API Documentation

Main Application Window - Part 01


  • Run - Click this button to begin parsing the tape or real-time stream.
  • Date of last entry - This display shows the date of the last match (or 00/00/0 if nothing has been matched).
  • Time of last entry - This display shows the time of the last match (or 00:00:00 if nothing has been matched).
  • Numeric Status - This display shows the numeric status: 0 if a job has not been run, 1 if a job completed successfully and a negative number if an error occurred.
  • Output size (lines, KB)- These displays show the size of the output in lines and KB (kilobytes).
  • NxCore Ver:- This display sohws the version the NxCore API being used.
  • Load Config - Click this button to load (read in) a previously saved configuartion file.
  • Save Config - Click this button to save the current configuration in a configuration file.
  • View Output - Click this button to open the current output file using the current text viewer.
  • Auto Start - Start processing when the window is opened using the previous settings.
  • Auto Close - Close the app after it has run through the current configuration, useful when scripting against the app.
  • Use Tape States - Enable/Disable the use of NxCore Tap States. Tape States take disk space, but save lots of time if you need to repeatedly seek ahead in the tape.
  • Exchange Time - Use the Exchange's timestamp for start and stop time cutoffs instead of NxCore time. With NxCore3 will also use the MicrosOfDayPTP1 timestamp instead of the MicrosOfDaySRC (SIP) timestamp.
  • Tape File: - Blank for current, otherwise filename of Tape to process.
  • Symbol(s): - Text file to import, or:
    • eMSFT => Output the Equity MSFT
    • eMSFT,eAAPL => MSFT and AAPL
    • oAAQ => All AAQ series contracts
    • oAAQ BH => Contract AAQ AH
    • eAAPL+o => AAPL and all options
  • Start Time: - Enter time to start time and sales output hh:mm:ss
  • Stop: - Enter time to stop output hh:mm:ss
  • Text Viewer: - Name of program to start for viewing results, default notepad.exe
  • Output File: - Name of the file to output time and sales results, e.g. C:\mycsvslivehere\20160309_export_GS.csv.
  • Symbol Header Fields (Identification)
    • Listed Exg - Include Listed Exchange. Useful if outputting more than one symbol.
      Symbol - Include Symbol. Useful if outputting more than one symbol.
      Sess. Date - Select to include the session date on every line in the format mm/dd/yyyy.
      S. ID - The Session ID, useful for tracking trading sessions that span two calendar days.
      NxCore Time - Include NxCore's 25ms resolution Timestamp in the format hh:mm:ss:mss.
      Exg. Time - Include the Exchange Timestamp in the format hh:mm:ss.
      Reporting Exg - Include Reporting Exchange.
  • Option Contract Underlying Trailer
    • UL Exg - Exchange of the underlying symbol for an option contract.
      UL Symbol - Underlying symbol for an option contract.
      Strike - Strike Price for option contract WWWW.DDD.
      Expire - Expiration date for option contract.
      Put/Call - Identifies whether an option contract is a Put (P) or Call (C).
      Contract Unit - Contract unit for an option contract (typically 100).
      OSI - Outputs the option symbol in an expanded style OSI format, e.g. oAAPL121020C0064000. *note* This takes more space.


    Main Application Window - Part 02


    Data Fields
    • Trades - Include Trades in output. Shows/Hides Trade fields.
      • Tick - Include trade price change from last trade record.
      • Size - Size of trade in shares, lots or contracts.
      • BATE - Future contracts: BATE (bid,ask,trade,exception) code.
      • ExgSeq - Include Exchange sequence in trade records.
      • PrcFlags - Hex value of price flags for the trade record.
      • CndFlags - Hex value of condition flags which are derived from the Trade condition and Exchange rules.
      • VolType - Volume update type -- whether volume should be incremented or not.
      • Condition - Include trade condition.
      • OHLC - Current session's Open, High, Low, and Last price values.
      • NetCh - Net change in price since the close of the previous session
      • TickVol - Total tick volume for current session.
      • TVol - Total cumulative share or contract volume for current session.
      • BBO - Best Bid and Ask prices from the current quote marked as BBO at the time of the trade.
      • BBO Analy - Outputs the following three NxCTAnalysis fields: QteMatchDistanceBBO, QteMatchTypeBBO, QteMatchFlagsBBO.
      • OI - Open interest -- only updates once a day.
      • ExtTC - Outputs the 4 Extended Trace Conditions added in NxCore3.
    • Regional Q - Include Regional Quotes in output Shows/Hides Exchange Quote fields.
      • PriceCh - Change in quote price from last update for the reporting exchange.
      • QteSize - Size of bid or offer.
      • SizeCh - Change in quote size from last update for the reporting exchange.
      • NqBidTick - Include Nasdaq Bid Tick field.
      • Refresh - Include Quote refresh indicator.
      • Condition - Include Quote condition.
      • Split Bid/Ask - Split each quote record into two seperate lines (one for bid, one for ask).
    • BBO Quote - Include Best Bid/Offer in output. Shows/Hides Best Bid/Offer fields.
    • MMQuotes - Include Market Maker Quotes (L2) in output. Shows/Hides Market Maker Fields.


    Main Application Window - Part 03


  • Display Options
    • Delimeter - Field delimiter. Choose '|' for easy viewing Chose ',' for loading into Excel.
      • No End Delimeter - Removes empty fields at the end of each output line.
    • Price Width - Sets default width for price fields, useful for lining up fields.
    • Size Width - Sets default width for size/integer fields, useful for lining up fields.
    • Decimals - Select a value to convert all prices to the same price type. Default does not convert. Set to .00 or .0000 for viewing Nasdaq equities.
      • No Trailing Zeroes - Removes trailing redundant zeroes to the right of the decimal point e.g. 55.000 becomes 55.
    • Compact Mode - Choose compact mode if loading into excel or other viewer. Uncheck for better readibility in Notepad.exe.
    • Compact Header - Similar to compact mode, but the headers as well as data lines.
    • BBO if not RGN - Does not output BBO field if the report exchanges is the best bid and offer.
    • Blank if Zero - Skips outputting price/integer fields with a value of zero. e.g. ,,||,, instead of ,,|0.00|,, .
    • Text Exg Fields - Text 3 or 4 letter exchange string instead of a numeric value.
    • Text Conditions - Text string for trade and quote conditions instead of a numeric value.