Patent ID: 7912775

Claim:
A method for analyzing liquidity, the method comprising: monitoring by a computing system at least one trading interest provided by a specific market participant for a specified financial instrument on a securities market, the specified financial instrument having an inside spread; analyzing by the computing system the trading interest provided by the specific market participant in the specified financial instrument and determining a best price provided by the specific market participant for the specified financial instrument on the securities market at a first time, wherein the best price is a bid or offer price, is inside or outside the inside spread, and is for a bid or offer that is not executed at the first time; determining by the computing system a market best price for the specified financial instrument at the first time, wherein the market best price represents a price of an executed trade; comparing by the computing system the best price provided by the specific market participant for the specified financial instrument at the first time to the market best price for the specified financial instrument at the first time, wherein the comparison identifies instances where the best price provided by the specific market participant for the specified financial instrument at the first time is the same as the market best price for the specified financial instrument at the first time, and the comparison also identifies instances where the best price provided by the specific market participant for the specified financial instrument at the first time is not the same as the market best price for the specified financial instrument at the first time; recording by the computing system the results of the comparison; generating by the computing system liquidity statistics for the specific market participant from the recorded results, said results based on at least two separate comparisons occurring at least at the first time and at a subsequent time, and said liquidity statistics identifying instances where the best price provided by the specific market participant for the specified financial instrument at the first time is the same as the market best price for the specified financial instrument at the first time; and identifying instances where the best price provided by the specific market participant for the specified financial instrument at the first time is not the same as the market best price for the specified financial instrument at the first time; and generating by the computing system at least one report from the generated liquidity statistics.