| CPC G06Q 40/04 (2013.01) [G06Q 10/06315 (2013.01); G06Q 30/0201 (2013.01)] | 20 Claims |
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1. A computer implemented method for automatically recreating and displaying a chronology of market events that led to a variation in a profit and loss (PnL) account of an entity implementing a trading strategy, the trading strategy being executed by a plurality of processing devices which are remotely located from one another, comprising:
detecting a PnL variation by analyzing a value of an aggregated PnL account associated with one or more securities traded by the entity, the value of the aggregated PnL account being calculated by a central server operatively connected to the plurality of processing devices in real-time or near-real time;
analyzing order entry channels sent and received by each of the plurality of processing devices, the order entry channels comprising orders placed by the entity, each order being associated with a session ID, and identifying therefrom a variation order that, when fulfilled, led to a transaction that caused the PnL variation, the variation order being identified by comparing a transaction timestamp with a time at which the PnL variation occurred;
identifying, from the plurality of processing devices, an executing processing device that placed the variation order which led to the transaction using a mapping table linking session IDs to the plurality of processing devices;
requesting, from servers of market data providers, using an Application Programming Interface (API), market data feeds associated with underlying securities on which the one or more securities traded by the entity are based;
analyzing the market data feeds that were used by the executing processing device when the variation order was fulfilled, including filtering the market data feeds based on unique identifiers associated with the underlying securities and normalizing the market data feeds into a uniform format to obtain normalized market data;
further identifying, from said market data feeds used by the executing processing device, concomitant market events that were concomitant with the transaction that caused the PnL variation, based on timestamps derived from the normalized market data;
using the timestamps derived from the normalized market data, organizing the concomitant market events in a time frame to obtain a chronological representation thereof, from a standpoint of the executing processing device;
displaying within a graphical user interface:
a life cycle of the variation order that led to the transaction, wherein life cycle data is obtained from one or more order entry channels associated with the entity; and
the concomitant market events, wherein the concomitant market events are provided by the market data feeds;
capturing a first input by a user on the graphical user interface, positioned on or close to a first market event representation;
capturing a second input by the user on the graphical user interface, positioned on or close to a second market event representation;
measuring time differences between the first market event representation and the second market event representation; and
displaying on the graphical user interface the time differences between the first market event representation and the second market event representation;
whereby the graphical user interface automatically recreates and displays the chronology of the market events that led to the transaction that caused the variation of the aggregated PnL account, and calculates, based on captured user inputs, the time differences of the market events that occurred on remote processing devices from the standpoint of the executing processing device.
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