Securities market and market maker activity tracking system and method

Abstract

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 can be displayed to a user.

1 . A method of tracking activity of a plurality of market makers relating to securities traded on at least one common exchange where the market makers place bids and asks, the method comprising the steps of: 
 receiving a dynamically updated data stream containing level 1 and level 2 data relating to a plurality of securities traded over the at least one exchange, the level 1 data including at least the last trade price of each security and the level 2 data containing a bid price, a bid time, a bid volume, a security identifier, and a market maker identifier for each bid, and an ask price, an ask volume, an ask time, a security identifier and a market maker identifier for each ask; and    analyzing the data stream for a selected set of securities from the plurality of securities to derive a statistic indicative of temporary upward or downward price pressure, the statistic derived for each selected security and updated based on the updated data stream, wherein deriving the statistic includes summing the volume of each active bid associated with each selected security and summing the volume of each active ask associated with each selected security.    
   
   
       2 . The method according to  claim 1 , wherein the total bid volume for each selected security and the total ask volume for each selected security are converted into relative bid volume and relative ask volume.  
   
   
       3 . The method according to  claim 2 , further comprising the step of displaying the relative bid volume and relative ask volume.  
   
   
       4 . The method according to  claim 1 , further comprising the step of displaying the total bid volume and the total ask volume for the selected set of securities in a table.  
   
   
       5 . The method according to  claim 4 , further comprising the step of dynamically sorting the table based on a parameter selected by the user to reflect current market maker activity.  
   
   
       6 . The method according to  claim 1 , further comprising the steps of summing the total number of market makers having an active bid associated with each selected security and summing the total number of market makers having an active ask associated with each selected security.  
   
   
       7 . The method according to  claim 6 , further comprising the step of displaying the total number of market makers having an active bid and the total number of market makers having an active ask.  
   
   
       8 . The method according to  claim 1 , further comprising filtering the data stream, the filtering including discarding bids having a price lower than the last trade value minus one of a selected threshold percentage of the last trade value or a fixed price away, and discarding asks having a price higher than the last trade value plus one of a selected threshold percentage of the last trade value or a fixed price away.  
   
   
       9 . The method according to  claim 8 , wherein filtering is conducted for a plurality of selected threshold percentages or fixed prices away, and for each selected threshold percentage or fixed price away a corresponding data set is derived, the statistic being calculated and updated for each selected security for each data set.  
   
   
       10 . The method according to  claim 1 , further comprising the step of storing the statistic derived for each security, the stored statistics adapted for display as historical market maker activity.  
   
   
       11 . The method according to  claim 1 , wherein the statistics are updated on a periodic basis.  
   
   
       12 . The method according to  claim 1 , further comprising the step of generating an alert if the statistic for one of the selected securities crosses a threshold value.  
   
   
       13 . The method according to  claim 12 , wherein the threshold value is globally established for all selected securities from the selected set of securities.  
   
   
       14 . The method according to  claim 12 , wherein the threshold value is established for a specific security.  
   
   
       15 . A method of tracking activity of a plurality of market makers relating to securities traded on at least one common exchange where the market makers place bids and asks, the method comprising the steps of: 
 receiving a dynamically updated data stream containing level 1 and level 2 data relating to a plurality of securities traded over the at least one exchange, the level 1 data including at least the last trade price of each security and the level 2 data containing a bid price, a bid time, a bid volume, a security identifier, and a market maker identifier for each bid, and an ask price, an ask time, an ask volume, a security identifier and a market maker identifier for each ask; and    analyzing the data stream for a selected set of securities from the plurality of securities to derive a statistic indicative of temporary upward or downward price pressure, the statistic derived for each selected security and updated based on the updated data stream, wherein deriving the statistic includes determining whether a bid placed by any of the market makers has a value higher than, the same as or lower than the previous bid placed by the same market maker and determining whether an ask placed by any of the market makers has a value higher than, the same as or lower than the previous ask placed by the same market maker.    
   
   
       16 . The method according to  claim 15 , wherein the analyzing step, for each selected security, further includes deriving buy pressure by counting the active bids that have increased in price and reducing the number of bids that have increased in price by the number of active bids that have decreased in price and deriving sell pressure by counting the active asks that have increased in price and reducing the number of asks that have increased in price by the number of active asks that have decreased in price.  
   
   
       17 . The method according to  claim 16 , wherein the analyzing step, for each selected security, further includes converting buy pressure to relative buy pressure by dividing the buy pressure by the number of market makers having active bids for the security and converting sell pressure to relative sell pressure by dividing the sell pressure by the number of market makers having active asks for the security.  
   
   
       18 . The method according to  claim 16 , wherein the analyzing step, for each selected security, further includes deriving pressurized bid volume by summing the bid volume for each active bid that has increased in price and subtracting the bid volume for each active bid that has decreased in price, and deriving pressurized ask volume by summing the ask volume for each active ask that has increased in price and subtracting the ask volume for each active ask that has decreased in price.  
   
   
       19 . The method according to  claim 16 , wherein the step of analyzing further includes summing the volume of each active bid associated with each selected security and summing the volume of each active ask associated with each selected security.  
   
   
       20 . The method according to  claim 16 , further comprising the step of displaying the buy pressure and the sell pressure for the selected set of securities in a table.  
   
   
       21 . The method according to  claim 20 , further comprising the step of dynamically sorting the table based on a parameter selected by the user to reflect current market maker activity.  
   
   
       22 . The method according to  claim 15 , wherein the step of analyzing further includes summing the volume of each active bid associated with each selected security and summing the volume of each active ask associated with each selected security.  
   
   
       23 . The method according to  claim 22 , wherein the total bid volume for each selected security and the total ask volume for each selected security are converted into relative bid volume and relative ask volume.  
   
   
       24 . The method according to  claim 15 , further comprising the steps of summing the total number of market makers having an active bid associated with each selected security and summing the total number of market makers having an active ask associated with each selected security.  
   
   
       25 . The method according to  claim 15 , further comprising filtering the data stream, the filtering including discarding bids having a price lower than the last trade value minus one of a selected threshold percentage of the last trade value or a fixed price away, and discarding asks having a price higher than the last trade value plus one of a selected threshold percentage of the last trade value or a fixed price away.  
   
   
       26 . The method according to  claim 25 , wherein filtering is conducted for a plurality of selected threshold percentages or fixed prices away, and for each selected threshold percentage or fixed price away a corresponding data set is derived, the statistic being calculated and updated for each selected security for each data set.  
   
   
       27 . The method according to  claim 15 , further comprising the step of storing the statistic derived for each security, the stored statistics adapted for display as historical market maker activity.  
   
   
       28 . The method according to  claim 15 , wherein the statistics are updated on a periodic basis.  
   
   
       29 . The method according to  claim 15 , further comprising the step of generating an alert if the statistic for one of the selected securities crosses a threshold value.  
   
   
       30 . The method according to  claim 29 , wherein the threshold value is globally established for all selected securities from the selected set of securities.  
   
   
       31 . The method according to  claim 29 , wherein the threshold value is established for a specific security.  
   
   
       32 . A method of tracking activity of a plurality of market makers relating to securities traded on at least one common exchange where the market makers place bids and asks, the method comprising the steps of: 
 receiving a dynamically updated data stream containing level 1 and level 2 data relating to a plurality of securities traded over the at least one exchange, the level 1 data including at least the last trade price of each security and the level 2 data containing a bid price, a bid time, a bid volume, a security identifier, and a market maker identifier for each bid, and an ask price, an ask time, an ask volume, a security identifier and a market maker identifier for each ask; and    analyzing the data stream to derive a statistic indicative of temporary upward or downward price pressure, the statistic derived for a selected market maker and updated based on the updated data stream, wherein deriving the statistic includes identifying each security from a selected set of securities for which the selected market maker has at least one of an active bid or an active ask, and for the selected market maker generating a list of the identified securities along with an indication of the market maker's bid volume and ask volume for the identified securities.    
   
   
       33 . The method according to  claim 32 , wherein the indication of the market maker's bid volume and ask volume is relative bid volume and relative ask volume.  
   
   
       34 . The method according to  claim 32 , further comprising the step of displaying the list of identified securities and the indication of the selected market maker's bid volume and ask volume for the identified securities in a table.  
   
   
       35 . The method according to  claim 34 , further comprising the step of dynamically sorting the table based on a parameter selected by the user to reflect current market maker activity.  
   
   
       36 . The method according to  claim 32 , further comprising filtering the data stream, the filtering including discarding bids having a price lower than the last trade value minus one of a selected threshold percentage of the last trade value or a fixed price away, and discarding asks having a price higher than the last trade value plus one of a selected threshold percentage of the last trade value or a fixed price away.  
   
   
       37 . The method according to  claim 36 , wherein filtering is conducted for a plurality of selected threshold percentages or fixed prices away, and for each selected threshold percentage or fixed price away a corresponding data set is derived, the statistic being calculated and updated for each selected security for each data set.  
   
   
       38 . The method according to  claim 32 , further comprising the step of storing the statistic derived for each market maker, the stored statistics adapted for display as historical market maker activity.  
   
   
       39 . The method according to  claim 32 , wherein the statistics are updated on a periodic basis.  
   
   
       40 . The method according to  claim 32 , further comprising the step of generating an alert if the statistic for the selected market maker crosses a threshold value.  
   
   
       41 . The method according to  claim 40 , wherein the threshold value is globally established for all market makers.  
   
   
       42 . A method of tracking activity of a plurality of market makers relating to securities traded on at least one common exchange where the market makers place bids and asks, the method comprising the steps of: 
 receiving a dynamically updated data stream containing level 1 and level 2 data relating to a plurality of securities traded over the at least one exchange, the level 1 data including at least the last trade price of each security and the level 2 data containing a bid price, a bid time, a bid volume, a security identifier, and a market maker identifier for each bid, and an ask price, an ask time, an ask volume, a security identifier and a market maker identifier for each ask; and    analyzing the data stream for a selected set of securities from the plurality of securities to derive a statistic indicative of temporary upward or downward price pressure, the statistic derived for each selected security and updated based on the updated data stream, wherein deriving the statistic includes determining the combined bid volume and ask volume for each market maker for each selected security from the selected set of securities.    
   
   
       43 . The method according to  claim 42 , wherein the combined bid volume and the combined ask volume are converted into relative bid volume and relative ask volume.  
   
   
       44 . The method according to  claim 42 , further comprising the step of displaying the securities and market makers by highest combined bid volume and ask volume in a table.  
   
   
       45 . The method according to  claim 44 , further comprising the step of dynamically sorting the table based on a parameter selected by the user to reflect current market maker activity.  
   
   
       46 . The method according to  claim 42 , further comprising filtering the data stream, the filtering including discarding bids having a price lower than the last trade value minus one of a selected threshold percentage of the last trade value or a fixed price away, and discarding asks having a price higher than the last trade value plus one of a selected threshold percentage of the last trade value or a fixed price away.  
   
   
       47 . The method according to  claim 46 , wherein filtering is conducted for a plurality of selected threshold percentages or fixed prices away, and for each selected threshold percentage or fixed price away a corresponding data set is derived, the statistic being calculated and updated for each selected security for each data set.  
   
   
       48 . The method according to  claim 42 , further comprising the step of storing the statistic derived for each security, the stored statistics adapted for display as historical market maker activity.  
   
   
       49 . The method according to  claim 42 , wherein the statistics are updated on a periodic basis.  
   
   
       50 . The method according to  claim 42 , further comprising the step of generating an alert if the statistic for one of the selected securities crosses a threshold value.  
   
   
       51 . The method according to  claim 50 , wherein the threshold value is globally established for all selected securities from the selected set of securities.  
   
   
       52 . The method according to  claim 50 , wherein the threshold value is established for a specific security.  
   
   
       53 . A method of tracking activity of a plurality of market makers relating to securities traded on at least one common exchange where the market makers place bids and asks, the method comprising the steps of: 
 receiving a dynamically updated data stream containing level 1 and level 2 data relating to a plurality of securities traded over the at least one exchange, the level 1 data including at least the last trade price of each security and the level 2 data containing a bid price, a bid time, a bid volume, a security identifier, and a market maker identifier for each bid, and an ask price, an ask time, an ask volume, a security identifier and a market maker identifier for each ask; and    analyzing the data stream to derive a statistic indicative of temporary upward or downward price pressure, the statistic derived for each market maker and updated based on the updated data stream, wherein deriving the statistic includes for each market maker, summing the bid volume of each active bid of each market maker for a selected set of securities and summing the ask volume of each active ask of each market maker for a selected set of securities.    
   
   
       54 . The method according to  claim 53 , wherein the sum of the bid volume and the sum of the ask volume are converted into relative bid volume and relative ask volume.  
   
   
       55 . The method according to  claim 53 , wherein the analyzing step further includes: 
 determining whether a bid placed by any of the market makers has a value higher than, the same as or lower than the previous bid placed by the same market maker for the same security, and determining whether an ask placed by any of the market makers has a value higher than, the same as or lower than the previous ask placed by the same market maker for the same security; and    for each market maker, deriving market maker buy pressure by counting the active bids for the market maker for the selected set of securities that have increased in price and reducing the number of bids that have increased in price by the number of active bids for the market maker for the selected set of securities that have decreased in price and deriving market maker sell pressure by counting the active asks for the market maker for the selected set of securities that have increased in price and reducing the number of asks that have increased in price by the number of active asks for the market maker for the selected set of securities that have decreased in price.    
   
   
       56 . The method according to  claim 53 , further comprising the step of displaying an indication of the total bid volume and an indication of the total ask volume for each market maker in a table.  
   
   
       57 . The method according to  claim 56 , further comprising the step of dynamically sorting the table based on a parameter selected by the user to reflect current market maker activity.  
   
   
       58 . The method according to  claim 53 , further comprising filtering the data stream, the filtering including discarding bids having a price lower than the last trade value minus one of a selected threshold percentage of the last trade value or a fixed price away, and discarding asks having a price higher than the last trade value plus one of a selected threshold percentage of the last trade value or a fixed price away.  
   
   
       59 . The method according to  claim 58 , wherein filtering is conducted for a plurality of selected threshold percentages or fixed prices away, and for each selected threshold percentage or fixed price away a corresponding data set is derived, the statistic being calculated and updated for each selected security for each data set.  
   
   
       60 . The method according to  claim 53 , further comprising the step of storing the statistic derived for each market maker, the stored statistics adapted for display as historical market maker activity.  
   
   
       61 . The method according to  claim 53 , wherein the statistics are updated on a periodic basis.  
   
   
       62 . The method according to  claim 53 , further comprising the step of generating an alert if the statistic for one of the selected market makers crosses a threshold value.  
   
   
       63 . The method according to  claim 62 , wherein the threshold value is globally established for all market makers.  
   
   
       64 . The method according to  claim 62 , wherein the threshold value is established for a specific market maker.  
   
   
       65 . A method of tracking activity of a plurality of market makers relating to securities traded on at least one common exchange where the market makers place bids and asks, the method comprising the steps of: 
 receiving a dynamically updated data stream containing level 1 and level 2 data relating to a plurality of securities traded over the at least one exchange, the level 1 data including at least the last trade price of each security and the level 2 data containing a bid price, a bid time, a bid volume, a security identifier, and a market maker identifier for each bid, and an ask price, an ask time, an ask volume, a security identifier and a market maker identifier for each ask; and    analyzing the data stream for a selected set of securities from the plurality of securities to derive a statistic indicative of temporary upward or downward price pressure, the statistic derived for each selected security and updated based on the updated data stream, wherein deriving the statistic includes for each selected security and over a specified time period, determining a bid persistence statistic and an ask persistence statistic for each market maker, the bid persistence statistic determined by calculating the approximate portion of the specified time period that the market maker has had one or more bids being equal to or higher than a level 1 bid for the security, and the ask persistence statistic determined by calculating the approximate portion of the specified time period that the market maker has had one or more asks being equal to or lower than a level 1 ask for the security.    
   
   
       66 . The method according to  claim 65 , wherein the bid persistence statistic and an ask persistence statistic are respectively calculated by determining the percentage of the time period for which the market maker has had one or more bids equal to or higher than a level 1 bid for the security and determining the percentage of the time period for which the market maker has had one or more asks being equal to or lower than a level 1 ask for the security.  
   
   
       67 . The method according to  claim 65 , wherein the bid persistence statistic and an ask persistence statistic for each market maker are respectively calculated by: 
 dividing the specified time period into a plurality of segments;    for each segment and for each security, assigning the market maker a bid value and an ask value of one or zero, a bid value of one being assigned when the market maker has a bid being equal to or higher than a level 1 bid for the security, otherwise a bid value of zero is assigned and an ask value of one being assigned when the market maker has an ask being equal to or lower than a level 1 ask for the security, otherwise an ask value of zero is assigned; and    solving the equation:            100   ⁢     (       Σ   ⁢           ⁢   VALp     +       CV   -     Σ   ⁢           ⁢   VALp       m       )             for both bid values and ask values, wherein ΣVAL P  is the sum of all values calculated by the equation one segment earlier, m is the number of segments in the time period and CV is the respective current bid value and current ask value assigned to the market maker for the security.    
   
   
       68 . The method according to  claim 65 , further comprising the step of displaying the bid and ask persistence statistics in a table.  
   
   
       69 . The method according to  claim 68 , further comprising the step of dynamically sorting the table based on a parameter selected by the user to reflect current market maker activity.  
   
   
       70 . The method according to  claim 65 , further comprising filtering the data stream, the filtering including discarding bids having a price lower than the last trade value minus one of a selected threshold percentage of the last trade value or a fixed price away, and discarding asks having a price higher than the last trade value plus one of a selected threshold percentage of the last trade value or a fixed price away.  
   
   
       71 . The method according to  claim 70 , wherein filtering is conducted for a plurality of selected threshold percentages or fixed prices away, and for each selected threshold percentage or fixed price away a corresponding data set is derived, the statistic being calculated and updated for each selected security for each data set.  
   
   
       72 . The method according to  claim 65 , further comprising the step of filtering securities from the selected set of securities that have a trade volume below a volume threshold.  
   
   
       73 . The method according to  claim 65 , further comprising the step of storing the statistic derived for each security, the stored statistics adapted for display as historical market activity.  
   
   
       74 . The method according to  claim 65 , wherein the statistics are updated on a periodic basis.  
   
   
       75 . The method according to  claim 65 , further comprising the step of generating an alert if the statistic for one of the selected securities crosses a threshold value.  
   
   
       76 . The method according to  claim 75 , wherein the threshold value is globally established for all selected securities within the selected set of securities.  
   
   
       77 . The method according to  claim 75 , wherein the threshold value is established for a specific security.  
   
   
       78 . A method of tracking activity of a plurality of market makers relating to securities traded on at least one common exchange where the market makers place bids and asks, the method comprising the steps of: 
 receiving a dynamically updated data stream containing level 1 and level 2 data relating to a plurality of securities traded over the at least one exchange, the level 1 data including at least the last trade price of each security and the level 2 data containing a bid price, a bid time, a bid volume, a security identifier, and a market maker identifier for each bid, and an ask price, an ask time, an ask volume, a security identifier and a market maker identifier for each ask; and    dynamically filtering the data stream, including for each selected security from a selected set of securities, discarding bids having a price lower than the last trade value minus one of a selected threshold percentage of the last trade value or a fixed price away from the last trade value, and discarding asks having a price higher than the last trade value plus one of a selected threshold percentage of the last trade value or a fixed price away from the last trade value.    
   
   
       79 . The method according to  claim 78 , wherein the filtering step includes discarding bids having a price higher than the last trade value plus the selected threshold percentage of the last trade value and discarding asks having a price lower than the last trade value minus the selected threshold percentage of the last trade value.  
   
   
       80 . The method according to  claim 78 , wherein the filtering step is conducted for a plurality of selected threshold percentages or fixed prices away, and for each selected threshold percentage or fixed price away a corresponding data set is derived.  
   
   
       81 . The method according to  claim 80 , further comprising the step of analyzing each data set for a selected set of securities from the plurality of securities to derive a statistic indicative of temporary upward or downward price pressure, the statistic being calculated and updated for each selected security for each data set.  
   
   
       82 . The method according to  claim 78 , further comprising the step of analyzing the filtered data stream for a selected set of securities from the plurality of securities to derive and update a statistic indicative of temporary upward or downward price pressure.  
   
   
       83 . The method according to  claim 78 , further comprising the step of crossed market filtering the data stream to exclude bids that are higher than a level 1 bid for an associated security and asks that are lower than a level 1 ask for an associated security.  
   
   
       84 . A method of tracking activity of a plurality of market makers relating to securities traded on at least one common exchange where the market makers place bids and asks, the method comprising the steps of: 
 receiving a dynamically updated data stream containing level 1 and level 2 data relating to a plurality of securities traded over the at least one exchange, the level 1 data including at least the last trade price of each security and the level 2 data containing a bid price, a bid time, a bid volume, a security identifier, and a market maker identifier for each bid, and an ask price, an ask time, an ask volume, a security identifier and a market maker identifier for each ask;    analyzing the data stream for a selected set of securities from the plurality of securities to derive a set of statistics indicative of temporary upward or downward price pressure, the statistic derived for each selected security and updated based on the updated data stream; and    dynamically sorting a displayed order of the set of statistics based on a parameter selected by the user to reflect current market maker activity.    
   
   
       85 . The method according to  claim 84 , further including the step of turning the dynamic sorting off so that a relative display order stays constant but the statistic for each selected security is updated.  
   
   
       86 . The method according to  claim 84 , further comprising filtering the data stream, the filtering including discarding bids having a price lower than the last trade value minus one of a selected threshold percentage of the last trade value or a fixed price away, and discarding asks having a price higher than the last trade value plus one of a selected threshold percentage of the last trade value or a fixed price away.  
   
   
       87 . The method according to  claim 86 , wherein filtering is conducted for a plurality of selected threshold percentages or fixed prices away, and for each selected threshold percentage or fixed price away a corresponding data set is derived, the statistic being calculated and updated for each selected security for each data set.  
   
   
       88 . The method according to  claim 84 , wherein the statistics are updated on a periodic basis.  
   
   
       89 . The method according to  claim 88 , wherein the statistics are displayed on a display on a periodic basis.  
   
   
       90 . A method of tracking activity of a plurality of market makers relating to securities traded on at least one common exchange where the market makers place bids and asks, the method comprising the steps of: 
 receiving a dynamically updated data stream containing level 1 and level 2 data relating to a plurality of securities traded over the at least one exchange, the level 1 data including at least the last trade price of each security and the level 2 data containing a bid price, a bid time, a bid volume, a security identifier, and a market maker identifier for each bid, and an ask price, an ask time, an ask volume, a security identifier and a market maker identifier for each ask;    analyzing the data stream for a selected set of securities from the plurality of securities to derive a set of statistics from the level 2 data indicative of temporary upward or downward price pressure, the statistic derived for each selected security and updated based on the updated data stream; and    charting the statistic over a period of time for one of the selected securities in a chart.    
   
   
       91 . A method of tracking activity of a plurality of market makers relating to securities traded on at least one common exchange where the market makers place bids and asks, the method comprising the steps of: 
 receiving a dynamically updated data stream containing level 1 and level 2 data relating to a plurality of securities traded over the at least one exchange, the level 1 data including at least the last trade price of each security and the level 2 data containing a bid price, a bid time, a bid volume, a security identifier, and a market maker identifier for each bid, and an ask price, an ask time, an ask volume, a security identifier and a market maker identifier for each ask;    analyzing the data stream for a selected set of securities from the plurality of securities to derive a set of statistics indicative of temporary upward or downward price pressure, the statistic derived for each selected security and updated based on the updated data stream;    grouping the bids by price to generate a series of bid groups, each bid price group but one containing bids of the same price for the bid price group, the remaining bid price group containing all bids having a price more than a specified number of price changes away from an inside bid price;    summing the volume of bids in each bid price group and summing the number of bids in each bid price group;    displaying the total volume for each bid price group and the number of bids in each bid price group;    grouping the asks by price to generate a series of ask price groups, each ask price group but one containing asks of the same price for the ask price group, the remaining ask price group containing all asks having a price more than a specified number of price changes away from an inside ask price;    summing the volume of asks in each ask price group and summing the number of asks in each ask price group; and    displaying the total volume for each price group and the number of asks in each ask price group.    
   
   
       92 . The method according to  claim 91 , further comprising filtering the data stream, the filtering including discarding bids having a price lower than the last trade value minus one of a selected threshold percentage of the last trade value or a fixed price away, and discarding asks having a price higher than the last trade value plus one of a selected threshold percentage of the last trade value or a fixed price away.  
   
   
       93 . The method according to  claim 92 , wherein filtering is conducted for a plurality of selected threshold percentages or fixed prices away, and for each selected threshold percentage or fixed price away a corresponding data set is derived, the statistic being calculated and updated for each selected security for each data set.  
   
   
       94 . A system for tracking activity of a plurality of market makers relating to securities traded on at least one common exchange where the market makers place bids and asks, the system comprising: 
 a receiver for receiving a dynamically updated data stream containing level 1 and level 2 data relating to a plurality of securities traded over the at least one exchange, the level 1 data including at least the last trade price of each security and the level 2 data containing a bid price, a bid time, a bid volume, a security identifier, and a market maker identifier for each bid, and an ask price, an ask volume, an ask time, a security identifier and a market maker identifier for each ask; and    a processor for executing logic to analyze the data stream for a selected set of securities from the plurality of securities to derive a statistic indicative of temporary upward or downward price pressure, the statistic derived for each selected security and updated based on the updated data stream, wherein deriving the statistic includes summing the volume of each active bid associated with each selected security and summing the volume of each active ask associated with each selected security.    
   
   
       95 . The system according to  claim 94 , wherein the total bid volume for each selected security and the total ask volume for each selected security are converted into relative bid volume and relative ask volume.  
   
   
       96 . The system according to  claim 95 , further comprising a display for displaying the relative bid volume and relative ask volume.  
   
   
       97 . The system according to  claim 94 , further comprising a display for displaying the total bid volume and the total ask volume for the selected set of securities in a table.  
   
   
       98 . The system according to  claim 97 , wherein the logic dynamically sorts the table based on a parameter selected by the user to reflect current market maker activity.  
   
   
       99 . The system according to  claim 94 , wherein the logic sums the total number of market makers having an active bid associated with each selected security and sums the total number of market makers having an active ask associated with each selected security.  
   
   
       100 . The system according to  claim 99 , further comprising a display for displaying the total number of market makers having an active bid and the total number of market makers having an active ask.  
   
   
       101 . The system according to  claim 94 , wherein the logic filters the data stream and, for each selected security, the logic discards bids having a price lower than the last trade value minus one of a selected threshold percentage of the last trade value or a fixed price away, and discards asks having a price higher than the last trade value plus one of a selected threshold percentage of the last trade value or a fixed price away.  
   
   
       102 . The system according to  claim 101 , wherein the filter logic is conducted for a plurality of selected threshold percentages or fixed prices away and for each selected threshold percentage a corresponding data set is derived, the statistic being calculated and updated for each selected security for each data set.  
   
   
       103 . The system according to  claim 94 , further comprising a memory for storing the statistic derived for each security, the stored statistics adapted for display as historical market maker activity.  
   
   
       104 . The system according to  claim 94 , wherein the statistics are updated on a periodic basis.  
   
   
       105 . The system according to  claim 94 , wherein the logic generates an alert if the statistic for one of the selected securities crosses a threshold value.  
   
   
       106 . The system according to  claim 105 , wherein the threshold value is globally established for all selected securities from the selected set of securities.  
   
   
       107 . The system according to  claim 105 , wherein the threshold value is established for a specific security.  
   
   
       108 . A system for tracking activity of a plurality of market makers relating to securities traded on at least one common exchange where the market makers place bids and asks, the system comprising: 
 a receiver for receiving a dynamically updated data stream containing level 1 and level 2 data relating to a plurality of securities traded over the at least one exchange, the level 1 data including at least the last trade price of each security and the level 2 data containing a bid price, a bid time, a bid volume, a security identifier, and a market maker identifier for each bid, and an ask price, an ask time, an ask volume, a security identifier and a market maker identifier for each ask; and    a processor for executing logic to analyze the data stream for a selected set of securities from the plurality of securities to derive a statistic indicative of temporary upward or downward price pressure, the statistic derived for each selected security and updated based on the updated data stream, wherein deriving the statistic includes determining whether a bid placed by any of the market makers has a value higher than, the same as or lower than the previous bid placed by the same market maker and determining whether an ask placed by any of the market makers has a value higher than, the same as or lower than the previous ask placed by the same market maker.    
   
   
       109 . The system according to  claim 108 , wherein the logic for each selected security derives buy pressure by counting the active bids that have increased in price and reducing the number of bids that have increased in price by the number of active bids that have decreased in price and derives sell pressure by counting the active asks that have increased in price and reducing the number of asks that have increased in price by the number of active asks that have decreased in price.  
   
   
       110 . The system according to  claim 109 , wherein the logic for each selected security converts buy pressure to relative buy pressure by dividing the buy pressure by the number of market makers having active bids for the security and converts sell pressure to relative sell pressure by dividing the sell pressure by the number of market makers having active asks for the security.  
   
   
       111 . The system according to  claim 109 , wherein the logic for each selected security derives pressurized bid volume by summing the bid volume for each active bid that has increased in price and subtracting the bid volume for each active bid that has decreased in price, and derives pressurized ask volume by summing the ask volume for each active ask that has increased in price and subtracting the ask volume for each active ask that has decreased in price.  
   
   
       112 . The system according to  claim 109 , wherein the logic sums the volume of each active bid associated with each selected security and sums the volume of each active ask associated with each selected security.  
   
   
       113 . The system according to  claim 109 , further comprising a display for displaying the buy pressure and the sell pressure for the selected set of securities in a table.  
   
   
       114 . The system according to  claim 113 , wherein the logic dynamically sorts the table based on a parameter selected by the user to reflect current market maker activity.  
   
   
       115 . The system according to  claim 108 , wherein the logic sums the volume of each active bid associated with each selected security and sums the volume of each active ask associated with each selected security.  
   
   
       116 . The system according to  claim 115 , wherein the total bid volume for each selected security and the total ask volume for each selected security are converted into relative bid volume and relative ask volume.  
   
   
       117 . The system according to  claim 108 , wherein the logic sums the total number of market makers having an active bid associated with each selected security and sums the total number of market makers having an active ask associated with each selected security.  
   
   
       118 . The system according to  claim 108 , wherein the logic filters the data stream and, for each selected security, the logic discards bids having a price lower than the last trade value minus one of a selected threshold percentage of the last trade value or a fixed price away, and discards asks having a price higher than the last trade value plus one of a selected threshold percentage of the last trade value or a fixed price away.  
   
   
       119 . The system according to  claim 118 , wherein the filter logic is conducted for a plurality of selected threshold percentages or fixed prices away and for each selected threshold percentage a corresponding data set is derived, the statistic being calculated and updated for each selected security for each data set.  
   
   
       120 . The system according to  claim 108 , further comprising a memory for storing the statistic derived for each security, the stored statistics adapted for display as historical market maker activity.  
   
   
       121 . The system according to  claim 108 , wherein the statistics are updated on a periodic basis.  
   
   
       122 . The system according to  claim 108 , wherein the logic generates an alert if the statistic for one of the selected securities crosses a threshold value.  
   
   
       123 . The system according to  claim 122 , wherein the threshold value is globally established for all selected securities from the selected set of securities.  
   
   
       124 . The system according to  claim 122 , wherein the threshold value is established for a specific security.  
   
   
       125 . A system for tracking activity of a plurality of market makers relating to securities traded on at least one common exchange where the market makers place bids and asks, the system comprising: 
 a receiver for receiving a dynamically updated data stream containing level 1 and level 2 data relating to a plurality of securities traded over the at least one exchange, the level 1 data including at least the last trade price of each security and the level 2 data containing a bid price, a bid time, a bid volume, a security identifier, and a market maker identifier for each bid, and an ask price, an ask time, an ask volume, a security identifier and a market maker identifier for each ask; and    a processor for executing logic to analyze the data stream to derive a statistic indicative of temporary upward or downward price pressure, the statistic derived for a selected market maker and updated based on the updated data stream, wherein deriving the statistic includes identifying each security from a selected set of securities for which the selected market maker has at least one of an active bid or an active ask, and for the selected market maker generating a list of the identified securities along with an indication of the market maker's bid volume and ask volume for the identified securities.    
   
   
       126 . The system according to  claim 125 , wherein the indication of the market maker's bid volume and ask volume is relative bid volume and relative ask volume.  
   
   
       127 . The system according to  claim 125 , further comprising a display for displaying the list of identified securities and the indication of the selected market maker's bid volume and ask volume for the identified securities in a table.  
   
   
       128 . The system according to  claim 127 , wherein the logic dynamically sorts the table based on a parameter selected by the user to reflect current market maker activity.  
   
   
       129 . The system according to  claim 125 , wherein the logic filters the data stream and, for each selected security, the logic discards bids having a price lower than the last trade value minus one of a selected threshold percentage of the last trade value or a fixed price away, and discards asks having a price higher than the last trade value plus one of a selected threshold percentage of the last trade value or a fixed price away.  
   
   
       130 . The system according to  claim 129 , wherein the filter logic is conducted for a plurality of selected threshold percentages or fixed prices away and for each selected threshold a corresponding data set is derived, the statistic being calculated and updated for each selected security for each data set.  
   
   
       131 . The system according to  claim 125 , further comprising a memory for storing the statistic derived for each market maker, the stored statistics adapted for display as historical market maker activity.  
   
   
       132 . The system according to  claim 125 , wherein the statistics are updated on a periodic basis.  
   
   
       133 . The system according to  claim 125 , wherein the logic generates an alert if the statistic for the selected market maker crosses a threshold value.  
   
   
       134 . The system according to  claim 133 , wherein the threshold value is globally established for all market makers.  
   
   
       135 . A system of tracking activity of a plurality of market makers relating to securities traded on at least one common exchange where the market makers place bids and asks, the system comprising: 
 a receiver for receiving a dynamically updated data stream containing level 1 and level 2 data relating to a plurality of securities traded over the at least one exchange, the level 1 data including at least the last trade price of each security and the level 2 data containing a bid price, a bid time, a bid volume, a security identifier, and a market maker identifier for each bid, and an ask price, an ask time, an ask volume, a security identifier and a market maker identifier for each ask; and    a processor for executing logic to analyze the data stream for a selected set of securities from the plurality of securities to derive a statistic indicative of temporary upward or downward price pressure, the statistic derived for each selected security and updated based on the updated data stream, wherein deriving the statistic includes determining the combined bid volume and ask volume for each market maker for each selected security from the selected set of securities.    
   
   
       136 . The system according to  claim 135 , wherein the combined bid volume and the combined ask volume are converted into relative bid volume and relative ask volume.  
   
   
       137 . The system according to  claim 135 , further comprising a display for displaying the securities and market makers by highest combined bid volume and ask volume in a table.  
   
   
       138 . The system according to  claim 137 , wherein the logic dynamically sorts the table based on a parameter selected by the user to reflect current market maker activity.  
   
   
       139 . The system according to  claim 135 , wherein the logic filters the data stream and, for each selected security, the logic discards bids having a price lower than the last trade value minus one of a selected threshold percentage of the last trade value or a fixed price away, and discards asks having a price higher than the last trade value plus one of a selected threshold percentage of the last trade value or a fixed price away.  
   
   
       140 . The system according to  claim 139 , wherein the filter logic is conducted for a plurality of selected threshold percentages or fixed prices away and for each selected threshold a corresponding data set is derived, the statistic being calculated and updated for each selected security for each data set.  
   
   
       141 . The system according to  claim 135 , further comprising a memory for storing the statistic derived for each security, the stored statistics adapted for display as historical market maker activity.  
   
   
       142 . The system according to  claim 135 , wherein the statistics are updated on a periodic basis.  
   
   
       143 . The system according to  claim 135 , wherein the logic generates an alert if the statistic for one of the selected securities crosses a threshold value.  
   
   
       144 . The system according to  claim 143 , wherein the threshold value is globally established for all selected securities from the selected set of securities.  
   
   
       145 . The system according to  claim 143 , wherein the threshold value is established for a specific security.  
   
   
       146 . A system for tracking activity of a plurality of market makers relating to securities traded on at least one common exchange where the market makers place bids and asks, the system comprising: 
 a receiver for receiving a dynamically updated data stream containing level 1 and level 2 data relating to a plurality of securities traded over the at least one exchange, the level 1 data including at least the last trade price of each security and the level 2 data containing a bid price, a bid time, a bid volume, a security identifier, and a market maker identifier for each bid, and an ask price, an ask time, an ask volume, a security identifier and a market maker identifier for each ask; and    a processor for executing logic to analyze the data stream to derive a statistic indicative of temporary upward or downward price pressure, the statistic derived for each market maker and updated based on the updated data stream, wherein deriving the statistic includes for each market maker, summing the bid volume of each active bid of each market maker for a selected set of securities and summing the ask volume of each active ask of each market maker for a selected set of securities.    
   
   
       147 . The system according to  claim 146 , wherein the sum of the bid volume and the sum of the ask volume are converted into relative bid volume and relative ask volume.  
   
   
       148 . The system according to  claim 146 , wherein the logic: 
 determines whether a bid placed by any of the market makers has a value higher than, the same as or lower than the previous bid placed by the same market maker for the same security, and determines whether an ask placed by any of the market makers has a value higher than, the same as or lower than the previous ask placed by the same market maker for the same security; and    for each market maker, derives market maker buy pressure by counting the active bids for the market maker for the selected set of securities that have increased in price and reducing the number of bids that have increased in price by the number of active bids for the market maker for the selected set of securities that have decreased in price and derives market maker sell pressure by counting the active asks for the market maker for the selected set of securities that have increased in price and reducing the number of asks that have increased in price by the number of active asks for the market maker for the selected set of securities that have decreased in price.    
   
   
       149 . The system according to  claim 146 , further comprising a display for displaying an indication of the total bid volume and an indication of the total ask volume for each market maker in a table.  
   
   
       150 . The system according to  claim 149 , wherein the logic dynamically sorts the table based on a parameter selected by the user to reflect current market maker activity.  
   
   
       151 . The system according to  claim 146 , wherein the logic filters the data stream and, for each selected security, the logic discards bids having a price lower than the last trade value minus one of a selected threshold percentage of the last trade value or a fixed price away, and discards asks having a price higher than the last trade value plus one of a selected threshold percentage of the last trade value or a fixed price away.  
   
   
       152 . The system according to  claim 151 , wherein the filter logic is conducted for a plurality of selected threshold percentages or fixed prices away and for each selected threshold a corresponding data set is derived, the statistic being calculated and updated for each selected security for each data set.  
   
   
       153 . The system according to  claim 146 , further comprising a memory for storing the statistic derived for each market maker, the stored statistics adapted for display as historical market maker activity.  
   
   
       154 . The system according to  claim 146 , wherein the statistics are updated on a periodic basis.  
   
   
       155 . The system according to  claim 146 , wherein the logic generates an alert if the statistic for one of the selected market makers crosses a threshold value.  
   
   
       156 . The system according to  claim 155 , wherein the threshold value is globally established for all market makers.  
   
   
       157 . The system according to  claim 155 , wherein the threshold value is established for a specific market maker.  
   
   
       158 . A system of tracking activity of a plurality of market makers relating to securities traded on at least one common exchange where the market makers place bids and asks, the system comprising: 
 a receiver for receiving a dynamically updated data stream containing level 1 and level 2 data relating to a plurality of securities traded over the at least one exchange, the level 1 data including at least the last trade price of each security and the level 2 data containing a bid price, a bid time, a bid volume, a security identifier, and a market maker identifier for each bid, and an ask price, an ask time, an ask volume, a security identifier and a market maker identifier for each ask; and    a processor for executing logic to analyze the data stream for a selected set of securities from the plurality of securities to derive a statistic indicative of temporary upward or downward price pressure, the statistic derived for each selected security and updated based on the updated data stream, wherein deriving the statistic includes for each selected security and over a specified time period, determining a bid persistence statistic and an ask persistence statistic for each market maker, the bid persistence statistic determined by calculating the approximate portion of the specified time period that the market maker has had one or more bids being equal to or higher than a level 1 bid for the security, and the ask persistence statistic determined by calculating the approximate portion of the specified time period that the market maker has had one or more asks being equal to or lower than a level 1 ask for the security.    
   
   
       159 . The system according to  claim 158 , wherein the bid persistence statistic and an ask persistence statistic are respectively calculated by determining the percentage of the time period for which the market maker has had one or more bids equal to or higher than a level 1 bid for the security and determining the percentage of the time period for which the market maker has had one or more asks being equal to or lower than a level 1 ask for the security.  
   
   
       160 . The system according to  claim 158 , wherein the bid persistence statistic and an ask persistence statistic for each market maker are respectively calculated by: 
 dividing the specified time period into a plurality of segments;    for each segment and for each security, assigning the market maker a bid value and an ask value of one or zero, a bid value of one being assigned when the market maker has a bid being equal to or higher than a level 1 bid for the security, otherwise a bid value of zero is assigned and an ask value of one being assigned when the market maker has an ask being equal to or lower than a level 1 ask for the security, otherwise an ask value of zero is assigned; and    solving the equation:            100   ⁢     (       Σ   ⁢           ⁢   VALp     +       CV   -     Σ   ⁢           ⁢   VALp       m       )             for both bid values and ask values, wherein ΣVAL P  is the sum of all values calculated by the equation one segment earlier, m is the number of segments in the time period and CV is the respective current bid value and current ask value assigned to the market maker for the security.    
   
   
       161 . The system according to  claim 158 , further comprising a display for displaying the bid and ask persistence statistics in a table.  
   
   
       162 . The system according to  claim 161 , wherein the logic dynamically sorts the table based on a parameter selected by the user to reflect current market maker activity.  
   
   
       163 . The system according to  claim 158 , wherein the logic filters the data stream and, for each selected security, the logic discards bids having a price lower than the last trade value minus one of a selected threshold percentage of the last trade value or a fixed price away, and discards asks having a price higher than the last trade value plus one of a selected threshold of the last trade value or a fixed price away.  
   
   
       164 . The system according to  claim 163 , wherein the filter logic is conducted for a plurality of selected threshold percentages or fixed prices away and for each selected threshold percentage a corresponding data set is derived, the statistic being calculated and updated for each selected security for each data set.  
   
   
       165 . The system according to  claim 158 , wherein the logic filters securities from the selected set of securities that have a trade volume below a volume threshold.  
   
   
       166 . The system according to  claim 158 , further comprising a memory for storing the statistic derived for each security, the stored statistics adapted for display as historical market activity.  
   
   
       167 . The system according to  claim 158 , wherein the statistics are updated on a periodic basis.  
   
   
       168 . The system according to  claim 158 , wherein the logic generates an alert if the statistic for one of the selected securities crosses a threshold value.  
   
   
       169 . The system according to  claim 168 , wherein the threshold value is globally established for all selected securities within the selected set of securities.  
   
   
       170 . The system according to  claim 168 , wherein the threshold value is established for a specific security.  
   
   
       171 . A system for tracking activity of a plurality of market makers relating to securities traded on at least one common exchange where the market makers place bids and asks, the system comprising: 
 a receiver for receiving a dynamically updated data stream containing level 1 and level 2 data relating to a plurality of securities traded over the at least one exchange, the level 1 data including at least the last trade price of each security and the level 2 data containing a bid price, a bid time, a bid volume, a security identifier, and a market maker identifier for each bid, and an ask price, an ask time, an ask volume, a security identifier and a market maker identifier for each ask; and    a processor for executing logic to dynamically filter the data stream and, for each selected security from a selected set of securities, the logic discards bids having a price lower than the last trade value minus one of a selected threshold percentage of the last trade value or a fixed price away, and discards asks having a price higher than the last trade value plus one of a selected threshold percentage of the last trade value or a fixed price away.    
   
   
       172 . The system according to  claim 171 , wherein the logic discards bids having a price higher than the last trade value plus the selected threshold percentage of the last trade value and discards asks having a price lower than the last trade value minus the selected threshold percentage of the last trade value.  
   
   
       173 . The system according to  claim 171 , wherein the filter logic is conducted for a plurality of selected threshold percentages or fixed prices away and for each selected threshold a corresponding data set is derived.  
   
   
       174 . The system according to  claim 173 , wherein the logic analyzes each data set for a selected set of securities from the plurality of securities to derive a statistic indicative of temporary upward or downward price pressure, the statistic being calculated and updated for each selected security for each data set.  
   
   
       175 . The system according to  claim 171 , wherein the logic analyzes the filtered data stream for a selected set of securities from the plurality of securities to derive and update a statistic indicative of temporary upward or downward price pressure.  
   
   
       176 . The system according to  claim 171 , wherein the logic crossed market filters the data stream to exclude bids that are higher than a level 1 bid for an associated security and asks that are lower than a level 1 ask for an associated security.  
   
   
       177 . A system for tracking activity of a plurality of market makers relating to securities traded on at least one common exchange where the market makers place bids and asks, the system comprising: 
 a receiver for receiving a dynamically updated data stream containing level 1 and level 2 data relating to a plurality of securities traded over the at least one exchange, the level 1 data including at least the last trade price of each security and the level 2 data containing a bid price, a bid time, a bid volume, a security identifier, and a market maker identifier for each bid, and an ask price, an ask time, an ask volume, a security identifier and a market maker identifier for each ask;    a processor for executing logic to analyze the data stream for a selected set of securities from the plurality of securities to derive a set of statistics indicative of temporary upward or downward price pressure, the statistic derived for each selected security and updated based on the updated data stream; and    a display for displaying the set of statistics, the set of statistics being dynamically sorted based on a parameter selected by the user to reflect current market maker activity.    
   
   
       178 . The system according to  claim 177 , wherein the logic to carry out the dynamic sorting can be turned off so that a relative display order stays constant but the statistic for each selected security is updated.  
   
   
       179 . The system according to  claim 177 , wherein the logic filters the data stream and, for each selected security, the logic discards bids having a price lower than the last trade value minus one of a selected threshold percentage of the last trade value or a fixed price away, and discards asks having a price higher than the last trade value plus one of a selected threshold percentage of the last trade value or a fixed price away.  
   
   
       180 . The system according to  claim 179 , wherein the filter logic is conducted for a plurality of selected threshold percentages or fixed prices away and for each selected threshold a corresponding data set is derived, the statistic being calculated and updated for each selected security for each data set.  
   
   
       181 . The system according to  claim 177 , wherein the statistics are updated on a periodic basis.  
   
   
       182 . The system according to  claim 181 , wherein the statistics are displayed on the display on a periodic basis.  
   
   
       183 . A system for tracking activity of a plurality of market makers relating to securities traded on at least one common exchange where the market makers place bids and asks, the system comprising: 
 a receiver for receiving a dynamically updated data stream containing level 1 and level 2 data relating to a plurality of securities traded over the at least one exchange, the level 1 data including at least the last trade price of each security and the level 2 data containing a bid price, a bid time, a bid volume, a security identifier, and a market maker identifier for each bid, and an ask price, an ask time, an ask volume, a security identifier and a market maker identifier for each ask;    a processor for executing logic to analyze the data stream for a selected set of securities from the plurality of securities to derive a set of statistics from the level 2 data indicative of temporary upward or downward price pressure, the statistic derived for each selected security and updated based on the updated data stream; and    a display for displaying a chart of the statistic over a period of time for one of the selected securities in a chart.    
   
   
       184 . A system for tracking activity of a plurality of market makers relating to securities traded on at least one common exchange where the market makers place bids and asks, the system comprising: 
 a receiver for receiving a dynamically updated data stream containing level 1 and level 2 data relating to a plurality of securities traded over the at least one exchange, the level 1 data including at least the last trade price of each security and the level 2 data containing a bid price, a bid time, a bid volume, a security identifier, and a market maker identifier for each bid, and an ask price, an ask time, an ask volume, a security identifier and a market maker identifier for each ask;    a processor for executing logic to analyze the data stream for a selected set of securities from the plurality of securities to derive a set of statistics indicative of temporary upward or downward price pressure, the statistic derived for each selected security and updated based on the updated data stream; and    the logic including code to:    group the bids by price to generate a series of bid groups, each bid price group but one containing bids of the same price for the bid price group, the remaining bid price group containing all bids having a price more than a specified number of price changes away from an inside bid price;    sum the volume of bids in each bid price group and sum the number of bids in each bid price group;    display the total volume for each bid price group and the number of bids in each bid price group on a display;    group the asks by price to generate a series of ask price groups, each ask price group but one containing asks of the same price for the ask price group, the remaining ask price group containing all asks having a price more than a specified number of price changes away from an inside ask price;    sum the volume of asks in each ask price group and sum the number of asks in each ask price group; and    display the total volume for each price group and the number of asks in each ask price group on the display.    
   
   
       185 . The system according to  claim 184 , wherein the logic filters the data stream and, for each selected security, the logic discards bids having a price lower than the last trade value minus one of a selected threshold percentage of the last trade value or a fixed price away, and discards asks having a price higher than the last trade value plus one of a selected threshold percentage of the last trade value or a fixed price away.  
   
   
       186 . The system according to  claim 185 , wherein the filter logic is conducted for a plurality of selected threshold percentages or fixed prices away and for each selected threshold a corresponding data set is derived, the statistic being calculated and updated for each selected security for each data set.  
   
   
       187 . A method of tracking a plurality of symbols relating to securities traded on at least one common exchange, comprising: 
 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 the last trade price of each symbol; and    analyzing the data stream for a set of symbols to derive a statistic indicative of temporary upward or downward price pressure, the statistic derived for each symbol from the set of symbols and updated based on the updated data stream, wherein deriving the statistic includes counting the number of times each symbol achieves a new intra-session high and counting the number of times each symbol achieves a new intra-session low.    
   
   
       188 . The method according to  claim 187 , further comprising waiting a specified period of time after the beginning of the session to count the new intra-session highs and new intra-session lows.  
   
   
       189 . The method according to  claim 188 , further comprising displaying at least some of the new intra-session high counts and associated symbols in a table.  
   
   
       190 . The method according to  claim 188 , further comprising displaying at least some of the new intra-session low counts and associated symbols in a table.  
   
   
       191 . The method according to  claim 187 , further comprising displaying at least some symbol identifiers associated with the symbols from the set of symbols and for each symbol identifier displaying an associated value, the associated value selected from the new intra-session high count, the new intra-session low count and combinations thereof.  
   
   
       192 . The method according to  claim 191 , further comprising dynamically sorting the table based on a parameter selected by the user to reflect current market activity.  
   
   
       193 . The method according to  claim 187 , wherein before analyzing, the method further comprises filtering the data stream for each symbol based on volume.  
   
   
       194 . The method according to  claim 193 , wherein the filtering is based on volume from a prior trading session.  
   
   
       195 . The method according to  claim 193 , wherein the filtering is based on volume from the current trading session.  
   
   
       196 . The method according to  claim 187 , wherein before analyzing, the method further comprises filtering the data stream for each symbol based on price.  
   
   
       197 . The method according to  claim 187 , further including, for each symbol from the set of symbols, determining a relationship between each trade price and at least one of an intra-session high and an intra-session low, the relationship indicative of how close the last trade value is to at least one of the intra-session high and the intra-session low value.  
   
   
       198 . The method according to  claim 197 , wherein the relationship is determined by solving the equation:  
     
       
         
           
             
               ( 
               
                 
                   Last 
                   ⁢ 
                   
                       
                   
                   ⁢ 
                   Trade 
                   ⁢ 
                   
                       
                   
                   ⁢ 
                   Price 
                 
                 - 
                 
                   Intra 
                   ⁢ 
                   
                     - 
                   
                   ⁢ 
                   session 
                   ⁢ 
                   
                       
                   
                   ⁢ 
                   Low 
                 
               
               ) 
             
             
               
                 Day 
                 ′ 
               
               ⁢ 
               s 
               ⁢ 
               
                   
               
               ⁢ 
               Range 
             
           
         
       
       wherein the day's range is the intra-session high minus the intra-session low.  
     
   
   
       199 . A method of tracking a plurality of symbols relating to securities traded on at least one common exchange, comprising: 
 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 the last trade price of each symbol; and    analyzing the data stream for a set of symbols to derive a statistic indicative of temporary upward or downward price pressure, the statistic derived for each symbol from the set of symbols and updated based on the updated data stream, wherein deriving the statistic includes determining a relationship between each trade price and at least one of an intra-session high and an intra-session low, the relationship indicative of how close the last trade value is to at least one of the intra-session high and the intra-session low.    
   
   
       200 . The method according to  claim 199 , wherein the relationship is determined by solving the equation:  
     
       
         
           
             
               ( 
               
                 
                   Last 
                   ⁢ 
                   
                       
                   
                   ⁢ 
                   Trade 
                   ⁢ 
                   
                       
                   
                   ⁢ 
                   Price 
                 
                 - 
                 
                   Intra 
                   ⁢ 
                   
                     - 
                   
                   ⁢ 
                   session 
                   ⁢ 
                   
                       
                   
                   ⁢ 
                   Low 
                 
               
               ) 
             
             
               
                 Day 
                 ′ 
               
               ⁢ 
               s 
               ⁢ 
               
                   
               
               ⁢ 
               Range 
             
           
         
       
       wherein the day's range is the intra-session high minus the intra-session low.  
     
   
   
       201 . The method according to  claim 199 , further comprising displaying at least some of the relationship statistics and associated symbol indicators in a table.  
   
   
       202 . The method according to  claim 201 , further comprising dynamically sorting the table based on a parameter selected by the user to reflect current market maker activity.  
   
   
       203 . The method according to  claim 199 , wherein before analyzing, the method further comprises filtering the data stream for each symbol based on volume.  
   
   
       204 . The method according to  claim 203 , wherein the filtering is based on volume from a prior trading session.  
   
   
       205 . The method according to  claim 203 , wherein the filtering is based on volume from the current trading session.  
   
   
       206 . The method according to  claim 199 , wherein before analyzing, the method further comprises filtering the data stream for each symbol based on price.  
   
   
       207 . A method of tracking activity of a plurality of market makers relating to securities traded on at least one common exchange where the market makers place bids and asks, comprising: 
 receiving a dynamically updated data stream containing level 1 and level 2 data relating to a plurality of securities traded over the at least one exchange, the level 1 data including at least the last trade price of each security and the level 2 data containing a bid price, a bid time, a bid volume, a security identifier, and a market maker identifier for each bid, and an ask price, an ask volume, an ask time, a security identifier and a market maker identifier for each ask;    for a selected security, displaying at least some of the bid prices and associated market maker identifiers on a display in an order according to bid price and displaying at least some of the ask prices and associated market maker identifiers on the display in an order according to ask price; and    for a selected market maker, visually emphasizing at least one of a displayed bid price or a displayed ask price.    
   
   
       208 . The method according to  claim 207 , further comprising dynamically sorting the displayed bid prices, ask prices and market maker identifiers to reflect current market maker activity.  
   
   
       209 . The method according to  claim 207 , further comprising filtering the data stream, the filtering including discarding bids having a price lower than the last trade value minus one of a selected threshold percentage of the last trade value or a fixed price away, and discarding asks having a price higher than the last trade value plus one of a selected threshold percentage of the last trade value or a fixed price away.  
   
   
       210 . The method according to  claim 209 , wherein filtering is conducted for a plurality of selected threshold percentages or fixed prices away, and for each selected threshold percentage or fixed price away a corresponding data set is derived, the statistic being calculated and updated for each selected security for each data set.  
   
   
       211 . The method according to  claim 207 , further comprising analyzing the data stream for a selected set of securities from the plurality of securities to derive a statistic indicative of temporary upward or downward price pressure, the statistic derived for each selected security and updated based on the updated data stream, wherein deriving the statistic includes determining whether a bid placed by any of the market makers has a value higher than, the same as or lower than the previous bid placed by the same market maker and determining whether an ask placed by any of the market makers has a value higher than, the same as or lower than the previous ask placed by the same market maker.  
   
   
       212 . A method of tracking activity of a market maker relating to securities traded on at least one common exchange where the market maker places bids and asks, comprising: 
 receiving a dynamically updated data stream containing level 1 and level 2 data relating to a plurality of securities traded over the at least one exchange, the level 1 data including at least the last trade price of each security and the level 2 data containing a bid price, a bid time, a bid volume, a security identifier, and a market maker identifier for each bid, and an ask price, an ask time, an ask volume, a security identifier and a market maker identifier for each ask;    identifying each security from a selected set of securities for which the market maker has at least one of an active bid or an active ask;    displaying a list of the identified securities along with an indication of the market maker's bid price and ask price; and    visually emphasizing any bid price and any ask price for which the market maker has the inside bid and the inside ask respectively.    
   
   
       213 . The method according to  claim 212 , further comprising deriving an indication of the market maker's bid volume and ask volume for the identified securities.  
   
   
       214 . The method according to  claim 213 , wherein the indication of the market maker's bid volume and ask volume is relative bid volume and relative ask volume.  
   
   
       215 . The method according to  claim 212 , further comprising dynamically sorting the display based on a parameter selected by the user to reflect current market maker activity.  
   
   
       216 . The method according to  claim 212 , wherein before identifying each security, the method further comprises filtering the data stream, the filtering including for each selected security, discarding bids having a price lower than the last trade value minus one of a selected threshold percentage of the last trade value or a fixed price away, and discarding asks having a price higher than the last trade value plus one of a selected threshold percentage of the last trade value or a fixed price away.  
   
   
       217 . The method according to  claim 216 , wherein filtering is conducted for a plurality of selected threshold percentages or fixed prices away and for each selected threshold percentage or fixed price away a corresponding data set is derived, the statistic being calculated and updated for each selected security for each data set.  
   
   
       218 . A method of tracking activity of a plurality of market makers relating to securities traded on at least one common exchange where the market makers place bids and asks, comprising: 
 receiving a dynamically updated data stream containing level 1 and level 2 data relating to a plurality of securities traded over the at least one exchange, the level 1 data including at least the last trade price of each security and the level 2 data containing a bid price, a bid time, a bid volume, a security identifier, and a market maker identifier for each bid, and an ask price, an ask time, an ask volume, a security identifier and a market maker identifier for each ask;    selecting a set of securities from the plurality of securities;    determining for each selected security an indication of at least one of bid volume and ask volume for each market maker;    displaying the securities and market makers by the indication of at least one of bid volume and ask volume in a table; and    visually emphasizing any displayed indication of bid volume and any displayed indication of ask volume for which the associated market maker respectively has an inside bid price or an inside ask price.    
   
   
       219 . The method according to  claim 218 , wherein the indication of at least one of bid volume and ask volume is combined bid volume and ask volume.  
   
   
       220 . The method according to  claim 218 , wherein the combined bid volume and the combined ask volume are converted into relative bid volume and relative ask volume.  
   
   
       221 . The method according to  claim 218 , further comprising dynamically sorting the display based on a parameter selected by the user to reflect current market maker activity.  
   
   
       222 . The method according to  claim 218 , wherein before determining, the method further comprises filtering the data stream, the filtering including for each selected security, discarding bids having a price lower than the last trade value minus one of a selected threshold percentage of the last trade value or a fixed price away, and discarding asks having a price higher than the last trade value plus one of a selected threshold percentage of the last trade value or a fixed price away.  
   
   
       223 . The method according to  claim 222 , wherein filtering is conducted for a plurality of selected threshold percentages or fixed prices away and for each selected threshold percentage or fixed price away a corresponding data set is derived, the statistic being calculated and updated for each selected security for each data set.  
   
   
       224 . A system for tracking a plurality of symbols relating to securities traded on at least one common exchange, comprising: 
 a 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 the last trade price of each symbol; and    a processor for executing logic to analyze the data stream for a set of symbols to derive a statistic indicative of temporary upward or downward price pressure, the statistic derived for each symbol from the set of symbols and updated based on the updated data stream, wherein deriving the statistic includes counting the number of times each symbol achieves a new intra-session high and counting the number of times each symbol achieves a new intra-session low.    
   
   
       225 . The system according to  claim 224 , wherein a specified period of time after the beginning of the session is allowed to elapse before counting the new intra-session highs and new intra-session lows.  
   
   
       226 . The system according to  claim 225 , further comprising a display for displaying at least some of the new intra-session high counts and associated symbols in a table.  
   
   
       227 . The system according to  claim 225 , further comprising a display for displaying at least some of the new intra-session low counts and associated symbols in a table.  
   
   
       228 . The system according to  claim 224 , further comprising a display for displaying at least some symbol identifiers associated with the symbols from the set of symbols and for each symbol identifier displaying an associated value, the associated value selected from the new intra-session high count, the new intra-session low count and combinations thereof.  
   
   
       229 . The system according to  claim 228 , wherein the logic dynamically sorts the table based on a parameter selected by the user to reflect current market activity.  
   
   
       230 . The system according to  claim 224 , wherein the logic filters the data stream for each symbol based on techniques selected from volume filtering, pricing filtering and combinations thereof.  
   
   
       231 . A system of tracking a plurality of symbols relating to securities traded on at least one common exchange, comprising: 
 a 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 the last trade price of each symbol; and    a processor for executing logic to analyze the data stream for a set of symbols to derive a statistic indicative of temporary upward or downward price pressure, the statistic derived for each symbol from the set of symbols and updated based on the updated data stream, wherein deriving the statistic includes determining a relationship between each trade price and at least one of an intra-session high and an intra-session low, the relationship indicative of how close the last trade value is to at least one of the intra-session high and the intra-session low.    
   
   
       232 . The system according to  claim 231 , wherein the relationship is determined by solving the equation:  
     
       
         
           
             
               ( 
               
                 
                   Last 
                   ⁢ 
                   
                       
                   
                   ⁢ 
                   Trade 
                   ⁢ 
                   
                       
                   
                   ⁢ 
                   Price 
                 
                 - 
                 
                   Intra 
                   ⁢ 
                   
                     - 
                   
                   ⁢ 
                   session 
                   ⁢ 
                   
                       
                   
                   ⁢ 
                   Low 
                 
               
               ) 
             
             
               
                 Day 
                 ′ 
               
               ⁢ 
               s 
               ⁢ 
               
                   
               
               ⁢ 
               Range 
             
           
         
       
       wherein the day's range is the intra-session high minus the intra-session low.  
     
   
   
       233 . The system according to  claim 231 , further comprising a display for displaying at least some of the relationship statistics and associated symbol indicators in a table.  
   
   
       234 . The system according to  claim 233 , wherein the logic dynamically sorts the table based on a parameter selected by the user to reflect current market activity.  
   
   
       235 . The system according to  claim 231 , wherein the logic filters the data stream for each symbol based on a techniques selected from volume filtering, pricing filtering and combinations thereof.  
   
   
       236 . A system for tracking activity of a plurality of market makers relating to securities traded on at least one common exchange where the market makers place bids and asks, comprising: 
 a receiver for receiving a dynamically updated data stream containing level 1 and level 2 data relating to a plurality of securities traded over the at least one exchange, the level 1 data including at least the last trade price of each security and the level 2 data containing a bid price, a bid time, a bid volume, a security identifier, and a market maker identifier for each bid, and an ask price, an ask volume, an ask time, a security identifier and a market maker identifier for each ask; and    a display for displaying, for a selected security, at least some of the bid prices and associated market maker identifiers on a display in an order according to bid price and displaying at least some of the ask prices and associated market maker identifiers on the display in an order according to ask price, wherein, for a selected market maker, at least one of a displayed bid price or a displayed ask price is visually emphasized.    
   
   
       237 . The system according to  claim 236 , further comprising a processor for executing logic to dynamically sort the displayed bid prices, ask prices and market maker identifiers to reflect current market maker activity.  
   
   
       238 . The system according to  claim 236 , further comprising a processor for executing logic to filter the data stream, the filtering including discarding bids having a price lower than the last trade value minus one of a selected threshold percentage of the last trade value or a fixed price away, and discarding asks having a price higher than the last trade value plus one of a selected threshold percentage of the last trade value or a fixed price away.  
   
   
       239 . The system according to  claim 238 , wherein the filtering is conducted for a plurality of selected threshold percentages or fixed prices away and for each selected threshold percentage or fixed price away a corresponding data set is derived, the statistic being calculated and updated for each selected security for each data set.  
   
   
       240 . The system according to  claim 236 , further comprising a processor for executing logic to analyze the data stream for a selected set of securities from the plurality of securities to derive a statistic indicative of temporary upward or downward price pressure, the statistic derived for each selected security and updated based on the updated data stream, wherein deriving the statistic includes determining whether a bid placed by any of the market makers has a value higher than, the same as or lower than the previous bid placed by the same market maker and determining whether an ask placed by any of the market makers has a value higher than, the same as or lower than the previous ask placed by the same market maker.  
   
   
       241 . A system of tracking activity of a market maker relating to securities traded on at least one common exchange where the market maker places bids and asks, comprising: 
 a receiver for receiving a dynamically updated data stream containing level 1 and level 2 data relating to a plurality of securities traded over the at least one exchange, the level 1 data including at least the last trade price of each security and the level 2 data containing a bid price, a bid time, a bid volume, a security identifier, and a market maker identifier for each bid, and an ask price, an ask time, an ask volume, a security identifier and a market maker identifier for each ask;    a processor for executing logic to identify each security from a selected set of securities for which the market maker has at least one of an active bid or an active ask; and    a display for displaying a list of the identified securities along with an indication of the market maker's bid price and ask price, wherein any bid price and any ask price for which the market maker has the inside bid and the inside ask respectively is visually emphasized.    
   
   
       242 . The system according to  claim 241 , wherein the processor executes logic to derive an indication of the market maker's bid volume and ask volume for the identified securities.  
   
   
       243 . The system according to  claim 242 , wherein the indication of the market maker's bid volume and ask volume is relative bid volume and relative ask volume.  
   
   
       244 . The system according to  claim 241 , wherein the logic dynamically sorts the table based on a parameter selected by the user to reflect current exchange activity.  
   
   
       245 . The system according to  claim 241 , wherein the logic filters the data stream, the filtering including for each selected security, discarding bids having a price lower than the last trade value minus one of a selected threshold percentage of the last trade value or a fixed price away, and discarding asks having a price higher than the last trade value plus one of a selected threshold percentage of the last trade value or a fixed price away.  
   
   
       246 . The system according to  claim 245 , wherein the filtering is conducted for a plurality of selected threshold percentages or fixed prices away and for each selected threshold percentage or fixed price away a corresponding data set is derived, the statistic being calculated and updated for each selected security for each data set.  
   
   
       247 . A system of tracking activity of a plurality of market makers relating to securities traded on at least one common exchange where the market makers place bids and asks, comprising: 
 a receiver for receiving a dynamically updated data stream containing level 1 and level 2 data relating to a plurality of securities traded over the at least one exchange, the level 1 data including at least the last trade price of each security and the level 2 data containing a bid price, a bid time, a bid volume, a security identifier, and a market maker identifier for each bid, and an ask price, an ask time, an ask volume, a security identifier and a market maker identifier for each ask;    a processor for executing logic to determine, for each security from a set of securities from the plurality of securities, an indication of at least one of bid volume and ask volume for each market maker; and    a display for displaying the securities and market makers by the indication of at least one of bid volume and ask volume in a table, wherein any displayed indication of bid volume and any displayed indication of ask volume for which the associated market maker respectively has an inside bid price or an inside ask price is visually emphasized.    
   
   
       248 . The system according to  claim 247 , wherein the indication of at least one of bid volume and ask volume is combined bid volume and ask volume.  
   
   
       249 . The system according to  claim 248 , wherein the combined bid volume and the combined ask volume are converted into relative bid volume and relative ask volume.  
   
   
       250 . The system according to  claim 247 , wherein the logic dynamically sorts the table based on a parameter selected by the user to reflect current market maker activity.  
   
   
       251 . The system according to  claim 247 , wherein the logic filters the data stream, the filtering including for each selected security, discarding bids having a price lower than the last trade value minus one of a selected threshold percentage of the last trade value or a fixed price away, and discarding asks having a price higher than the last trade value plus one of a selected threshold percentage of the last trade value or a fixed price away.  
   
   
       252 . The system according to  claim 251 , wherein filtering is conducted for a plurality of selected threshold percentages or fixed prices away and for each selected threshold percentage or fixed price away a corresponding data set is derived, the statistic being calculated and updated for each selected security for each data set.