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HotPotato - Whole Market HFT/Algo Monitor
Nanex is pleased to present the world's first whole market High Frequency Quoting and Algo monitor available to investors and traders of every dimension. Born from the dozen's of proprietary NProbe utilities Nanex developed to analyze the Flash Crash and High Frequency Quoting activity on any day, the application represents the six most useful utilities rolled into one easy to use application. Simply press "Connect" and start monitoring.

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Text Lists

The text lists represent three different sets of screening criteria for individual issues. These include:
  1. High Quote Counts

    Stocks having a high number of quotes per second. These quotes can be from any exchange and may or may not effect the BBO. The Fields shown are:

    Time Time of occurrence in HH:MM:SS
    Symbol Symbol of stock.
    Count #Quotes recorded in that second.
    Trades #Trades recorded in that second.
    BBO Count #Of times quotes were the BBO.

    The threshold for this list is a minimum of 1,000 quotes per second.


  2. HFT Quote Counts (Per second, Sequential Per Exchange)

    Stocks with a high burst of quotes from a single exchange, reported sequentially with no other exchange quoting at the same time.

    Time Time of occurrence in HH:MM:SS
    Symbol Symbol of stock.
    Exchange Exchange quotes are recorded from.
    Count #Quotes recorded in that second.
    BBO Count #Of times quotes were the BBO.

    The threshold for this list is a minimum of 500 quotes per second.

    Click Here to see a few examples of charting these sequences and what one might find.


  3. Potential Algo Seq Counts (Per second, Sequential Per Exchange)

    Stocks with a high burst of quotes from a single exchange, reported sequentially with no other exchange quoting at the same time, with fluttering prices or fluttering sizes.

    Time Time of occurrence in HH:MM:SS
    Symbol Symbol of stock.
    Exchange Exchange quotes are recorded from.
    Count #Quotes recorded in that second.
    BBO Count #Of times quotes were the BBO.
    Description Description of which item is fluttering. (Bid Price, Bid Size, Ask Price, Ask Size).

    The threshold for this list is a minimum of 250 quotes per second.

    Click Here to see a few examples of charting these sequences and what one might find.



Charts

The graphical charts represent three different sets of screening criteria for the entire market. These include:
  1. #Stocks with HFT Quote Sequences/ Seq. Per Recording Exchange

    This represent the number of stocks, per reporting exchange, that exhibit unusually high rates of quotes (reported sequentially from a single exchange) in any given second. These sequences may not involve any discernible pattern but are simply very high rates of quote sequences.

  2. #Stocks with HFT Quote Sequences/ Seq. Per Listed Exchange

    This represent the number of stocks, per listed exchange, that exhibit unusually high rates of quotes (reported sequentially from a single exchange) in any given second. This chart is closely related to chart type 1, in that you will see how stocks of exchanges listing the stocks are effected by quotes made by the various reporting exchanges. As with chart type 1, these sequences may not involve any discernible pattern but are simply very high rates of quote sequences.

  3. #Stocks with HFT Algo Sequences/ Seq. Per Recording Exchange

    This represent the number of stocks, per reporting exchange, that exhibit high rates of quotes with potential patterns such as those we present in our Crop Circle of the Day page and as reported in our original Crash Flash Analysis.