System And Method For Calculating And Displaying Volume To Identify Buying And Selling In An Electronic Trading Environment

Abstract

A system and method are provided for calculating and displaying volume to identify aggressive buying or selling activity. In a preferred embodiment, market information such as the inside market, last traded price, and last traded quantity is received from the electronic exchange and is used to assist a trader in determining the initiative side of a trade, either bid side or ask side. Once a determination is made, the result may be used to assist a trader analyzing the market volume. Other features and advantages are described herein.

1 . A method for determining trading activity related a tradeable object being traded at an electronic exchange, comprising:
 receiving market information associated with the tradeable object, the market information comprising a last traded quantity corresponding to a last trade and data defining whether the last trade occurred on a bid side or an ask side; and   determining, by a computer device, a current running total volume by adding or subtracting the last traded quantity from a preceding running total volume, based on whether the last trade occurred on the bid side or on the ask side.   
     
     
         2 . The method of  claim 1 , wherein the preceding running total volume comprises a user-configured value. 
     
     
         3 . The method of  claim 1 , wherein determining the current running total volume comprises:
 adding the last traded quantity to the preceding running total volume if the last trade occurred on the ask side; and   subtracting the last traded quantity from the preceding running total volume if the last trade occurred on the bid side.   
     
     
         4 . The method of  claim 1 , wherein the last trade is determined to be on the bid side or the ask side based on a comparison of a last traded price corresponding to the last trade to an inside market price. 
     
     
         5 . The method of  claim 1 , wherein the data defining whether the last trade occurred on the bid side or the ask side is received from the electronic exchange. 
     
     
         6 . The method of  claim 1 , further comprising:
 displaying a value axis comprising a plurality of values;   displaying a time axis comprising a plurality of times, wherein the time axis is orthogonal to the value axis; and   displaying an indicator representing the current running total volume for the tradeable object, wherein the indicator is displayed in relation to the value axis and the time axis.   
     
     
         7 . The method of  claim 6 , wherein the indicator is displayed on a chart that displays the current running total volume over time. 
     
     
         8 . The method of  claim 6 , wherein a historical current running total volume indicator is displayed in relation to the value axis and the time axis. 
     
     
         9 . The method of  claim 6 , further comprising:
 displaying market data related to the tradeable object based on market information being received from an electronic exchange.   
     
     
         10 . The method of  claim 9 , wherein the market data comprises price related data. 
     
     
         11 . The method of  claim 1 , further comprising:
 providing the current running total volume as an input to another application program.   
     
     
         12 . The method of  claim 1 , further comprising:
 displaying the current running total volume.   
     
     
         13 . A computer readable medium having stored therein instructions executable by a processor, wherein the instructions are executable to:
 receive market information associated with the tradeable object, the market information comprising a last traded quantity corresponding to a last trade and data defining whether the last trade occurred on a bid side or an ask side; and   determine a current running total volume value by adding or subtracting the last traded quantity from a preceding running total volume, based on whether the last trade occurred on the bid side or on the ask side.   
     
     
         14 . The computer readable medium of  claim 13 , wherein the preceding running total volume comprises a user-configured value. 
     
     
         15 . The computer readable medium of  claim 13 , wherein instructions executable to 
       determine the current running total volume include instructions executable to:
 add the last traded quantity to the preceding running total volume if the last trade occurred on the ask side; and 
 subtract the last traded quantity from the preceding running total volume if the last trade occurred on the bid side. 
 
     
     
         16 . The computer readable medium of  claim 13 , wherein the last trade is determined to be on the bid side or the ask side based on a comparison of a last traded price corresponding to the last trade to an inside market price. 
     
     
         17 . The computer readable medium of  claim 13 , wherein the data defining whether the last trade occurred on the bid side or the ask side is received from the electronic exchange. 
     
     
         18 . The computer readable medium of  claim 13 , wherein the instructions are further executable to:
 display a value axis comprising a plurality of values;   display a time axis comprising a plurality of times, wherein the time axis is orthogonal to the value axis; and   display an indicator representing the current running total volume for the tradeable object, wherein the indicator is displayed in relation to the value axis and the time axis.   
     
     
         19 . The computer readable medium of  18 , wherein the indicator is displayed on a chart that displays the current running total volume over time. 
     
     
         20 . The computer readable medium of  claim 18 , wherein a historical current running total volume indicator is displayed in relation to the value axis and the time axis. 
     
     
         21 . The computer readable medium of  claim 18 , wherein the instructions are further executable to:
 display market data related to the tradeable object based on market information being received from an electronic exchange.   
     
     
         22 . The computer readable medium of  claim 21 , wherein the market data comprises price related data. 
     
     
         23 . The computer readable medium of  claim 13 , wherein the instructions are further executable to:
 provide the current running total volume as an input to another application program.   
     
     
         24 . The computer readable medium of  claim 13 , wherein the instructions are further executable to:
 display the current running total volume.