ABOUT HFT ALERT LITE
ABOUT HFT ALERT LITE
ABOUT HFT ALERT LITE
EXAMPLES
EXAMPLES
EXAMPLES
DOWNLOAD AND SETUP
DOWNLOAD AND SETUP
DOWNLOAD AND SETUP
VIDEOS
VIDEOS
VIDEOS
MANUAL
MANUAL
MANUAL
HFT Alert Lite provides an entry level real time quote traffic monitoring designed to detect HFT and Algorithmic trading systems. HFT Alert Lite identifies those stocks experiencing elevated quote rates across the market and on individual exchanges. Market wide levels of activity are monitored and displayed throughout the day. Index ETF's are favorite targets of HFT programs, especially SPY, QQQ and GLD. If you trade SPY during the day for example, HFT Alert can be of benefit when used in combination with your existing market software.
Nearly 70% of daily volume comes from HFT trading. Short bursts of activity create elevated quote rates sometimes in excess of 20,000 a second in a single stock. This is what some HFT systems do to influence the price of a security or manipulate the latency in the tape. They expand volatility and run price quickly, sucking in traders attracted by a sudden move in price. The effect is designed to increase intraday volatility and use their speed advantage in trading. Monitoring can provide traders the knowledge to better adapt to market conditions caused by program trading.
The underlying technology behind HFT Alert Lite was developed by Nanex to analyze the Flash Crash and HFT activity. HFT Alert Lite packages 4 basic utilities rolled into an easy to use application to help you identify when HFT's are running and affecting stock prices. This VIDEO demonstrates HFT Alert Lite. (iPAD users, iPhone users).
Run HFT Alert Lite along side your existing market software. HFT Alert Lite's audio and display alarms will alert you to elevated algorithmic activity. After only a few days of watching HFT Alert Lite, you'll come to realize that absent of exogenous events, most intraday volatility is caused by algorithmic trading systems. Monitoring their activity can provide traders a range of benefits.
All you need to run HFT Alert Lite is a Windows based computer and an Internet connection. A subscription to HFT Alert Lite is $25 a month. Try it for a month and see for yourself.
Tabular Data displays the time, symbol, number of quote changes, trades and best bid and offer changes.
Click image for full screenview.
These Activity Charts display high trade and quote rates on the various exchanges.
Exchange graphics display activity levels per exchange.
The Activity Charts in the center display high trade and quote rates per exchange. Overall levels of activity is easily monitored.
Spikes represent bursts of HFT activity. Large bursts in the very top chart always corresponds with a move in price.
This video tutorial: All About Activity Graphs explains what these graphs do and how to use them while trading. IPAD Video
Shown above is the full screenshot of the software (click for larger image). The column of numbers on the left identifies symbols with High Quote Counts that are associated with HFT/Algo activity.
This list updates in real time continuously throughout the day.
The Exchange graphic displays activity across all exchanges.
Tabular Data:
High Quote Counts: This column identifies trades in stocks experiencing a high number of quotes per second on any exchange. The table indicates the time, symbol, number of quote counts (orders), trades, and the number of times the quote was the best bid/offer (BBO) per second per symbol listed. This list shows mostly trades.
High quote counts are evidence of HFT/Algo activity.
Configurable threshold alarms alert you to elevated quote rates.
For example, here stocks with quote counts above 1500 are automatically highlighted red.
HFT Activity Chart Descriptions:
HFT Alert Lite software monitors and graphically displays three types of HFT and algorithmic activity seen every day in the market.
The top Activity Chart displays the Number of Stocks with HFT Algo Sequences/ Seq. Per Recording Exchange: This represents the number of stocks per reporting exchange that exhibit high rates of quotes with potential HFT/Algo patterns. Spikes on this chart typically correspond to price movement in the major indexes. Typically, the spike precedes movement in the market. This graph is closely associated with column 1 of the tabular data.
The middle chart displays Stocks with HFT Quote Sequences/ Seq. Per Listing Exchange: This represents the number of stocks per listed exchange that exhibit unusually high quote rates (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. Unusually high quote rates, called quote stuffing, can be used to increase latency in the quote stream.
The bottom chart displays Stocks with HFT Quote Sequences/ Seq. Per Reporting Exchange: This shows the number of stocks per reporting exchange that exhibit unusually high rates of quotes (reported sequentially from a single exchange) in any given second.
All three charts together give you a picture of overall HFT activity at any time.
Once you understand how HFT's affect price
you can take advantage of the volatility they create.
Click To Learn How
As HFT programs hit, they typically result in large moves in price, called expansion bars, that last several minutes. Such programs usually begin with increases in quote rates before they result in increased trade rates and a change in price.
HFT Alert Lite filters only the most active issues during the day, greater than 1000 quotes/second. The upper graphic displays trades that are associated with HFT/Algo trading systems.
The spikes above the background level around 2:13pm indicate a large number of programs running on a small number of issues. Spikes above +10 typically result in expanded price changes in SPY, QQQ and other market index ETF's and their associated components.
We can see the increase in quote traffic on the middle graphic (# of stocks with HFT Quotes/per listing exchange).
Spikes in excess of +150 issues are typically followed by a burst of trades generated by these systems. Once HFT systems start up, they attract all types of other HFT systems as well as individual traders who see a spike in price and react.
Often, these systems spike price up or down very quickly only to reverse the process and move price back in the opposite direction.
The chart below illustrates the effect on SPY during this 8 minute period. The arrows indicate the price bars associated with the spikes in activity shown on the graphics above. During the period these programs were running, SPY rose from 132.02 to 132.60 during a 7 minute period.
HFT Alert lists the symbols affected by these programs. The High Quote Count table identifies these symbols.
The burst of activity in SPY from 14:11:01-14:11:12 on the table reports 17,746 quotes (orders), 413 trades and such orders represented 2,116 best bid or offers....all in 11 seconds. This went on for 7 minutes in short uneven bursts. (Since the threshold level is set to >1000 quotes per second, the actual count was even higher.)
Some HFT/Algo programs operate by sending in and then canceling orders--up 20,000 times a second. This influx of orders, 'quote stuffing', distorts the NBBO to such an extent that market orders can receive a wide range of executed prices.
Have you ever received a fill that was outside the range at the time you placed an order on an ETF? This can be a consequence of using a market order when these systems are running.
Here's another example:
September 1, 2011 a few minutes before the release of the ISM report for August: We see a sharp spike from low background levels at 9:57; HFT Alert registers Algo sequences rising above 20 issues and increased quote rates on over 200 stocks shown as Point A.
At 10am the ISM number is released causing a huge spike in activity displayed on the Activity charts.
We see Point B with almost 250 stocks showing HFT/Algo sequences across all exchanges shown on the upper chart.
We also see a huge expansion in quote rates averaging over 250 stocks over the next 7 minutes shown on the lower chart.
We expand the chart to 1000 data points and hard max the Y axis to 100 to adjust the resolution.
Of note are the group of spikes C and D shown on the upper chart.
Increase quote rates continue on the lower chart.
Both charts together display very high levels of HFT/Algo activity which accentuates the levels of volatility.
Finally, we see the effect of these programs on the price of SPY, shown below in 1 minute bars with the various spikes labeled. The huge expansion bar at 10am, Point B, clearly demonstrates how such increases in HFT activity expand volatility at rates well above what would be normally seen in their absence. These programs ran the price of SPY from 121.78 to 123.24 in a single minute, taking out all limit orders in between. Then they turned around and started pushing price right back down again illustrated by points C and D described above.
An hour later, price was right back down again where it was before the ISM number was released shown below.
These programs have holding periods of milliseconds to several seconds. They push price up or down quickly, sucking in traders attracted by the sudden movement in price. Then, they can turn around and push price back in the opposite direction.
You may download HFT Alert Lite using the link above. The install program will place your program and supporting files on your computer. The program will start but it will not connect to our servers unless you have purchased a subscription and have the server preference (shown below) properly configured. But you can see the program, view the manual and load in a historical file to see an entire day of data (use date 09212011).
To purchase your $25 a month subscription, please click on the SUBSCRIBE link above and follow the instructions.
Once you have completed your subscription, you will receive an email with the server and user information needed to enable your software. When you receive that, please follow the Program Setup instructions below.
Program Setup
The following setup screens are found under the Preferences section from the HFT Alert Lite Toolbar:
Under Preferences, there are 4 setup choices shown at the left.
First, select "Server Prefs". Enter the IP Address, Port Number, Username and Password that you will receive via email once your subscription has been authorized. Usernames and passwords are case sensitive! Click Ok.
Second, select "Data Collection Times" The default setting is zero as shown...9:30-16:00 est. Of course, you will need to start your program and login first. If you want the monitor to function pre and post market, change the times accordingly (ie: 9:00-17:00).
Third, select "Chart and List Colors/Font/Threshold Prefs.". You can play around with these colors, however the default settings work best.
You can change the font type and size of the Tabular Data to better fit your screen resolution.
You can also set the threshold level of stocks on this list to display a color alert. This level can be changed at any time and will then highlight stocks with the new threshold level.
This works for both realtime and historical viewing.
Fourth, HFT Alert Lite has "audio alarms" that can be set to any threshold level.
To use, select an alarm .WAV file included in your download. You may make your own audio file as long as it is a .WAV file.
Alarm sound files should be very short in duration and you can loop them if desired.
Additional sound files can also be found on your computer in your Windows/Media directory.
After completing steps 1-4, simply push the "Connect"
button to enable your datafeed
and you will see your program connect to our servers. The Status, Date and Time fields will show your connection. If you cannot connect, go back to step 1 above and make sure your settings are correct. If you have any problems, contact support@hftalert.com or through the Subscriber Portal (use 'user login' below).
INSTRUCTIONAL VIDEOS
(opens new window or tab, flash content)
Introduction to HFT Alert Lite (iPAD users, iPhone users)
How to configure your software and get connected
How to set up color and audio alarms
Video tutorial: All About Activity Graphs explains what these graphs do and how to use them while trading. IPAD Video
This video demonstrates using HFT Alert alongside the Accumulator on SPY. It shows a period of time when HFT and Algo programs had manipulated prices higher while the Accumulator identified negative divergence. This enabled you to build short positions into a price rise that HFT Alert and the Accumulator had identified as false. This type of activity occurs frequently during the week, both in up moves and down moves. Only HFT Alert and the Accumulator run together can give you this level of insight into trading.
This video demonstrates using HFT Alert alongside the Accumulator on SPY. It shows a period of time when HFT and Algo programs had manipulated prices higher while the Accumulator identified negative divergence. This enabled you to build short positions into a price rise that HFT Alert and the Accumulator had identified as false. This type of activity occurs frequently during the week, both in up moves and down moves. Only HFT Alert and the Accumulator run together can give you this level of insight into trading.
