Securities market and market marker activity tracking system and method
View Patent ↗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. Level 1 and/or level 2 data is analyzed to track the activity of market makers and to derive indicators of momentary upward or downward price pressure. The indicators associated with each selected security are displayed to a user.
1. A method of tracking a plurality of symbols relating to securities traded on at least one common exchange, comprising:
receiving with an electronic data receiver a dynamically updated data stream containing level 1 data relating to the plurality of symbols traded over the at least one exchange, the level 1 data including at least a current trade price of each symbol;
counting with an electronic processor configured to execute logic the number of times each symbol achieves a new intra-session trading price high to determine a high count value; and
counting with the processor the number of times each symbol achieves a new intra-session trading price low to determine low count value;
wherein the high count value and the low count value function as indicators of a trending type trading day for each of the plurality of symbols.
2. The method according to claim 1 , further comprising waiting a specified period of time after the beginning of the trading session to start counting the new intra-session trading price highs and the new intra-session trading price lows.
3. The method according to claim 2 , further comprising displaying on a computer system display at least some of the new intra-session high count values and associated symbols in at least one of a table, a chart or a graphic.
4. The method according to claim 2 , further comprising displaying on a computer system display at least some of the new intra-session low count values and associated symbols in at least one of a table, a chart or a graphic.
5. The method according to claim 1 , further comprising displaying on a computer system display at least some symbol identifiers associated with the symbols and for each symbol identifier displaying an associated count value, the associated count value selected from the new intra-session high count value, the new intra-session low count value and combinations thereof.
6. The method according to claim 4 , further comprising dynamically sorting the table based on a parameter selected by the user.
7. The method according to claim 1 , wherein before beginning the counting steps, the method further comprises filtering the data stream for each symbol based on at least one of a volume that does not exceed a liquidity threshold, a price threshold, and a combination thereof.
8. The method according to claim 7 , wherein the filtering is based on volume from a prior trading session.
9. The method according to claim 7 , wherein the filtering is based on volume from the current trading session.
10. The method according to claim 1 , wherein before beginning the counting steps, the method further comprises filtering the data stream for each symbol based on price.
11. The method according to claim 1 , wherein the trading session is the current trading day from the opening trade up to the current trade, and further comprising, for each symbol, determining a rank value of how close the current trade price is to at least one of the intra-session trading price high and the intra-session trading price low; and
for each symbol updating the rank value for each new trade of the symbol during the trading session;
wherein the rank value functions as a real time indicator of the relationship between the current trade price for a symbol and the intra-session trading price high and the intra-session trading price low for each of the plurality of symbols.
12. The method according to claim 11 , wherein the rank value is determined by solving the equation:
(
Current Trade Price
-
Intra-session Trading Price Low
)
Trading Day's Range
wherein the trading day's range is the intra-session trading price high minus the intra-session trading price low.
13. A method of tracking a plurality of symbols relating to securities traded on at least one common exchange during a trading session, comprising:
Receiving with an electronic data receiver a dynamically updated data stream containing level 1 data relating to the plurality of symbols traded over the at least one exchange, the level 1 data including at least a current trade price symbol;
determining for each symbol and updated based on the updated data stream, with an electronic processor configured to execute logic, a rank value of how close the current trade price is to at least one of an intra-session trading price high and an intra-session trading price low, for the trading session, wherein the trading session is a current trading day from the opening trade up to the current trade; and
Updating the rank value for each new trade of each symbol during the trading session;
Wherein the rank value functions as a real time indicator of the relationship between the current trade price for a symbol and the intra-session trading price high and the intra-session trading price low for each of the plurality of symbols.
14. The method according to claim 13 , wherein the rank value is determined by solving the equation:
(
Current Trade Price
-
Intra-session Trading Price Low
)
Trading Day's Range
wherein the trading day's range is the intra-session trading price high minus the intra-session trading price low.
15. The method according to claim 13 , further comprising displaying on a computer system display at least some of the rank values and associated symbol indicators in at least one of a table, a chart or a graphic.
16. The method according to claim 15 , further comprising dynamically sorting the table based on a parameter selected by the user.
17. The method according to claim 13 , wherein before determining the rank value, the method further comprises filtering the data stream for each symbol based on volume that does not exceed a liquidity threshold.
18. The method according to claim 17 , wherein the filtering is based on volume from a prior trading session.
19. The method according to claim 17 , wherein the filtering is based on volume from the current trading session.
20. The method according to claim 13 , wherein before determining the rank value, the method further comprises filtering the data stream for each symbol based on price.
21. A system for tracking a plurality of symbols relating to securities traded on at least one common exchange, comprising:
an electronic data receiver for receiving a dynamically updated data stream containing level 1 data relating to the plurality of symbols traded over the at least one exchange, the level 1 data including at least a current trade price of each symbol; and
an electronic processor for executing logic to count the number of times each symbol achieves a new intra-session trading price high to determine a high count value, and count the number of times each symbol achieves a new intra-session trading price low to determine a low count value;
wherein the high count value and the low count value function as indicators of a trending type trading day for each of the plurality of symbols.
22. The system according to claim 21 , wherein a specified period of time after the beginning of the session is allowed to elapse before starting to count the new intra-session trading price highs and new intra-session trading price lows.
23. The system according to claim 22 , further comprising a computer system display for displaying at least some of the new intra-session high count values and associated symbols in at least one of a table, a chart or a graphic.
24. The system according to claim 22 , further comprising a computer system display for displaying at least some of the new intra-session low count values and associated symbols in at least one of a tables, a chart or a graphic.
25. The system according to claim 24 , wherein the logic dynamically sorts the table based on a parameter selected by the user.
26. The system according to claim 21 , further comprising a computer system display for displaying at least some symbol identifiers associated with the symbols and for each symbol identifier displaying an associated count value, the associated count value selected from the new intra-session high count value, the new intra-session low count value and combinations thereof.
27. The system according to claim 21 , wherein the logic filters the data stream for each symbol based on techniques selected from at least one of liquidity volume filtering, pricing filtering and combinations thereof.
28. A system of tracking a plurality of symbols relating to securities traded on at least one common exchange during a trading session, comprising:
an electronic data receiver for receiving a dynamically updated data stream containing level 1 data relating to the plurality of symbols traded over the at least one exchange, the level 1 data including at least a current trade price symbol; and
an electronic processor for executing logic to determine for each symbol and updated based on the updated data stream a rank value of how close the current trade price is to at least one of an intra-session trading price high and an intra-session trading price low, for the trading session, wherein the trading session is a current trading day from the opening trade up to the current trade; and
Update the rank value for each new trade of each symbol during the trading session;
Wherein the rank value functions as a real time indicator of the relationship between the current trade price for a symbol and the intra-session trading price high and the intra-session trading price low for each of the plurality of symbols.
29. The system according to claim 28 , wherein the rank value is determined by solving the equation:
(
Current Trade Price
-
Intra-session Trading Price Low
)
Trading Day's Range
wherein the trading day's range is the intra-session trading price high minus the intra-session trading price low.
30. The system according to claim 28 , further comprising a computer system display for displaying at least some of the rank values and associated symbol indicators in at least one of a table, a chart or a graphic.
31. The system according to claim 30 , wherein the logic dynamically sorts the table based on a parameter selected by the user.
32. The system according to claim 28 , wherein the logic filters the data stream for each symbol based on a technique selected from at least one of liquidity volume filtering, pricing filtering and combinations thereof.