NxCore Time and Sales


NxCore Application Table of Contents

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NxCore Time and Sales is a convenient tool for exporting user-defined portions of a tape file or stream.

The following should serve as a small guide on the primary components of NxCore Time and Sales.

The Main Application Window - Part 01:


  • Run - Click this button to begin parsing the tape or real-time stream.
  • Date of last entry - This display shows the date of the last match (or 00/00/0 if nothing has been matched).
  • Time of last entry - This display shows the time of the last match (or 00:00:00 if nothing has been matched).
  • Numeric Status - This display shows the numeric status: 0 if a job has not been run, 1 if a job completed successfully and a negative number if an error occurred.
  • Output size (lines, KB)- These displays show the size of the output in lines and KB (kilobytes).
  • NxCore Ver:- This display sohws the version the NxCore API being used.
  • Load Config - Click this button to load (read in) a previously saved configuartion file.
  • Save Config - Click this button to save the current configuration in a configuration file.
  • View Output - Click this button to open the current output file using the current text viewer.
  • Auto Start - Start processing when the window is opened using the previous settings.
  • Auto Close - Close the app after it has run through the current configuration, useful when scripting against the app.
  • Use Tape States - Enable/Disable the use of NxCore Tap States. Tape States take disk space, but save lots of time if you need to repeatedly seek ahead in the tape.
  • Exchange Time - Use the Exchange's timestamp for start and stop time cutoffs instead of NxCore time. With NxCore3 will also use the MicrosOfDayPTP1 timestamp instead of the MicrosOfDaySRC (SIP) timestamp.
  • Tape File: - Blank for current, otherwise filename of Tape to process.
  • Symbol(s): - Text file to import, or:
    • eMSFT => Output the Equity MSFT
    • eMSFT,eAAPL => MSFT and AAPL
    • oAAQ => All AAQ series contracts
    • oAAQ BH => Contract AAQ AH
    • eAAPL+o => AAPL and all options
  • Start Time: - Enter time to start time and sales output hh:mm:ss
  • Stop: - Enter time to stop output hh:mm:ss
  • Text Viewer: - Name of program to start for viewing results, default notepad.exe
  • Output File: - Name of the file to output time and sales results, e.g. C:\mycsvslivehere\20160309_export_GS.csv.
    		•
  • Symbol Header Fields (Identification)
      • Listed Exg - Include Listed Exchange. Useful if outputting more than one symbol.
      Symbol - Include Symbol. Useful if outputting more than one symbol.
      Sess. Date - Select to include the session date on every line in the format mm/dd/yyyy.
      S. ID - The Session ID, useful for tracking trading sessions that span two calendar days.
      NxCore Time - Include NxCore's 25ms resolution Timestamp in the format hh:mm:ss:mss.
      Exg. Time - Include the Exchange Timestamp in the format hh:mm:ss.
      Reporting Exg - Include Reporting Exchange.
  • Option Contract Underlying Trailer
      • UL Exg - Exchange of the underlying symbol for an option contract.
      UL Symbol - Underlying symbol for an option contract.
      Strike - Strike Price for option contract WWWW.DDD.
      Expire - Expiration date for option contract.
      Put/Call - Identifies whether an option contract is a Put (P) or Call (C).
      Contract Unit - Contract unit for an option contract (typically 100).
      OSI - Outputs the option symbol in an expanded style OSI format, e.g. oAAPL121020C0064000. *note* This takes more space.


    The Main Application Window - Part 02:


  • Data Fields
      • Trades - Include Trades in output. Shows/Hides Trade fields.
              Tick - Include trade price change from last trade record.
              Size - Size of trade in shares, lots or contracts.
              BATE - Future contracts: BATE (bid,ask,trade,exception) code.
              ExgSeq - Include Exchange sequence in trade records.
              PrcFlags - Hex value of price flags for the trade record.
              CndFlags - Hex value of condition flags which are derived from the Trade condition and Exchange rules.
              VolType - Volume update type -- whether volume should be incremented or not.
              Condition - Include trade condition.
              OHLC - Current session's Open, High, Low, and Last price values.
              NetCh - Net change in price since the close of the previous session
              TickVol - Total tick volume for current session.
              TVol - Total cumulative share or contract volume for current session.
              BBO - Best Bid and Ask prices from the current quote marked as BBO at the time of the trade.
              BBO Analy - Outputs the following three NxCTAnalysis fields: QteMatchDistanceBBO, QteMatchTypeBBO, QteMatchFlagsBBO.
              OI - Open interest -- only updates once a day.
              ExtTC - Outputs the 4 Extended Trace Conditions added in NxCore3.
      Regional Q - Include Regional Quotes in output Shows/Hides Exchange Quote fields.
              PriceCh - Change in quote price from last update for the reporting exchange.
              QteSize - Size of bid or offer.
              SizeCh - Change in quote size from last update for the reporting exchange.
              NqBidTick - Include Nasdaq Bid Tick field.
              Refresh - Include Quote refresh indicator.
              Condition - Include Quote condition.
              Split Bid/Ask - Split each quote record into two seperate lines (one for bid, one for ask).
      BBO Quote - Include Best Bid/Offer in output. Shows/Hides Best Bid/Offer fields.
      MMQuotes - Include Market Maker Quotes (L2) in output. Shows/Hides Market Maker Fields.

    The Main Application Window - Part 03:


  • Display Options
      • Delimeter - Field delimiter. Choose '|' for easy viewing Chose ',' for loading into Excel.
              No End Delimeter - Removes empty fields at the end of each output line.
      Price Width - Sets default width for price fields, useful for lining up fields.
      Size Width - Sets default width for size/integer fields, useful for lining up fields.
      Decimals - Select a value to convert all prices to the same price type. Default does not convert. Set to .00 or .0000 for viewing Nasdaq equities.
              No Trailing Zeroes - Removes trailing redundant zeroes to the right of the decimal point e.g. 55.000 becomes 55.
      Compact Mode - Choose compact mode if loading into excel or other viewer. Uncheck for better readibility in Notepad.exe.
      Compact Header - Similar to compact mode, but the headers as well as data lines.
      BBO if not RGN - Does not output BBO field if the report exchanges is the best bid and offer.
      Blank if Zero - Skips outputting price/integer fields with a value of zero. e.g. ,,||,, instead of ,,|0.00|,, .
      Text Exg Fields - Text 3 or 4 letter exchange string instead of a numeric value.
      Text Conditions - Text string for trade and quote conditions instead of a numeric value.
  • NxCore3 Micros
      • SRC - Include the NxCore3 MicrosOfDaySRC timestamp.
              SRC minus PTP1 - Include the NxCore3 SRC minus the PTP1 giving the difference between the original exchange and SIP timestamps.
      PTP1 - Include the NxCore3 MicrosOfDayPTP1 timestamp.
      PTP2 - Include the NxCore3 MicrosOfDayPTP2 timestamp.
      Raw Micros - Format the NxCore3 MicrosOfDaySRC, MicrosOfDayPTP1, and MicrosOfDayPTP2 in raw unformatted microseconds.
    Copyright Nanex, LLC and Eric Scott Hunsader, 2003- ©. All rights reserved.