Order depth view visualization tool

Abstract

An example computer system is configured to access broker order data and executed trade information in a memory, and to correlate the executed trade information and broker order data. The computer system is further configured to generate a view arranged to simultaneously display order spread, trade price for executed trades, and order book depth over a time period, based upon the correlated data. The broker order data represent orders transmitted by an external computer to an electronic exchange to trade in a tradeable instrument. The executed trade information includes information on trades executed by the electronic exchange based on the said orders.

1 . A computer system, comprising:
 at least one memory;   at least one processor configured to:
 access broker order data and executed trade information in the at least one memory, wherein the broker order data represent orders transmitted by an external computer to an electronic exchange to trade in a tradeable instrument, and wherein the executed trade information includes information on trades executed by the electronic exchange based on the said orders; 
 correlate the executed trade information and broker order data; 
 generate, based upon the correlated data, a view arranged to simultaneously display order spread, trade price for executed trades, and order book depth over a time period; and 
 output the generated view.