NProbe Utilities Back to Table Of Contents The NProbe Utilities are a suite of applications that include the proprietary algorithms and charting functionality developed by the Nanex team in it's analysis of the Flash Crash on May 6, 2010. Designed to unravel every intricacy of trade and quote patterns on that day, these utilities are invaluable when it comes to staying on top of the market for potential disastrous conditions and for detailed historical analysis of previous trading days. Each application was built using the NxCore API and each can run in real time, from NxCore historical tapes or from NxCore State Tapes. Because historical NxCore tapes (files) are synchronized, replaying any market day as if it were that day is a trivial task (simply starting NxCore from a tape file as opposed to real time). HFT/Quote Stuffing Monitor: NYSE Monitor: Price Watch Monitor: Price Sequencer: Stock Screener: Strange Sequence Screener: The HFT/Quote Stuffing Monitor is designed to detect and show levels of HFT and potential quote stuffing activity. The six individual monitors include: Number of stocks with HFT Quotes / Per Listed Exg Number of stocks with HFT Quotes / Per Reporting Exg Number of stocks with HFT Quotes / Per Listed Exg / Sequential Per Reporting Exg Number of stocks with Potential Quote Stuffing / Per Reported Exg (Strange Sequences) Number of stocks with High Stub Quotes / Per Listed Exg Number of stocks with High Stub Quotes / Per Reporting Exg HFT/Quote Stuffing Monitor on a normal day: HFT/Quote Stuffing Monitor Gone Wild on 05/06/2010: The NYSE Monitor is designed to specifically detect problems with NYSE quotes and/or trades. The six individual monitors include: Number of NYSE stocks with Suspect Quote Delay Number of NYSE stocks with Slow Quote Conditions Number of NYSE stocks with Crossed Ask / Per Reporting Exg Number of NYSE stocks with Crossed Bid / Per Reporting Exg Number of NYSE trades Above Best Ask / Per Reporting Exg Number of NYSE trades Below Best Bid / Per Reporting Exg NYSE Monitor on a normal day: NYSE Monitor Gone Wild on 05/06/2010 The Price Watch Monitor is designed to analyze the trades and quotes of a single stock for each of the nine reporting exchanges and chart them in 1 second resolution for detailed analysis. The capabilities include: Composite Trade and BBO quote information (OHLC data). Trade reporting for all nine reporting exchanges (OHLC data). Bid quote reporting for all nine reporting exchanges (OHLC data). Ask quote reporting for all nine reporting exchanges (OHLC data). Bar, Line or Point charting. NYSE Bid Price Lag shown on 05/06/2010 NYSE Bid Price Lag shown on 05/06/2010 Showing bid and ask prices for all 9 reporting exchanges: Composite Bar Data: The Price Sequencer is designed to analyze large bursts of trades and quotes (which occur in a short amount of time) for a single stock and plot them all sequentially regardless of the timeframe. This helps identify strange and unusual quote or trading patterns, potential quote stuffing periods and/or detailed, sub-second analysis of trading/quoting activity. While the Price Sequencer can be used in real time it's primary use is for detailed historical analysis. The capabilities include: Composite Trade and BBO quote information. Trade reporting for all nine reporting exchanges. Bid quote reporting for all nine reporting exchanges. Ask quote reporting for all nine reporting exchanges. Line or Point charting. Strange Sequence MPW on 05/06/2010: Strange Sequence, MOO on 05/06/2010: Asksize War, AON on 07/29/2010: Close-up of brief BBO Bid/BBO Ask Cross for WMT on 07/01/2010: While the HFT Monitor and NYSE Monitor are fantastic tools to view overall market activity with, the Stock Screener pinpoints and displays individual stocks that match the specific criteria. Strength weighting allows easy picks when choosing which stocks hold the most potential in the analysis. The capabilities include: NYSE Stocks with Potential Lagging Bids. NYSE Stocks with Potential Lagging Asks. NYSE Stocks in Slow Mode. NYSE Irregular Trades (seq. Below Best Bid/Above Best Ask). HFT Low Volume Trades (Vol<=100, Per Sec, Sequential Per Exg). HFT Quote Counts. HFT Quote Counts (Per Sec, Sequential Per Exg). Potential Strange HFT Sequences (Per Sec, Sequential Per Exg). Stock Screener Display: While the Stock Screener has a single "strange sequence" monitor that is very effective, the Strange Sequence Monitor allows us to easily find and/or predict what we will see in the chart patterns before we pull up a stock for analysis. Several distinct patterns types are sought after and while the pattern recognition is really very simple it's ability to "find a bot" quickly is remarkable. The capabilities include: BidSize and AskSize Runups/downs (sequential per exchange, continuous size adjustment in high volumes). BidPrice and AskPrice Runups/downs (sequential per exchange, continuous price adjustment in high volumes). Size and Price Cycling (sequential per exchange, continuous size/price cycling in high volumes). Alternating Stub Sequences within cycles. Strange Sequence Screener Display: Inquiries: pr@nanex.net Publication Date: July 08, 2010 http://www.nanex.net This report and all material shown on this website is published by Nanex, LLC and may not be reproduced, disseminated, or distributed, in part or in whole, by any means, outside of the recipient's organization without express written authorization from Nanex. It is a violation of federal copyright law to reproduce all or part of this publication or its contents by any means. This material does not constitute a solicitation for the purchase or sale of any securities or investments. The opinions expressed herein are based on publicly available information and are considered reliable. However, Nanex makes NO WARRANTIES OR REPRESENTATIONS OF ANY SORT with respect to this report. Any person using this material does so solely at their own risk and Nanex and/or its employees shall be under no liability whatsoever in any respect thereof.