JTools Table of Contents

Project Location: \JTools_OneSecondExgPlotter

When we made the decision to examine and possibly report on the Flash Crash (our Initial Report can be found here), we realized we were going to need a new set of tools to look at the data and make sense of it all. One of the first applications I developed was the One Second Exchange plotter, which charts every exchange independently for trades, bid quotes and ask quotes. I had previously done many charting applications based on 1 minute time intervals and greater, so moving to 1-second charts was not a huge leap. A bit more data is really the biggest difference, and the ability to see more detail. The One Sec Exg Plotter was the pre-cursor to the QTSequencer, which plots every trade and quote independently, and has served us well. With it we were able to visually see what we suspected, that the NYSE exchange became delayed just prior to the final plunge down and became increasingly worse as time progressed.

This application has been refined and revised many times since we began our research. The original GUI was a monster, with dozens of switches and toggles for items rarely used. Although this GUI may seem a bit daunting, I have reduced it to what I consider reasonable while still possessing nearly all of the original functionality. Many new items have also been added (such as the stack size display) and much of the original functionality has been automated.

Show below is the One Second Exchange Plotter:

Composite and Exchange Quotes:

As the program is run, exchanges that are quoting/trading the issue will automatically be enabled and checked for display. The legend will also automatically grow and shrink with the current data.

"AT" - If checked, then exchange specific trades will automatically be charted in the sequence. If unchecked then composite trades will automatically be charted in the sequence.

"O" - Turns all items available for charting on and refreshes the chart.

"X" - Turns all items in the set off and removes them from the chart and legend.

"A" - Recalculates available items based on what is shown in the display. As you zoom in and out of a chart, some exchanges may or may not be quoting/trading during that specific time. This features allows you to see specific exchanges available during the exact sequence on the chart.

"L" - Draws an item as a line segment.
"P" - Draws an item as a point.

If both L and P are both checked then line segments are drawn from a time an exchange start/stops quoting/trading, with the end points being drawn as points. If only L is checked, then line segments are drawn from the last quote/trade to the current quote/trade. If only P is checked then only points will be drawn if the exchange quoted/traded in the one second period.

"Line Width" - The line width field on the left changes the line width of composite items, the line width field on the right changes the line width of exchange specific items.

Scale Price To:
  • Price Only- Scales the chart based only on trade prices.
  • NBBO - Scales the chart to the NBBO (Composite Bids and Asks).
  • All Shown - Scales the chart to all items being charted.
  • Hard Scale - Allows you to enter the chart scaling.
Scale Volume To:
  • Auto- Scales automatically depending on what is being charted.
  • Hard Scale - Allows you to enter the chart scaling.

Trade Prices, Bid Prices, Ask Prices:
Because the application collects data in 1 second intervals, all data will have a range.

"Last" - Draw the last value for the time interval.
"High" - Draw the high value for the time interval.
"Low" - Draw the low value for the time interval.

Volume Chart As:
  • Volume- Chart trade volume
  • Tick Volume - Chart trade 'tick' volume (number of trades).
  • Quote Count - Chart quote counts.
  • Stacked Size - Draws quoting sizes stacked (one exchange on top of another) and split into bid and ask regions.
  • Exchange Quote Counts - Charts quote counts for each individual exchange.
  • BBO Change Rate - Charts the number of NBBO changes in each time interval.
"Show BBO Bands" - Shows the banding range (whose percent is set in the banding field) from the NBBO.

"QSize x 100" - Because NxCore uses round lots for quote sizes, the sizes represent the actual size divided by 100. When the round lot adjustment is made sizes are shown as their actual size.

Chart Spacing and Elements:
  • 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..
  • Price - Toggles the Price Chart on/off.
  • Vol - Toggles the Volume chart on/off.
  • Lgnd - Toggles the legend chart on/off.
  • Grids - If on, price and time grids will be displayed in the charts.
  • Circuit Brd Style - When on, lines are drawn from one item to the next in right angles. When off, lines are drawn from point to point, wherever the points may be.
  • Solif PFill - When on, points are filled solid with their color. When off, points are drawn hollow.

For a small tutorial on using the One Sec Exg Plotter, see this page "Finding The NYSE Delay".

Various indicators available in the lower chart:

Symbol Convention:

Since this application is specific to equities, you may enter symbols with or without the lowercase 'e'. Examples would be "eIBM" (the standard NxCore convention for equities) or just "IBM". By default only US Equities are used (although this can be modified by changing the exchange map entries in the INI file).

If the symbol entered is not valid, a "Symbol Not Found" message is displayed in the Name field.

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':

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