ABOUT HFT ALERT PRO
ABOUT HFT ALERT PRO
ABOUT HFT ALERT PRO
EXAMPLES
EXAMPLES
EXAMPLES
DOWNLOAD AND SETUP
DOWNLOAD AND SETUP
DOWNLOAD AND SETUP
VIDEOS
VIDEOS
VIDEOS
MANUAL
MANUAL
MANUAL
The most powerful detection software we make
HFT Alert Pro takes monitoring several steps above the level in our other products. HFT Alert Pro filters sequences from multiple exchanges simultaneously and can do it over a range of seconds. This enables HFT Alert Pro to detect HFT and Algorithmic systems that would otherwise not be found by HFT Alert Lite or HFT Alert.
HFT Alert Pro also detects and displays "Quote Fluttering" and "Cycle Repeater" algorithms that are potentially more manipulative that other types of systems. These algorithms often create abnormal price movements in stocks that can be evidence of manipulation (see "Examples" above).
For portfolio managers and others watching groups of stocks, HFT Alert Pro's unlimited symbol list focuses its full power on your stocks. Audio and color alarms can be individually configured and three graphs display overall HFT activity market wide. This VIDEO describes the monitoring functions and other aspects of HFT Alert Pro.
All you need to run HFT Alert Pro is a Windows based computer and an Internet connection. A subscription to HFT Alert Pro is $100 a month. Try it for a month and see.
HFT Alert Pro displays the algorithmic sequences it finds in 3 sets of Tabular Data described below. This Video describes in detail these 3 lists and other aspects of HFT Alert Pro (10 mins).
Tabular Data:
The text lists represent three different sets of screening criteria for individual issues (described fully in the video above.
These include:
Raw Quote Bursts (per Sym/per Exg):
Stocks having a high number of quotes per the time interval specified from a single exchange.
The Fields shown are:
Time: Time of occurrence in HH:MM:SS
Symbol: Symbol of stock.
Exg: Exchange quotes are reported from in the sequence.
Elps: The elapsed time of the sequence in MM:SS format.
STRG: #Quotes recorded in the sequence from the specific exchange.
IQTS #Quotes from other reporting exchanges in the sequence.
BBO: #Of times quotes were the BBO.
CBBO: #Of times quotes were the BBO and changed the BBO.
TRD: #Trades recorded in the sequence.
ETRD: #Trades recorded in the sequence from the specific exchange.
The threshold for this list is a minimum of 1000 quotes per five seconds (user-definable down to one second).
Quote Fluttering (per Sym/per Exg):
Stocks with high burst of quotes from a single exchange that have a minimum of one element fluttering in price or size.
Time: Time of occurrence in HH:MM:SS
Symbol: Symbol of stock.
Exg: Exchange quotes are reported from in the sequence.
Desc: Description of which item is fluttering. (BidPrice, BidSize, AskPrice, AskSize).
Elps: The elapsed time of the sequence
STRG: #Quotes recorded in the sequence from the specific exchange.
IQTS: #Quotes from other reporting exchanges in the sequence.
BBO: #Of times quotes were the BBO.
TRD: #Trades recorded in the sequence.
ETRD: #Trades recorded in the sequence from the specific exchange.
The threshold for this list is a minimum of 500 quotes per five seconds (user-definable down to one second).
Cycle Repeaters (Per Sym/Per Exg):
Stocks with high burst of quotes from a single exchange that exhibit distinct algorithmic sequences.
Time: Time of occurrence in HH:MM:SS
Symbol: Symbol of stock.
Exg: Exchange quotes are reported from in the sequence.
Desc.: Description of which item is cycling. This can be broken down in the following manner:
The first 2 characters represent which item is cycling:
BP=Bid Price
BS=Bid Size
AP=Ask Price
AS=Ask Size
The last 2 letters represent the type of cycling repeater:
CC=Climb Cycle
FC=Fall Cycle
CR=Conical Repeater.
3 Examples:
BPCC=Bid Price Climb Cycle
ASCR=Ask Size Conical Repeater
BSFC=Bid Size Fall Cycle.
Elps: The elapsed time of the sequence in MM:SS format.
STRG: #Quotes recorded in the sequence from the specific exchange.
IQTS: #Quotes from other reporting exchanges in the sequence.
BBO: #Of times quotes were the BBO.
TRD: #Trades recorded in the sequence.
ETRD: #Trades recorded in the sequence from the specific exchange.
The threshold for this list is a minimum of 100 quotes per five seconds (user-definable down to one second).
Here are some examples of how fluttering and cycle repeater algorithms can influence the price and behavior of a stock. All of these examples were found by running HFT Alert Pro.
Time is the X axis, Price is the Y axis. White dots are trades, red dots are offers and green dots are bids. Each chart has a legend. Click on any image to see a full resolution image.
The first example above is for symbol C.PR.N. Arrow A shows an ask price cycle repeater, arrow B shows a bid price repeater. In arrow A, we can see the ask price cycle repeater (red dots) moving the ask price up and down while the bid price stays constant indicated by the solid green horizontal line (which are actually dots). The cluster of white dots in the center of the image shows a wide range of trades ranging from 26.30 to 25.80 all in less than 1 second of time. This algorithm ran the price of this stock from 26.10 to 26.30 then down to 25.80 and back up to 26.30 all in less than 1 second!
In this image, we see the symbol CARB and a bid price cycle repeater (green dots) identified by arrow A. We can see the offers holding nearly constant (red dots) while the bids move up and down very quickly between 13.60 and 13.69. A few trades occur (white dots) before the algorithm pushes the offer well below the bid triggering a wave of additional trades forcing price down nearly a point to 12.70 in less than 1 second. Arrow B points to a burst of ask price repeaters.
In this image, we see the symbol GOOG. This is a great example of a bid price cycle repeater, arrow A. Again, green dots are bids, red dots are offers. The blue lines under the green dots indicate the bids are on Nasdaq. We can see here the repeater moving the bid price of GOOG up and down in a 50 cent range while the ask price, arrow B holds steady at 545.20...all in less than 2 seconds! Only a few trades, white dots, were made during this period.
In this image, we see the symbol NVEC and an ask price flutterer shown by arrow A. Arrow B shows a bid price flutterer that started a bit after. NVEC is an illiquid stock with a small float. We can see in this image that this algorithm did not manipulate the price of the stock below the bid or above the offer. The burst of white dots are trades, in this case around 11,000 shares or so. Given the fact that a market order for 11,000 shares in this issue would have driven the price up or down substantially (buy or sell) one could conclude that these trades occurring while the algorithm was active could represent a cross or other transaction either within a fund complex or between accounts of a manager. Click here to see a close up of the fluttering and on the image to see a close up of the trades.
This is probably the most egregious example of a cycle repeater! Shown is ELNK and this repeater started up at the close. We can see in the upper portion of the image that it runs the bid price up to meet the offer, then immediately drops the bid and moves the offer down to meet the bid. First it does this in a range of 7.90 to 8.05, then it expands this range 8.05 down to 7.40!
The lower portion of the image tracks bid and ask sizes. So we have both a price and size cycle repeater at work here. This is pure manipulation and this was identified by HFT Alert Pro in real time.
More examples of manipulative algorithms and HFT trading can be found at the Nanex website. Running HFT Alert Pro, with your stocks loaded into the symbol list, will enable you to monitor and identify when algorithms such as those described on this page are targeting your stocks.
You may download HFT Alert Pro 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 will be able to 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 $100 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 have that, please follow the Program Setup instructions below or go to the Videos section above and watch how to do it.
Program Setup
The following setup screens are found under the Preferences section from the HFT Alert Pro Toolbar
Under Preferences, there are 5 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. 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 Colors/Font/Threshold Preferences". Colors can be adjusted for each component of the program. You can play around with these colors, however the default settings work best.
You will probably want to adjust your font type and size. Depending on your screen resolution, you may wish to select smaller or larger fonts. Choose whatever looks best and is easiest to read.
The power of this setup screen is the list colors and threshold level settings. Any stock triggering any of your threshold level settings are highlighted RED.
Any stock in your Symbol List will be shown in BLUE on the Tabular Lists.
Any stock triggering a threshold level AND is on your Symbol List will be shown in GREEN.
Setting your color filter threshold levels to 1 will highlight the most active algorithms.
Fourth, HFT Alert Pro has audio alarms that can be set to various threshold levels from the 3 graphic displays at the bottom of HFT Alert Pro.
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 in the Download section of the Subscribe Portal. Additional .wav file can be found on your computer in your Windows/Media directory.
The threshold levels should be set initially to about 30, but can be adjusted depending on the level of activity in any particular day.
Fifth, HFT Alert Pro includes a Symbol Filter list that applies to all of the tabular lists. This is a very powerful feature because it can focus the power of HFT Alert Pro on your list of stocks. You have the option of seeing only stocks in your list, or all stocks, highlighting those that are on your list.
To configure, type in your symbol, then click "Add Symbol". You can add as many symbols as you wish but at this time you can only select 1 audio alarm file.
Check 'Use symbol filters' and 'play alarm' (as it is shown) to include the symbol filter and activate the alarm.
Selecting "List Eliminate" will show ONLY those stocks in your list when they appear in any of the lists.
You can add stocks symbols in bulk by navigating to the program directory and manually editing the file "SymbolFilter-Pro.txt" file. Simply copy and paste your list of symbols into this file and save the file. You must have your program turned off to edit this file.
After completing steps 1-5, 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.
INSTRUCTIONAL VIDEOS
Introduction to HFT Alert Pro
HFT Alert Pro, Monitoring Functions
How to configure your software and connect to our servers
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.
