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 publicly 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 at least one 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 each order for the one or more market instruments during the trading period and associated order parameters, wherein the order parameters define the order for one or more market instruments, via an order entry interface, rendered via a first graphical user interface on the graphical display;
determine a number of random execution points based on the received order parameters or automatically based on at least the total order size divided by the average trade size in a market where the instrument is being traded, if an order parameter was not entered;
display the received and determined order parameters on the first graphical user interface on the graphical display;
receive, over the network, market information for the one or more market instruments via the one or more market exchange platforms, wherein the market information is a combination of the real-time and historic market information and comprises at least price information, bid, ask, or midpoint price quotes of the one or more market instruments, taken at the number of random execution points during the trading period;
aggregate the received market information for the one or more market instruments;
generate and display a dynamic time-series of quotes for the trading period in a time-series graph on a second graphical display, wherein the time series graph illustrates a real-time midpoint quote range for one or more market instruments;
transmit, over the network, instructions to the one or more market exchange platforms to execute each order;
determine an adjusted Z score for the one or more market instruments based on the market information collected at the number of random execution points;
transform the adjusted Z score into a performance price using a time weighted standard deviation of the market information of the one or more market instruments based on at least one of a highest bid, a lowest ask, or a mid-price;
determine a quality rating of each order based on the performance price;
generate and display the determined quality ratings along a first axis representing a numerical value and the performance price on a second axis in a third graphical user interface on the graphical display;
analyze the quality of each order by at least one of comparing the displayed performance price for the one or more market instruments or the displayed quality rating of each order to the market information for the one or more market instruments;
compile each order associated with a low quality-rating that was executed during the trading period wherein the low quality-rating is defined as those with a Z score outside of a user defined range;
generate and display, via a fourth graphical user interface on the graphical display, a compliance report containing at least the adjusted Z score and a realized execution price for only the orders associated with a low quality-rating which were compiled, wherein for each compiled order the compliance report contains a display where the adjusted Z score is plotted along a first axis, price is plotted along a second axis, and upper and lower range limits, based on the time weighted standard deviation, are shown connecting the two axes; and
store the compiled orders associated with a low quality-rating and their associated plots from the fourth graphical user interface for further compliance analysis.
2. 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.
3. The computer system of claim 1 , wherein the adjusted Z score is displayed on the graphical user interface as a text overlay, a visualization tool, a standalone score, or a plot.
4. 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.
5. 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 at least one order for one or more market instruments during a trading period, by performing the steps of:
receiving each order for the one or more market instruments during the trading period and associated order parameters, wherein the order parameters define the order for one or more market instruments, via an order entry interface, rendered via a first graphical user interface on the graphical display;
determining a number of random execution points based on the received order parameters or automatically based on at least the total order size divided by the average trade size in a market where the instrument is being traded, if an order parameter was not entered;
displaying the received and determined order parameters on the first graphical user interface on the graphical display;
receiving, over the network, market information for the one or more market instruments via the one or more market exchange platforms, wherein the market information is a combination of the real-time and historic market information and comprises at least price information, bid, ask, or midpoint price quotes of the one or more market instruments, taken at the number of random execution points during the trading period;
aggregating the received market information for the one or more market instruments;
generating and displaying a dynamic time-series of quotes for the trading period in a time-series graph on a second graphical display, wherein the time series graph illustrates a real-time midpoint quote range for one or more market instruments;
transmitting, over the network, instructions to the one or more market exchange platforms to execute each order;
determining an adjusted Z score for the one or more market instruments based on the market information collected at the number of random execution points;
transforming the adjusted Z score into a performance price using a time weighted standard deviation of the market information of the one or more market instruments based on at least one of a highest bid, a lowest ask, or a mid-price;
determining a quality rating of each order based on the performance price;
generating and displaying the determined quality ratings along a first axis representing a numerical value and the performance price on a second axis in a third graphical user interface on the graphical display;
analyzing the quality of each order by at least one of comparing the displayed performance price for the one or more market instruments or the displayed quality rating of each order to the market information for the one or more market instrument;
compiling each order associated with a low quality-rating that was executed during the trading period wherein the low quality-rating is defined as those with a Z score outside of a user defined range;
generating and displaying, via a fourth graphical user interface on the graphical display, a compliance report containing at least the adjusted Z score and a realized execution price for only the orders associated with a low quality-rating which were compiled, wherein for each compiled order the compliance report contains a display where the adjusted Z score is plotted along a first axis, price is plotted along a second axis, and upper and lower range limits, based on the time weighted standard deviation, are shown connecting the two axes; and
storing the compiled orders associated with a low quality-rating and their associated plots from the fourth graphical user interface for further compliance analysis.
6. The non-transitory computer-readable medium of claim 5 , wherein the adjusted Z score is displayed on the graphical user interface as a text overlay, a visualization tool, a standalone score, or a plot.
7. The non-transitory computer-readable medium of claim 5 , 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.
8. A method for evaluating the quality of at least one 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 each order for the one or more market instruments during the trading period and associated order parameters, wherein the order parameters define the order for one or more market instruments, via an order entry interface, rendered via a first graphical user interface on the graphical display;
determining a number of random execution points based on the received order parameters or as automatically based on at least the total order size divided by the average trade size in a market where the instrument is being traded, if an order parameter was not entered;
displaying the received and determined order parameters on the first graphical user interface on the graphical display;
receiving, over the network, market information for the one or more market instruments via the one or more market exchange platforms, wherein the market information is a combination of the real-time and historic market information and comprises at least price information, bid, ask, or midpoint price quotes of the one or more market instruments, taken at the number of random execution points during the trading period;
aggregating the received market information for the one or more market instruments;
generating and displaying a dynamic time-series of quotes for the trading period in a time-series graph on a second graphical display, wherein the time series graph illustrates a real-time midpoint quote range for one or more market instruments;
transmitting, over the network, instructions to the one or more market exchange platforms to execute each order;
determining an adjusted Z score for the one or more market instruments based on the market information collected at the number of random execution points;
transforming the adjusted Z score into a performance price using a time weighted standard deviation of the market information of the one or more market instruments based on at least one of a highest bid, a lowest ask, or a mid-price;
determining a quality rating of each order based on the performance price;
generating and displaying the quality ratings along a first axis representing a numerical value and the performance price on a second axis in a third graphical user interface on the graphical display;
analyzing the quality of each order by at least one of comparing the displayed performance price for the one or more market instruments or the displayed quality rating of each order to the market information for the one or more market instruments;
compiling each order associated with a low quality-rating that was executed during the trading period wherein the low quality-rating is defined as those with a Z score outside of a user defined range;
generating and displaying, via a fourth graphical user interface on the graphical display, a compliance report containing at least the adjusted Z score and a realized execution price for only the orders associated with a low quality-rating which were compiled, wherein for each compiled order the compliance report contains a display where the adjusted Z score is plotted along a first axis, price is plotted along a second axis, and upper and lower range limits, based on the time weighted standard deviation, are shown connecting the two axes; and
storing the compiled orders associated with a low quality-rating and their associated plots from the fourth graphical user interface for further compliance analysis.
9. The method 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 an execution, and an average spread.
10. The method of claim 8 , wherein the adjusted Z score is displayed on the graphical user interface as a text overlay, a visualization tool, a standalone score, or a plot.