transform the adjusted Z score into a performance price for the one or more market instruments to determine a quality rating of the order;
display the determined quality rating along a first axis via a second graphical user interface and the performance price on a second axis via the second graphical user interface on the graphical display;
analyze the quality of the order by at least one of comparing the displayed performance price for the one or more market instruments or the displayed quality rating of the order to the market information for the one or more market instruments;
determine that the order is associated with a low quality-rating during the trading period based on the analyzed quality of the order; and
display the determined order associated with the low quality-rating on the graphical display.
2. The computer system of claim 1 , wherein the market information is a combination of the real-time and historic market information, and wherein the market information comprises bid, ask, or midpoint price quotes of the one or more market instruments during the trading period.
3. The computer system of claim 1 , wherein the standard deviation is a time weighted standard deviation determined using time weighted quote information.
4. The computer system of claim 3 , wherein the time weighted standard deviation is determined based on at least one of a highest bid, a lowest ask, or a mid-price.
5. 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.
6. The computer system of claim 1 , wherein the adjusted Z score is displayed on the second graphical user interface as a text overlay, visualization tool, a standalone score, or a plot.
7. The computer system of claim 1 , wherein the standard deviation is calculated from placement of the order to the execution of the order, from the execution of the order to cancellation of the order, or from the placement of the order to the cancellation of the order.
8. A non-transitory computer-readable medium storing instructions that, when executed by a processor, cause a computer system communicatively coupled to a graphical display and one or more market exchange platforms via a network to evaluate the quality of an order for one or more market instruments during a trading period, by performing the steps of:
receiving the order for the one or more market instruments via a first graphical user interface on the graphical display;
displaying order parameters on the first graphical user interface on the graphical display, wherein the order parameters define the order for one or more market instruments;
receiving, over the network, real-time market information for the one or more market instruments via the one or more market exchange platforms, wherein the market information comprises at least price information;
aggregating the received market information for the one or more market instruments;
transmitting, over the network, instructions to the one or more market exchange platforms to execute the order;
determining an adjusted Z score by utilizing a standard deviation of the market information of the one or more market instruments;
transforming the adjusted Z score into a performance price for the one or more market instruments to determine a quality rating of the order;
displaying the determined quality rating along a first axis via a second graphical user interface and the performance price on a second axis via the second graphical user interface on the graphical display;
analyzing the quality of the order by at least one of comparing the displayed performance price for the one or more market instruments or the displayed quality rating of the order to the market information for the one or more market instrument;
determining that the order is associated with a low quality-rating during the trading period based on the analyzed quality of the order; and
displaying the determined order associated with the low quality-rating on the graphical display.
9. The non-transitory computer-readable medium of claim 8 , 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 the executed order, or an average spread, and wherein the market information is a combination of the real time market information and historic market information.
10. The non-transitory computer-readable medium of claim 8 , wherein the market information includes bid, ask, or midpoint price quotes of the one or more market instruments during the trading period.
11. The non-transitory computer-readable medium of claim 8 , wherein the standard deviation is a time weighted standard deviation determined using time weighted quote information.
12. The non-transitory computer-readable medium of claim 11 , wherein the time weighted standard deviation is determined based on at least one of a highest bid, a lowest ask, or a mid-price.
13. The non-transitory computer-readable medium of claim 8 , wherein the adjusted Z score is displayed on the second graphical user interface as a text overlay, a visualization tool, a standalone score, or a plot.
14. The non-transitory computer-readable medium of claim 8 , wherein the standard deviation is calculated from placement of the order to the execution of the order, from the execution of the order to cancellation of the order, or from the placement of the order to cancellation of the order.
15. A method for evaluating the quality of an order for one or more market instruments during a trading period on a computer system communicatively coupled to a graphical display and one or more market exchange platforms via a network, the method comprising:
receiving the order for the one or more market instruments via a first graphical user interface on the graphical display;
displaying order parameters on the first graphical user interface on the graphical display, wherein the order parameters define the order for one or more market instruments;
receiving, over the network, real-time market information for the one or more market instruments via the one or more market exchange platforms, wherein the market information comprises at least price information;
aggregating the received market information for the one or more market instruments;
transmitting, over the network, instructions to the one or more market exchange platforms to execute the order;
determining an adjusted Z score by utilizing a standard deviation of the market information of the one or more market instruments; and
transforming the adjusted Z score into a performance price for the one or more market instruments to determine a quality rating of the order;
displaying the quality rating along a first axis via a second graphical user interface and the performance price on a second axis via the second graphical user interface on the graphical display;
analyzing the quality of the order by at least one of comparing the displayed performance price for the one or more market instruments or the displayed quality rating of the order to the market information for the one or more market instruments;
determining that the order is associated with a low quality-rating during the trading period based on the analyzed quality of the order; and
displaying the determined order associated with the low quality-rating on the graphical display.
16. The method of claim 15 , wherein the market information is a combination of real-time and historic market information, and wherein the market information includes comprises bid, ask, or midpoint price quotes of the one or more market instruments during the trading period.
17. The method of claim 15 , wherein the standard deviation is a time weighted standard deviation determined using time weighted quote information, and wherein the standard deviation is calculated from placement of the order to the execution of the order, from the execution of the order execution to cancellation of the order, or from the placement of the order to the cancellation of the order.
18. The method of claim 17 , wherein the time weighted standard deviation is determined based on at least one of a highest bid, a lowest ask, or a mid-price.
19. The method of claim 15 , 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.
20. The method of claim 15 , wherein the adjusted Z score is displayed on the second graphical user interface as a text overlay, a visualization tool, a standalone score, or a plot.