Patent ID: 7664695

Claim:
A method of tracking activity of a plurality of market makers where the market makers place bids and asks relating to securities traded on at least one common exchange, the method comprising the steps of: receiving with an electronic receiver a dynamically updated data stream of market data containing level 2 data relating to at least a predetermined set of securities traded over the at least one common exchange, the received level 2 data containing, for market makers associated with each of the predetermined securities, active bids each having a bid volume and active asks each having an ask volume; and analyzing each data item within the data stream with an automated computer processor configured for executing logic and transforming the market data by: for each security from the predetermined set of securities, summing the volume of all active market makers' bids from the dynamically updated data stream and associated with the security to establish a total of all active market maker bid volume for the security; for each security from the predetermined set of securities, summing the volume of all active market makers' asks from the dynamically updated data stream and associated with the security to establish a total of all active market maker ask volume for the security; and for each security, updating all of the total active market maker bid volumes and all of the total active market maker ask volumes to be current relative to the dynamically updated data stream; wherein the dynamically updated total active market maker bid volume compared to the dynamically updated total active market maker ask volume respectfully for each predetermined security is indicative of a temporary imbalance in market maker activity for the security.