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Project Location: \JTools_QuoteMontageHFT

The Quote Montage HFT Application is one I initially wrote to test a new server and at the same time, we wanted a new tool for viewing specific quoting stats in any single stock (specifically when we would see high speed algos running in particular issues). I've since converted it over to the JTools/NxCore framework and it is humming along better than ever.

The Quote Montage Application demonstrates several key concepts several key concepts related to both NxCore/GUI systems intended for real world use, including:
  • How to use ExgQuotes and StateExgQuotes in NxCore.
  • How to avoid using costly string compares when processing data by making use of each symbol's userdata members.
  • How to collect company names and easily attach them to userdata members for instant retrieval (one method of many).
  • How to keep the entire application integer based (only converting to floating point when a GUI element is actually populated).
  • How to process data rapidly onto the GUI (even when running historical tapes at full blast) without losing responsiveness.


The stats listed in the HFT Quote Montage application are total since the time listening (may not represent the entire day unless you've been watching the same symbol the entire day) and for the most current one second interval.

Composite Stats in upper section of application:
  • LTrade Time - Time of the last trade.
  • Last - Price of the last trade.
  • Size - Size of the last trade.
  • Av Size - Average size of trades.
  • NetChg - Net change of price from the previous trading day.
  • Spread - Spread of the National Best Bid and National Best Ask.
  • Min Spread - Smallest spread of the National Best Bid and National Best Ask.
  • Max Spread - Largest spread of the National Best Bid and National Best Ask.
  • Listen Time - Time listening to the specific equity.
  • Trade Counts - Count of total trades and trades for the last second.
  • Quote/Trade Ratio - The total quote/trade ratio and the quote/trade ratio for the last second.
  • Quote Counts - Total quote counts for all reporting exchanges and for the last second.
  • BBO Change Counts - Total number of times the NBBO has changed and for the last second.
  • BBO Exchange Counts - Total times the best bid exchange does not equal the best ask exchange and total times the best bid exchange equals the best ask exchange.
Montage stats specific to each reporting exchange:
  • Exg- The reporting exchange.
  • Time - Time of the last quote for the reporting exchange.
  • BSize - Size of the bid for the reporting exchange.
  • BPrice - Price of the bid quote for the reporting exchange.
  • NBBO - If the exchange has captured the National Best Bid, this field will be highlighted with "NBBO".
  • NBBO - If the exchange has captured the National Best Ask, this field will be highlighted with "NBBO".
  • APrice - Price of the ask quote for the reporting exchange
  • ASize - Size of the ask quote for the reporting exchange.
  • 1Sec - Total number of quotes reported from the exchange the last second.
  • Total - Total number of quotes reported from the exchange since listening.
  • Spread - Spread of the reporting exchange quote.
  • MinSpr - Smallest spread of the reporting quote.
  • MaxSpr - Largest spread of the reporting quote.

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".

Furthermore, because a symbol may be duplicated on more than one listing exchange. For instance GE is listed on both the NYSE and Canadian exchange, and represent different companies. While the symbols default to the US symbols, it is possible to specify the listing exchange the symbol. As an example of how to specify the listing exchange in the symbol:
  • GE or GE:3 - General Electric on the NYSE exchange (exchange # 3).
  • GE:19 - Granville Pacific Capital Corp on the CDNX exchange (exchange #19).

The exchange designators correspond to the default NxCore exchange codes found here: NxCore Exchange Codes

You may enter a new symbol at any time. Simply type in the symbol and press the ENTER key. If the symbol is valid, the display will clear and immediately populate with with the current quotes from each exchange and the most recent price information (through the use of NxCoreStateGetExgQuotes and NxCoreStateGetLastTrade). After that the stats and montage list are populated with all streaming trade and quote messages (NxMSG_TRADE and NxMSG_EXGQUOTE).

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

You can cancel listening to a symbol by simply clearing the symbol and pressing the ENTER key.

If you have not started NxCore prior to entering a symbol then NxCore will be started when you press ENTER. When doing this, it may take a couple seconds for the symbol's name to appear as NxCore has just started and the category information (with company names) does not become available for the first few minutes of the tape. When entering symbols after the tape has been started all information is delivered immediately.

One further caveat - if you have started NxCore using an NxCore State File (as opposed to an NxCore historical tape) the company names will most likely not be available. This is because the state file will (most likely) be from a timeframe beyond the Category 4 messages (which occur in the first few minutes of the tape) and as such, they are not available at the point where the state file begins to process the tape. No other aspect of the application is effected when running from state files.


While the application was written with the intention of viewing equities in real time, you can also blast through a historical tape as fast as possible and the application will remain snappy and responsive. This is accomplished through a variety of mechanisms:
  • The use of the userdata1 field contained in each NxCore symbol string which is unique (and remains static) to all issues in the system. By using this field to designate when a symbol has interest set, all string compares can be eliminated during processing of the stream. It cannot be over emphasized how much processing time is saved when eliminating string compares in a whole-market feed.

  • The application was intended for a human to view. While quotes may change 1000's of times a second, a human can simply not process every change in that time frame. The human brain will see a seamless display if the display is updating approx. 24 times a second. Now, updating any GUI element is about the most processing intensive item you can do in any one single line of code. So, if the human brain cannot distinguish detail at 24 times a second, why update the display any more than that? The Quote Montage display list in this application is updated from a timer which remains constant as the application runs. The timer is fired every 40 milliseconds, which equates to 25 updates per second. Additionally, any item that has not changed during a refresh cycle is not updated. This does mean keeping track of the values set and doing simple compares at every refresh, but doing those compares is far less expensive than a GUI field update.

  • All values are stored, used and calculated using the raw NxCore price integer (as opposed to converting every price field to a double for each message). The price type of each item is also stored and the only time a price is converted into a double is when it is actually used to update a GUI fields and be displayed to the user.

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