JTOOLS ALPHA CHANNEL HEAT MONITOR


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Project Location: \JTools_HFTAlphaChannelHeat

During our Flash Crash analysis, we were constantly looking for new ways to visualize the information we were looking at. One of the focus's of the analysis was on delays and saturation of CQS/UQDF due to extremely high quote traffic. Because the feeds from each have Channels, or Lines, which represent stocks by alphabet, we wanted a tool to show us how each channel was effected to a given circumstance. I developed a charting system that would show intensity of any given alpha channel by color. The system works in one second intervals and the heat is calculated for activity during each second. One study we performed with the system was the intensity of delays on the NYSE exchange: Alpha Delay Analysis. We then went on to calculate other various items with the system and one that has become something I watch daily is quote rates. Additionally, the original application had a few limitations which I have improved upon in this version. Some of the improvements include:
  • Channels are now defined in a simple text file (similar to each application's INI file) called Channel Definition Files. The specific listing exchanges, number of channels and which channel each alpha character belongs to. The chart (and data calculated) will adjust accordingly based on the information contained in the channel definition file.
  • Heat colors are now read from the file NxGradientColors.txt which provides a much richer color map.
  • Optimized methods for retrieval and calculation of data.
This application would be extremely easy to modify to display heat specific to an alpha channel for just about any imaginable analysis.

Displaying CQS Channel quoting heat at the opening bell:



Displaying UQDF Channel quoting heat at the opening bell:




Displaying Channel quoting heat based on a custom channel definition file:

Chart
  • Top- Channel title and date shown.
  • Left Scale- To the left of the chart is a number representing the channel number.
  • Right Scale - Alpha characters contained in the channel.
 Switches and Toggles:
  • Bar Spacing- Amount of pixels one bar will contain in width (x axis).
  • Pause Chart - Will pause chart plotting while still collecting data.
  • JmpRT - If the chart has been scrolled back in time, JmpRT will be enabled and pressing it will cause the chart to jump forward to the most recent time..
  • Vert Separator - Toggle vertical line seperation on/off.
  • Horz Separator - Toggle horizontal line seperation on/off.
  • Threshold - Highest threshold for each channel.
  • Legend Exchange - Because multiple exchanges may be included in a channel definition, and each exchange may use different symbol ranges for a particular channel, this option lets you change which exchanges symbol range is displayed in the chart legend).
  • All - When you change the threshold, only new data is colored using the new threshold. Press 'All' to recalculate all data with the new threshold number.


Channel Definition File:

The Channel Definition files allow you to determine and set:
  1. Title for the Channel Definition
  2. Number of channels.
  3. Threshold (upper limit) for each channel.
  4. Exchange - Exchange Channel List (this may be one or multiple exchanges).
    Each channel is followed by a start and stop symbol that specify the range for the channel, for the particular exchange.


(NOTE that the first exchange listed in the file will be the one used to populate the chart legend)


Use the 'Channel Def' button to open a file browsing dialog and load new definition files. Definition files may only be loaded when NxCore is not running.




Colors:

You may change colors for he entire application by clicking on the application icon in the upper left corner, and choosing 'Color Prefs':





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