Method And Apparatus For Monitoring And Evaluating Limit Order Trading

Abstract

Systems, methods, apparatus, computer program code and means for generating quality data associated with an option limit order are provided. In some embodiments, an option limit order is received, the option limit order including information identifying a customer, information identifying a desired option, and information that indicates a limit price for said option limit order. A substantially real time feed of option market date is received and the option market data is used in real time to identify at least one of a trade-through and a trade-at transaction relevant to the option limit order. Alerts may be generated based on the identified trade-through or trade-at transaction. Trade-at or trade-through data may be tabulated and analyzed to evaluate option limit order trading activity. Analysis to generate trade-at or trade-through data may be performed on a batch processing basis relying entirely or in part on data received in real time or on a batch basis.

1 . A method comprising:
 identifying an option limit order, said option limit order including information identifying a customer, information identifying a desired option, and information that indicates a limit price for said option limit order;   receiving a substantially real time feed of option market data; and   using the option market data in real time to identify at least one of a trade-through transaction relevant to said option limit order and a trade-at transaction relevant to said option limit order.   
     
     
         2 . The method of  claim 1 , further comprising:
 generating an alert on the basis of said identified at least one of a trade-through transaction and a trade-at transaction.   
     
     
         3 . The method of  claim 2 , further comprising:
 classifying the alert as one of active and inactive.   
     
     
         4 . The method of  claim 3 , wherein the alert is classified as inactive because a corresponding trade-through transaction or trade-at transaction occurred within a predetermined period after an order time of the option limit order. 
     
     
         5 . The method of  claim 3 , wherein the alert is classified as inactive because the option limit order is filled within a predetermined period after occurrence of a corresponding trade-through transaction or trade-at transaction. 
     
     
         6 . The method of  claim 3 , wherein the alert is classified as inactive because a corresponding trade-through transaction or trade-at transaction occurred on a non-leading exchange. 
     
     
         7 . The method of  claim 1 , further comprising:
 using the identified at least one of a trade-through transaction and a trade-at transaction to tabulate at least one of trade-through data and trade-at data for a plurality of option limit orders placed by the customer;   tabulating fulfillment data for the plurality of option limit orders placed by the customer; and   comparing the tabulated fulfillment data to the tabulated at least one of trade-through data and trade-at data.   
     
     
         8 . The method of  claim 7 , wherein the comparing includes dividing the tabulated fulfillment data by the tabulated at least one of trade-through data and trade-at data. 
     
     
         9 . The method of  claim 1 , wherein the identifying the option limit order includes receiving the option limit order. 
     
     
         10 . The method of  claim 1 , further comprising:
 selecting an exchange for execution of the received option limit order.   
     
     
         11 . The method of  claim 10 , further comprising:
 forwarding said option limit order to the selected exchange to execute said option limit order, said forwarding based at least in part on one of said information identifying said customer and said desired option.   
     
     
         12 . The method of  claim 1 , further comprising:
 receiving exception data indicative of one or more market conditions at a time of occurrence of the identified at least one of a trade-through transaction and a trade-at transaction.   
     
     
         13 . The method of  claim 1 , wherein said information identifying a desired option further includes: a type of said order, a security underlyer, an option expiration date, and a size of said order. 
     
     
         14 . The method of  claim 1 , further comprising:
 disregarding the identified at least one of a trade-through transaction and a trade-at transaction in response to a market condition in effect at a time of the transaction.   
     
     
         15 . A method comprising:
 identifying an option limit order, said option limit order including information identifying a customer, information identifying a desired option, and information that indicates a limit price for said option limit order;   identifying at least one of a trade-through transaction and a trade-at transaction relevant to said option limit order; and   generating an alert substantially in real time on the basis of the identified at least one of a trade-through transaction and a trade-at transaction.   
     
     
         16 . The method of  claim 15 , further comprising:
 classifying the alert as one of active and inactive.   
     
     
         17 . The method of  claim 16 , wherein the alert is classified as inactive because a corresponding trade-through transaction or trade-at transaction occurred within a predetermined period after an order time of the option limit order. 
     
     
         18 - 31 . (canceled) 
     
     
         32 . An apparatus for generating quality data associated with an option limit order, comprising:
 a processor; and   a storage device in communication with said processor and storing instructions adapted to be executed by said processor to   identify an option limit order, said option limit order including information identifying a customer, information identifying a desired option, and information that indicates a limit price for said option limit order;   receive a substantially real time feed of option market data; and   use the option market data in real time to identify at least one of a trade-through transaction relevant to said option limit order and a trade-at transaction relevant to said option limit order.   
     
     
         33 . The apparatus of  claim 32 , wherein said storage device further stores instructions adapted to be executed by said processor to forward said option limit order to a selected one of a plurality of option exchanges to execute said option limit order, said forwarding based at least in part on one of said information identifying said customer and said desired option. 
     
     
         34 - 40 . (canceled)