Patent ID: 7827091

Claim:
A method of tracking activity of a plurality of market makers relating to securities traded on at least one common exchange where the market makers place bids and asks, comprising: receiving with an electronic data receiver a dynamically updated data stream containing level 1 and level 2 data relating to a plurality of securities traded over the at least one exchange, the level 1 data including at least the last trade price, inside bid and inside ask of each security and the level 2 data containing a bid price, a bid time, a bid volume an exchange identifier, a security identifier, and a market maker identifier for each bid, and an ask price, an ask volume, an ask time, an exchange identifier, a security identifier and a market maker identifier for each ask; and calculating for each security in a set of securities with an electronic processor configured to execute logic a total number of market makers at the inside market, and a difference between a number of market makers at an inside bid price and a number of market makers at an inside ask price, wherein the calculated difference functions as an indicator of a temporary imbalance in market maker activity for at least one of the securities.