API Documentation

Introduction

NxCoreTrade has a member named nxAnalysis which contains the results of the real-time analysis performed by the Nanex Core Processors. The analysis is geared to helping you determine if a trade price is suspect and should be included or discarded from your trading engine. Although a lot of effort was put into the algorithms that determine these results, you should know that there are times when even traders with many years of experience will not be able to determine a "bad" price from a good price, even many records after the fact. You should heed the market axiom, "when in doubt, stay out".

The Nanex RealTime Analysis Engine (Analysis Engine) observes price changes and updates an internal table of the results which it then uses to determine statistically where 95% of the price changes are found. It then sets the member FilterThreshold to a value slightly higher than the 95th percentile. FilterThreshold is an integer price value and uses the NxCoreTrade.PriceType member to indicate the decimal position.

When a price change exceeds the FilterThreshold trigger, the Analysis Engine then does a more in depth look at other information. Because the analysis is done in real-time, the NxRAE Engine has no information about the next trade or any other future events. The engine then makes adjustments for any mitigating circumstances found during the in-depth analysis, and then sets the FilterLevel to a number from 2 to 7 depending on the severity of the price change.

If there are not enough mitigating factors, the Analysis Engine will set the member Filtered to the value 1. Trades with a Filtered member set to 1 are excluded from Significant High Low (SigHiLo) calculations discussed below.

Some mitigating circumstances are:

• Trading activity has greatly increased above the recent average.
• Trade occurred within first few minutes of the open.
• Long length of time since last trade update.
• Size of trade significantly larger than average trade size.
• In some circumstances, a new session high or low, or a new significant high or low will allow slightly larger price changes.
• Quality of the match to the best bid/aks, or regional bid/ask.
• Quotes from NYSE and AMEX on NYSE and AMEX issues respectively are will often mitigate a FilterLevel as high as 6, especially for the first quote of the day.
• Option trades with a strong match to a recent quote will mitigate all price change levels.
• A Match to Best bid/ask quotes will mitigate higher filter levels than a match to regional quotes.
• The price change is within reason taking into consideration the recent 60 seconds or so of trading.

NxCTAnalysis

NOTE: Analysis fields are only applied to trades eligible to set the official last sale price, which can be determined by looking at TradeConditions.

The structure NxCTAnalysis is defined in NxCoreAPI.h as:

struct NxCTAnalysis {
  int               FilterThreshold;
  unsigned char     Filtered;
  unsigned char     FilterLevel;
  unsigned char     SigHiLoType;
  unsigned char     alignment;
  unsigned int      SigHiLoSeconds;
  int               QteMatchDistanceRGN;
  int               QteMatchDistanceBBO;
  unsigned char     QteMatchTypeRGN;
  unsigned char     QteMatchTypeBBO;
  unsigned char     QteMatchFlagsRGN;
  unsigned char     QteMatchFlagsBBO;
};

The Analysis Engine compares each trade record against the last 15 - 60 minutes of the most recent quotes looking for the best matching price. It does this look-up in realtime, for both the regional quote records, and the best bid/ask quote records. Some symbols only trade through one exchange, in which those cases the best quote is equal to the regional quote. The search algorithm will first accept an exact match within the very most recent quotes, and then if it has to go further back, it will expand its search to also include near matches.

The results of the match are placed in 3 members for the Best Quote match results: QteMatchTypeBBO, QteMatchFlagsBBO, and QteMatchDistanceBBO; and 3 members for the Regional Quote Match results: QteMatchTypeRGN, QteMatchFlagsRGN, and QteMatchDistanceRGN

The table below illustrates the relationship between the FilterThreshold and the FilterLevel

FilterThreshold

A value slightly higher than the 95th percentile of the statistical price changes of this symbol. Convert to a double by using nxCoreClass.PriceToDouble(FilterThreshold,nxCoreTrade.PriceType)

Filtered

Will either be the value 0 or 1 -- acts as a final Yes/No decision based on the other analysis used by the Nanex Core Processors in deciding whether to include a trade update in the Session High/Low calculation.

FilterLevel

If non-zero, then a number from 2 to 7 that depends on the severity of the price change, from table above

SigHiLoType

Whether this trade price is a significant high or low

SigHiLoSeconds

How much time has elapsed since the price previously traded at the level of SigHiLoType. Note that the time is calculated in buckets of 15-seconds, and does not correspond to the exact second. Thus, this is best used as a filter -- a SigHiLoSeconds of 1500, for example, carries more weight than a SigHiLoSeconds of 15, since it signifies that the stock hasn't traded this low for a long time today. For Lowest and Highest, the SigHiLoSeconds will always point to beginning of session.

A working sample is available

QteMatchDistanceRGN

An integer price value which uses the NxCoreTrade.PriceType to indicate distance. If QteMatchDistanceRGN is zero, it indicates the match was exact, otherwise, the match was not exact and is nxCoreClass.PriceToDouble(QteMatchDistanceRGN, nxCoreTrade.PriceType) distance away from the QteMatchTypeRGN closest to the trade price.

QteMatchDistanceBBO

An integer price value which uses the NxCoreTrade.PriceType to indicate distance. If QteMatchDistanceBBO is zero, it indicates the match was exact, otherwise, the match was not exact and is nxCoreClass.PriceToDouble(QteMatchDistanceBBO, nxCoreTrade.PriceType) distance away from the QteMatchTypeBBO closest to the trade price.

QteMatchTypeRGN and QteMatchTypeBBO

Defines where the trade occured in relation to latest Regional (RGN) or National (BBO) best quote

QteMatchFlagsRGN and QteMatchFlagsBBO

Defines the freshness of the latest search within the past Regional (RGN) or National (BBO) best quotes