JTools Table of Contents

Project Location: \JTools_EXGLagMonitor

With the introduction of NxCore Version 3.0 in Q2 of 2016, the new (exchange required) extended timestamps are passed through on all US Equities.
These timestamps offer microsecond resolution. The Exchange Lag Monitors tracks two of these new timestamps:
  • SRC - The time that the message was disseminated by the SIP (or consolidated feed).
  • PTP1 - The time that the message was disseminated at the Exchange.
NOTE: The extended timestamps are only available in tapes that end with the .nx3 file extension. As of 08/17/2016 these tapes are only available historically.

With the new participant 1 timestamp, the lag time that the message took to get from the exchange to the SIP can now be determined with microsecond accuracy. By using these new timestamps, trades can now be more accurately tracked to the orders they executed on. Another useful purpose is determining the lag time it takes for each message to go from the exchange to the SIP, which can also lead to detection of problems at a specific exchange.

The exchange Lag Monitor Application is a very simple charting application that measures, averages and plots the lag time of trade and quote messages to go from the exchange to the SIP:

Reporting Exchanges / SIPS:

All reporting exchanges (for US Equities) can be enabled or disabled in the charts by checking on or off the specific exchange. You may turn all exchanges on or off with a single click by pressing the "All On" or "All Off" buttons.

Stocks that are listed on the NYSE are processed by CQS/CTS while stocks that are listed on NASDAQ are processed through UQDF/UQTF. You may choose which SIP to display stats charts by choosing the appropriate Radio button.

Chart Spacing and Elements:
  • Bar Interval- The amount of time each interval on the chart represents. This may be 1 second, 500 milliseconds, 250 milliseconds, 200 milliseconds, 100 milliseconds and 50 milliseconds. The bar interval can only be chosen when the application is not processing a tape (IE prior to starting).

  • Spacing- Amount of pixels one bar will contain in width (x axis).

  • Line Chart - Exchange plots are drawn as lines connecting one point to the next.

  • Stack Chart - Exchanges are sorted (by elapsed time) and plotted one on top of another for each interval.

  • 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..

Colors and Additional Settings:

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

JTools Table of Contents