WO2006112752A2

WO2006112752A2 - Method for graphically representing trading session on the basis of quantitative data

Info

Publication number: WO2006112752A2
Application number: PCT/RU2006/000177
Authority: WO
Inventors: Alexandr Veniaminovich Antipin
Original assignee: Alexandr Veniaminovich Antipin
Priority date: 2005-04-19
Filing date: 2006-04-11
Publication date: 2006-10-26
Also published as: RU2295156C2; RU2005111562A; WO2006112752A3

Abstract

The invention relates to methods for data graphical representation and can be used for analysing and forecasting exchange trading session data. The inventive method consists in introducing archive information about transactions carried out prior to a current trading session, in determining operational level parameter rating in the form of a difference between price operational parameter ratings prior to a selected time Ts and a price parameter rating at the opening of an archive trading session and in determining, for each transaction of said archive trading session after the time Ts, a current operational parameter rating in the form of a difference between the price operational parameter rating corresponding to a given transaction and the price operational parameter rating at the opening of the archive trading session, wherein the operational level parameter rating and the current operational parameter rating represent the co-ordinates of cells of a two-dimensional table which corresponds to an archive card image, in jointly displaying a selected archive card and a marker, whose one coordinate corresponds to the current price operational parameter rating and the other to the current operational level parameter rating and which is embodied in the form of a difference between the current price operational parameter rating of the transactions of the ongoing trading session and the current price operational parameter rating at the opening of the ongoing trading session, in visually comparing the price operational parameter ratings of the ongoing trading session with the card details and in forecasting the price operational parameter rating changes towards the rating having a higher probability level.

Description

The method of graphical representation of the course of bidding on the basis of quantitative data

FIELD OF THE INVENTION

The invention relates to methods for processing data, in particular, to methods for graphically presenting data using computer technology and can be used for visual processing, analysis and forecasting of exchange or similar trading data, as a way to graphically represent the progress of exchange and similar methods of conclusion trading transactions with various financial and / or tangible assets and / or goods.

BACKGROUND

Currently known technical solutions for visualizing and / or analyzing trading information (for example, systems: QUIK - Siberian Interbank Currency Exchange or MetaStock - Reuters) are software systems for personal computers and workstations that display current data on bidding exclusively in the form of charts for the variables "Price-Time" (Fig. 1.). In these graphs, the X-axis is the axis of the current Time, and the Y-axis represents the Price at the corresponding (current) moment. When trading (for example, on the stock exchange), tens of thousands of transactions are performed on some issuers per day, and since, for example, the resolution of the display screen is less than 2000 points on the X axis, this resolution does not allow you to display all the information directly and forces it to trade even for one day use conditional representation of data in the form of figures. Information is generally displayed as a sequence vertical figures: strokes with horizontal protrusions, or strokes with rectangles superimposed on them, or their modifications. The extreme points of the stroke correspond to the maximum and minimum value of the price for the time interval chosen by the User (at least 1 minute), the price of the first and last transactions (for the same period) is displayed, respectively, by protrusions on the bars, or the top and bottom of the rectangle, and the width of the figure corresponds to selected time span. Archived data are presented in the same format.

The disadvantage of the method of presenting data using the “Price-Time” graph is the limited ability to make a reasonable operational analysis and forecast, because these operations are carried out either according to the “general view” of the schedule, “at a glance”, without taking into account any systematic archival information, or using the so-called Indexes i.e. curves plotted on this graph, but calculated based on arbitrary subjective considerations.

Practice has shown that when using charts in the “Price-Time” variables for analysis and forecasting, it is extremely difficult to determine: in which direction the trend is developing and in what area is the Price at the moment of the trading session, which leads to erroneous decisions and losses.

The disadvantages of this method are its low functionality, the irretrievable loss and distortion of information for direct analysis, due to its presentation in the form of figures, as well as the inability to display historical data for an arbitrary period of time arbitrary accuracy in the visible field in connection with the aforementioned physical limitation of the resolution of the information display means, i.e. the method does not allow for a joint graphical representation of archival and current information on the course of bidding, thereby significantly reducing the prognostic capabilities of the method.

Conducted patent research to find solutions similar to the proposed method and identify the closest analogue to it showed that in the patent funds of the leading countries of the world there are none. In this connection, it should be pointed out that a close technical analogue of the proposed method has not been identified.

From remote analog methods, one can indicate the Amelin method of computer graphic representation of the financial condition of an enterprise, which includes access to the initial parameters of financial indicators, recording input parameters, modeling the output parameters of the model, graphical construction and visual display of the model, while determining the integrated values of the functions of financial indicators the analyzed enterprise, including at least indicators of business activity, capital adequacy, achestva assets, profitability, financial stability and liquidity, form graphics model, each element of which corresponds to a specific function integrated value assets and financial performance enterprise liabilities (see. JNs RF Patent 2226296, cl. G06F 17/60, 2004).

The disadvantage of this method is the absolutely arbitrary and conditional representation of specific quantitative parameters. SUMMARY OF THE INVENTION

The technical result, which the proposed method aims to achieve, is to provide a simultaneous joint graphical representation of archived and current operational information on the course of bidding. Further, when describing the implementation of the method, operational parameters are understood as parameters calculated on the basis of the price of transactions during the bidding.

The technical result is achieved due to the fact that the method of graphical presentation on the basis of quantitative data on the course of exchange and similar methods of concluding trading transactions provides that at least one computing device (WU) enter archive information about transactions recorded during trading sessions that took place before the current trading session and carry out operations when, using at least one WU for each of the selected points in time Tv for each of the archived trading sessions these values are determined by: the operating parameter of the level (OPU) (selected as the maximum in absolute value from the calculated differences between the values of the recorded operational parameter (ROP), which is the price, up to the selected point in time Tv and the value of the ROP at the time of opening the archived trading session), and also for each transaction from the archived trading session being processed, after the time Tv, the value of the current operational parameter (TOP) is determined as the difference between the ROP values corresponding to E the transaction and transaction at the time of opening the archived trading session being processed.

Obtained as a result of the above calculations in at least one WU, the values of the OPU and TOP according to the rule chosen for convenience, are assigned to the numbers of rows and columns of cells of a two-dimensional table formed in at least one storage device (RAM) . In the cells of the table summarize and remember the values that display the facts of transactions characterized by the corresponding cell numbers values of the OPU and TOP for the time point TV. The two-dimensional tables obtained in this way for each selected point in time Tv can be normalized according to a rule chosen for reasons of convenience and stored in at least one memory with the possibility of their subsequent reproduction by at least one means for displaying information in the form images of archive maps, which are two-dimensional images of the map of levels of probability of the transaction having the parameters of the profit and loss terms and depending on the calculated values of the profit and loss tax and the top as the coordinates ichiem them areas corresponding to the identified levels of probability.

During the current trading session, one selects from the at least one memory a previously generated two-dimensional table corresponding to the image of the archive map for the time point Tv, closest of all other time points to the real moment of the current trading session, but earlier than this moment. The coordinates of the cells of the selected table in at least one WU are converted into real coordinates by means of computational operations inverse to those with which the tables were filled, taking into account the fact that where necessary, use the ROP value at the time of opening a passing trading session. Then, the two-dimensional table along with the values of the real coordinates is stored in at least one memory, and also entered in at least one VU, where at the same time the current ROP values for transactions of the current trading session are entered in real time.

At the same time, using at least one means for displaying information reproduce jointly displayed: the image of the selected archive map and marker. One coordinate of the Marker corresponds to the current value of the ROP, and the other corresponds to the current value of the RRP (selected as the maximum in absolute value from the calculated differences between the ROP of transactions of the current session up to a given point in time and the value of the ROP at the time of opening of the current trading session), and a visual comparison of the values of the ROP current trading session and previously held archived trading sessions.

Next, a forecast is made of the change in the ROP towards values with a high level of probability. The forecast is expediently carried out by observing the position of at least one marker corresponding to the current value of the ROP, and visually assessing the position of this marker relative to the image details of the archive map. In addition, the generated two-dimensional table can be stored in at least one memory with the ability to transfer all values to an arbitrary storage medium. In a preferred embodiment, the values representing transactions in the cells of the two-dimensional table are uniform marks, with each mark being a pre-selected value, for example, a unit, when registering only the fact of a transaction, or a number reflecting the number of physical units of the goods participating in transactions, or a number reflecting the value of the asset involved in transactions.

In the case of strong fluctuations in the price of the first deals when opening a session, using at least one WU, for each of the processed transactions of both archive and current sessions, when calculating the profit and loss parameters and the TOP, use the difference between the ROP parameter of the processed transaction and the average value ROP parameters of all transactions for an arbitrary initial period of the corresponding trading session, moreover, averaging is carried out for an arbitrary but the same period of time in the interval from the moment of opening the session to the end of the first 30 minutes of it currents.

In the most general and most preferred embodiment, two-dimensional tables corresponding to images of archive maps for neighboring instants of time are recorded in at least one memory, and the values of probability levels for identical coordinates on images of neighboring archive maps are interpolated to form a three-dimensional image with the possibility of location in it at least one marker that marks the current ROP values for the current value of the OPU, with the ability to display the data using, at least least one means for displaying information. In some cases, it may be more expedient to create a two-dimensional table corresponding to the image of the archive card for a real moment in time of the current trading session in at least one memory and using at least one memory to select all data on the basis of real-time information data corresponding to the current value of the SDA, and present them using at least one means for displaying information in the form of an image of a section of the archive map for the current value of the SDA, in two dimensions coordinate system, one axis of which corresponds to the values of probability levels, and the other axis corresponds to ROP values with the possibility of displaying in this coordinate system the position of at least one marker corresponding to the current ROP value. In addition, the image of the archive map can be presented in advance, before the start of the current trading session using at least one tool or subject to display information, and markers corresponding to the current ROP values can be applied to the received image manually during the current trading session.

LIST OF DRAWINGS

The invention is illustrated by figures, where figure 2 presents a map of probability levels, also called an archive map or an attractor map (A-map, or KA) and built on the basis of archival information obtained at past (archived) trading sessions. On Fig.3 shows an enlarged working fragment of the prepared archive map, with with the help of which one can make a historically objectively substantiated forecast of a further trend in the registered parameter (Prices). Figure 4 shows the profile of the archive map of Figure 3 for the current SDA, on which the ROP (Price) parameter is currently located and is changing.

PREFERRED EMBODIMENTS FOR CARRYING OUT THE INVENTION The construction of an A-card is as follows. Pl. The type of archival information that will be displayed on the A-card is selected in advance: either the fact of a transaction at a given price, or the number, for example, of shares sold at a given price, or the amount of funds participating in transactions at a given price, or another parameter of interest to the User ( further in the description of the invention, an option is used to display the fact of the transaction). P2. The time moment Tv is selected for which an A-card is being built. PZ. For each trading session (i.e., every business day) for the date range selected by the User, the following operations are performed. P4. For the selected time instant Tv, the operational level parameter (OPU) is calculated.

The OPU parameter is defined as follows: for all transactions registered prior to the moment of TV, the difference between the Transaction Price and the Price for opening a session is calculated. Further, as the OPU, the difference with the maximum, in absolute value, value is selected.

A5. For each transaction of the analyzed trading session, carried out after the specified time Tv, the current operational parameter (TOP) is determined and in the table in which data is stored, to the cell with the numbers of columns and rows corresponding to (according to the rule chosen for reasons of convenience) OPU and TOP are added defined in Pl. the value is either a fixed number, for example, a unit, if only the fact of the transaction is reflected, or the number, for example, of the shares sold in this transaction, or the amount of funds participating in this transaction, or another.

The TOP parameter is the difference between the values of the current Price of the transaction being processed and the Price at the time the session is opened. P6. After processing all trading sessions for the selected date range in this way, the resulting table of values will be a numerical expression of the A-card for the time of TV. Further, the tables, according to the rule chosen for reasons of convenience, can be normalized, for example, by dividing the values in each cell by the sum of the values by cells, or by rows, or by any other selected method.

P7. Further, the table is stored on a physical storage medium (for example, in the form of a file). P8. Next, the next point in time is selected for which a similar A-card is built and the sequence of actions (PZ - P7) is repeated.

The use of A-cards is carried out in the following way. Il. From the source of operational data (such as a server), current information is received. During the current trading session, depending on the current real time Ttek, a file with an A-card is calculated, calculated for a point in time Tx such that it is the closest to Ttek from all the moments earlier than the current moment of Ttek. AND 2. The cell numbers of the table with the A-card are recalculated relative to the Price at the time of opening of this session and the A-card is displayed using physical means of displaying information in the converted coordinates (values of the real Price) for X and Y.

To be converted into real coordinates, computational operations are performed that are inverse to those with which the tables were filled in P5., Taking into account the fact that where necessary, use the ROP value at the time of opening a passing trading session. That is, for example, to the number (column or row) of the cell corresponding to a certain TOP or OPU, at the right stage of carrying out the indicated reverse operations, the Price for opening a passing trading session is added. OF. Further, at the current moment Ttek, the Yl parameter is determined (equal to the current TOP - the maximum deviation of the Transaction Price from the Open Price in absolute value).

I4. Further, the Price of the current XM transaction is displayed by an arbitrarily selected marker M on the A-card at the point corresponding to the parameters (XM, Yl).

I5. A visual analysis of the situation at the moment of the trading session is performed and at the same time, a historically substantiated forecast of the trend of the Price change can be made: it will increase, decrease or fluctuate around a certain value. The visual forecast is carried out by observing and evaluating the position of the marker M of the current Price relative to the details of the “relief” at the level of Yl. Because The “relief” of the level map on the basis of historical data displays the probability that the Price has a value of X, then we should expect that the Price with a value of XM will change, i.e. move relative to the "relieves", in the direction from lower values of probability to large, ie towards the “peak peaks” along the X axis.

Thus, the presentation of archived data in the form of a map allows by directly combining graphic images of archived and current information to directly compare it, analyze the current state of trading, and also make historically reasonable forecasts.

Below we consider the illustrations for the proposed method. As an example, figure 2 presents the A-card, built on the basis of archival information (in this case, for shares of RAO UES of Russia at 12:00 Moscow time for a trading session on the MICEX). The X axis, in this case, is the axis of the Current transaction price itself (the current operational TOP parameter), and the Y axis is the axis of the operational level parameter (OPU), which determines at what level of Y in real time it is necessary to draw the marker movement of the current Price, and also take into account "reference", i.e. archival information.

“Relief” levels, drawn in a certain color (filled with different densities), are calculated on the basis of historical data and correspond to the probability that for a given value of the profit and loss ratio the Price (in previous sessions) had the value indicated on the X axis for the entire period of time from the moment on which the map is built, i.e. TV and to the end of trading session. Thus, when observing the position on the A-map of the Marker of the current Price (oblique cross in Fig.), A historically objectively substantiated forecast can be made about the further trend of the Price change. For example, in FIG. 3, the Price is likely to change in the direction of the nearest maximum, located at the level of Y = 8.27 rubles, i.e. move right, i.e. grow to a value of approximately X = 8.34 rubles.

For individual periods or assets, when and at which an extremely sharp change in the price of transactions occurs at the beginning of the session, you can use as the ROP value, relative to which the profit and loss ratio are calculated, the average value of the prices of the first transactions for the period chosen by the User in the range from the beginning of the corresponding trading session and until the completion of the first 30 minutes of its course. For the practical implementation of this, in the description of the method, it is necessary to mean everywhere, instead of “POP at the moment of opening the session”, the indicated average value, and its calculation is performed as standard, like (POP (1) + POP (2) + ... + POP (N) ) / N For individual periods or assets, when and for which the GTE parameter rarely changes, a two-dimensional table corresponding to the image of the archive map for the real time of the current trading session is recorded in the memory and based on real-time information, all data corresponding to tech to the value of the income statement. Further, these data are represented by means for displaying information in the form of an archive section image maps for the current value of the SDA in a two-dimensional coordinate system, which are, on the one hand, the values of probability levels (for example, the Y axis), and, on the other hand, the values of the ROP (for example, the X axis). In the same image, the position of the marker corresponding to the current ROP value is displayed.

Figure 4 shows the profile of the A-card of Figure 3 for the level of profit and loss tax Y = 8.27 rubles, at which the Price is located, and the position of the current value of the ROP is marked with an oblique cross (Marker). In this case, we should expect that the Price will most likely change in the direction of the nearest maximum, i.e. move right, i.e. grow to a value of approximately X = 8.34 rubles.

Thus, the use of the invention implements a simultaneous joint graphical representation of archival and current operational information on the course of bidding and allows you to make historically reasonable forecast of the further course of bidding.

Claims

Claim

1. A method of graphical presentation based on quantitative data on the progress of exchange and similar methods of concluding trading transactions, which consists in the fact that at least one computing device (WU) enter archive information about transactions recorded during trading sessions held prior to the start of the current trading session, and using at least one WU for each of the selected time points Tv for each of the archived trading sessions, the following values are determined: operational level parameter (OPU), selectable as the maximum in absolute value of the calculated differences between the values of the registered operational parameter (ROP), which is the price, up to the selected point in time Tv and the value of the ROP at the time of opening the processed archived trading session, for each transaction from the processed archived trading session after the moment of time Tv determine the value of the current operational parameter (TOP) as the difference between the value of the ROP corresponding to this transaction and the value of the ROP at the time of opening the archived bargain of the new session, the results of the calculations in at least one WU obtained as a result of the above calculations associate the values of the OPU and TOP in accordance with the coordinate values of the cells of the two-dimensional table formed in the at least one storage device (RAM), and in these cells they summarize and remember the values that reflect the facts of transactions characterized by the corresponding cell coordinates with the values of the profit and loss tax and the top for the time point Tv obtained in this way for each the selected time point Tv two-dimensional tables are stored in at least one memory with the possibility of their subsequent playback by at least one means for displaying information in the form of images of archive maps, which are two-dimensional images depending on the calculated values of the RAM and the TOP as coordinates maps of levels of probability that the transaction has the parameters of profit and loss and top, and characterized by the presence on them of zones corresponding to the identified levels of probability, while during the current trading session from at least one memory, they compute a previously generated two-dimensional table corresponding to the image of the archive map for the time instant Tv, closest of all other time instants to the actual moment of the current trading session, but earlier than this moment, the coordinates of the cells of the selected table in at least one WU is converted into real coordinates using, to add to the values of the initial coordinates of the corresponding two-dimensional table, the ROP at the time of opening a passing trading session, two-dimensional table together with the values of the real coordinates are stored in at least one memory, and also entered into at least one VU, where simultaneously with this in real time enter the current ROP values for transactions of the current trading session, and using at least one means for displaying information is reproduced jointly displayed: the image of the selected archive map and marker, one coordinate of which corresponds to the current value of the ROP, and the other to the current value of the SDA, selected as the maximum absolute the magnitude of the calculated differences between the ROP of transactions of the current session up to a given point in time and the value of the ROP at the time of opening of the current trading session, a visual comparison of the values of the ROP of the current trading session and previously held archived trading sessions is carried out and a forecast of changes in the ROP towards values with a high level of probability is carried out.

2. The method according to p. 1, characterized in that the forecast is carried out by observing the position of at least one marker corresponding to the current value of the ROP, and visually assessing the position of this marker relative to the image details of the archive map.

3. The method according to p. 1, characterized in that the generated two-dimensional table is stored in at least one memory with the ability to transfer all values to the storage medium.

4. The method according to claim 1, characterized in that the values representing transactions in the cells of the two-dimensional table are uniform marks, with each mark being a pre-selected value, for example, a unit, when registering only the fact of the transaction, or a number reflecting the number of physical units of goods involved in transactions, or a number reflecting the value of the asset participating in transactions.

5. The method according to claim 1, characterized in that, using at least one WU, for each of the processed transactions of both archive and current sessions, when calculating the parameters of the profit and loss terms, the difference between the ROP parameter of the processed transaction and the average the value of the ROP parameters of all transactions for the initial period of the corresponding trading session, and averaging is carried out for the same period of time in the interval from the moment of opening the session to the end of the first 30 minutes of its course.

6. The method according to p. 1, characterized in that two-dimensional tables corresponding to images of archive maps for neighboring instants of time are recorded in at least one memory, while the values of probability levels for the same coordinates on images of neighboring archive maps are interpolated, while forming a three-dimensional image with the possibility of placing at least one marker in it, marking the current ROP values for the current value of the RAM, with the ability to display the data using at least one second COROLLARY for displaying information.

7. The method according to p. 1, characterized in that the two-dimensional table corresponding to the image of the archive map for the real time of the current trading session, is recorded in at least one memory and using at least one WU based on real-time information select all data corresponding to the current value of the SDA, and present them using at least one means for displaying information in the form of an image of a section of the archive map for the current value of the SDA, in a two-dimensional coordinate system tension, are, on the one hand, the level of probability values and, on the other hand, values of RRR to map in this system the position coordinates of at least one marker, the corresponding current value RRR.

8. The method according to p. 1, characterized in that the image of the archive map is presented in advance, before the start of the current trading session using at least one tool or subject to display information, and markers that correspond to the current ROP values are applied to the resulting image manually during the current trading session.