JTOOLS HFT HOTPOTATO


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Project Location: \JTools_HFTHotPotato


Since the Flash Crash of May 6, 2010, we have continued to research and investigate strange market phenomena. During this time I have personally developed dozens of applications to screen for such activity and using tools such as the QTSequencer, one can easily visualize the activity on a sub-second (tick) level. However, randomly poking about times in various stocks will yield little valuable results, what is needed is something to screen through the universe of stocks in real time and display the results. The HotPotato application is a conglomeration of three filters I continue to use on a daily basis - High Quote Rates, Wide NBBO Spreads and Explode/Implode (mini-crash) filters.

While The HotPotato monitor produces results one would expect and is very accurate, there is nothing magical about the filters themselves and the math behind them is extremely simple. The true magic is NxCore, enabling you to filter through the entire universe of stocks in real time (or using historical tapes).

The application also demonstrates how to implement a separate data array (which will contains data for each issue) and use the UserData1 element to properly index into the array for each individual issue, providing fast whole market analysis.




Raw Quote Counts

GUI Items:
  • Per Second - If checked, quote rates are measured every second. If unchecked, every minute.
  • Threshold - Quote Rate threshold. Rates must exceed this threshold to be displayed.
  • HiLiThresh - Quote Rate highlight threshold. Rates must exceed this threshold to be highlighted in the display.
List Items:
  • Time - Time that the sequence occurred.
  • Symbol - Symbol of the equity with high quote rates.
  • Count - Number of quotes counted in the time period specified.
  • Trade - Number of trades counted in the time period specified.
  • BBO - Number of time the NBBO changed during the time period specified.
NBBO Wide Spreads

GUI Items:
  • Per Second - If checked, quote rates are measured every second. If unchecked, every minute.
  • Threshold - Spread Count threshold. Counts must exceed this threshold to be displayed.
  • HiLiThresh - Spread Count highlight threshold. Counts must exceed this threshold to be highlighted in the display.
  • Price> - Price threshold. The price of the issue must exceed this threshold to be displayed.
  • Spread> - Spread threshold. The spread (as a % of price) must exceed this threshold to be counted.
List Items:
  • Time - Time that the sequence occurred.
  • Symbol - Symbol of the equity with high quote rates.
  • LPrice - Current price of the issue.
  • Count - Number of wide spreads counted in the time period specified.
  • Trade - Number of trades counted in the time period specified.
  • Low% - Lowest wide spread counted in the sequence.
  • High% - Highest wide spread counted in the sequence.
 Explode/Implode (mini crash monitor)

GUI Items:
  • Per Second - If checked, quote rates are measured every second. If unchecked, every minute.
  • Price> - Price threshold. The price of the issue must exceed this threshold to be displayed.
  • Perc> - Percentage move. The price move (as a % of price) must exceed this threshold to be counted.
  • HiLiPerc> - Percentage move highlight threshold. The price move (as a % of price) must exceed this threshold to be highlighted in the display.
List Items:
  • Time - Time that the sequence occurred.
  • Symbol - Symbol of the equity.
  • LPrice - Price of the issue in the previous time period (before the move was recorded).
  • Price - Current price of the issue.
  • %Away - Percentage of price move (from LPrice).
Notes regarding specific filters:

Raw Quote Rates:

This filter scans for quote rates higher than a set threshold. My personal preference on this filter is by seconds. In many cases stocks will run with very high rates for a few seconds and will become obscured when averaged into a minute timeframe. The minute timeframe can be useful but my preference is by seconds.

NBBO Wide Spreads:

This filter scans for quotes were the NBBO is extremely wide (as a percentage of price). For this filter my preference is by minutes. While timing by second will also yield valuable results, by minute allows you see more of an over-all view of the wide spread amounts.

Explode/Implode:

This filter scans for sudden price swings in a stock. My preference for this filter is also by seconds. By minute will almost always generate the same stocks as by second timing, but by second timing will produce more results and these "mini-crashes" often happen in 1 second or less.


See examples of using HotPotato here.



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