ABOUT HFT ALERT
ABOUT HFT ALERT
ABOUT HFT ALERT
EXAMPLES
EXAMPLES
EXAMPLES
DOWNLOAD and SETUP
DOWNLOAD and SETUP
DOWNLOAD and SETUP
VIDEOS
VIDEOS
VIDEOS
MANUAL
MANUAL
MANUAL
HFT Alert provides real time quote traffic monitoring designed to detect HFT and Algorithmic trading systems. HFT Alert 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. This is especially helpful to traders and portfolio managers in managing the increased volatility of today's market. For ETF traders, especially SPY, HFT Alert can help you identify when price change is likely to expand.
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 many 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.
The underlying technology behind HFT Alert was developed by Nanex to analyze the Flash Crash and HFT activity. HFT Alert packages 6 useful utilities rolled into an easy to use application to help you identify when HFT's are running and affecting stock prices. This video describes the features of HFT Alert (iPad users, iPHONE users). Video tutorial: All About Activity Graphs explains what these graphs do and how to use them while trading. IPAD Video
Run HFT Alert along side your existing market software. HFT Alert contains user symbol lists so you can monitor an extensive number of issues. The program monitors quote rates in several ways designed to detect when a system has targeted a stock. Several types of trading algorithms including fluttering and cycle repeaters can be detected. There are various types of alarms that can be configured, both audio and color highlighting.
After only a few days of watching HFT Alert, you'll come to realize that, absent of exogenous events, most intraday volatility is caused by algorithmic trading systems. Monitoring their activity can provide a range of benefits.
All you need to run HFT Alert is a Windows based computer and an Internet connection. A subscription to HFT Alert is $50 a month.
Shown above is the full screenshot of the software (click it for a larger image). There are two sections: 3 sets of tabular data and three graphical displays. The tables show 3 sets of screening criteria for individual issues:
HFT Alert Tabular List Descriptions:
High Quote Counts: The first 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.
HFT Alert uses configurable Symbol Lists to trigger audio and color alarms.
This is very helpful when trading ETF's or finding stocks with excessive quote rates.
In this case, blue=stock on a symbol list, red=counts above +1500, green=both triggers (blue + red). Audio alarms are set to similar quote thresholds.
This list is especially helpful if you're trading a group of symbols or symbols that are related to other securities. The more liquid ETF and inverse ETF's are always on this list. Less liquid ones show up on the other two lists before you'll see them on this list.
The threshold for this list is a minimum of 1,000 quotes per second.
HFT Quote Counts (per second , sequential per exchange) : The second column has stocks with a high burst of quotes from a single exchange, reported sequentially with no other exchange quoting at the same time. This list can identify quote stuffing which is a purely manipulative practice. HFT Alert Pro has more extensive monitoring in this regard.
This list also has both audio and color alarms. Here, stocks with counts at 1000+ are highlighted.
The threshold for this list is a minimum of 250 quotes per second.
Potential Algo Sequence Counts (per second, sequential per exchange) : This table identifies stocks that are experiencing high bursts of quotes from a single exchange that have fluttering bid and ask prices or sizes, (Bid Price, Bid Size, Ask Price, Ask Size). This is evidence of algorithms that are fluttering or cycling (up and down ) the price of a stock.
The threshold for this is a minimum of 250 quotes per second.
HFT Alert Graphic Screen Descriptions:
HFT Alert 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
Audio Alarms and Symbol Filters
Audio Alarms:
HFT Alert contains two sets of configurable audio alarms. One set for the Tabular Data and another for the Activity Charts.
Both can be set to specific .WAV files and various threshold levels.
You can make your own alarm sounds or use any .WAV file. The Downloads section of the Subscriber Portal has additional sound files.
Symbol Filters:
HFT Alert also has user symbol lists so you can track your own list of stocks. You can filter only for your symbols or show your symbols within all the stocks that show up during the day.
Any time a stock in the list is displayed on any tabular list, an alarm will sound and the stock will be highlighted.
As HFT programs hit, they typically result in large moves in price. These expansion bars last several minutes. Such programs usually begin with increases in quote rates before they result in increased trade rates and a change in price.
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 chart (# 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.
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 good 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 turn around and start 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 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 preferences (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 $50 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 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 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.
Fourth, HFT Alert has audio alarms that can be set to various threshold levels for each list of tabular data (list alert) and each Activity Chart (chart alert).
To use, select an appropriate alarm .WAV file included in your download. You may also 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. It is helpful to use a separate sound file for each list or graph so you won't get them confused.
Additional sound files can also be found on your computer in your Windows/Media directory. Browse to that directory and select any .WAV file. Click OK when complete.
Fifth, HFT Alert includes a Symbol Filter list that applies to all of the tabular lists. This is a very powerful feature not included in HFT Alert Lite. 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 3 tabular lists.
You can add stocks symbols in bulk by navigating to the program directory and manually editing the file "SymbolFilter.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 (use 'user login' below). There is a Support section there where you can ask questions.
INSTRUCTIONAL VIDEOS
(opens new window or tab, flash content)
Introduction to HFT Alert (iPAD users, iPhone users)
How to configure your software and get connected
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.
