Time and Sales Window

Time And Sales Window

Introduction

The Time and Sales window lists in a table the Trades and Quotes received from the data feed. Trades refers to actual trades made for the symbol. Quotes refers to Bid and Ask data. Quotes can be optionally displayed based on the Show Bid and Ask Records setting.

There are various filtering, highlighting, coloring, and column configuration options available.

Instructions

Follow these instructions to use the Time and Sales windows:

  1. Select Global Settings >> Data/Trade Service Settings on the Sierra Chart menu.
  2. The Number of Stored Time and Sales Records setting is set to the number of Time and Sales records for each Symbol held in memory. For example, if you set Number of Stored Time and Sales Records to 1000, then the Time and Sales window will be able to list up to 1000 rows initially, assuming 1000 records already exist, plus more as it fills up in real time. When you close and reopen the Time and Sales window or adjust its settings, 1000 rows will initially appear. Do not set the Number of Stored Time and Sales Records setting too high because it will slow down the Time and Sales window and maintaining a lot of records in memory will consume excessive memory.
  3. Press OK. Time and Sales setting in Data/Trade Service Settings does not need to be modified again unless you want to change it. If you did make a change to this setting, select File >> Disconnect and then File >> Connect to Data Feed.
  4. To open a Time and Sales window for a chart, select Chart >> Open Time and Sales on the Sierra Chart menu. Or, you can select File >> Open Time and Sales.
  5. The Time and Sales window is associated with a specific chart. Each chart can have only one associated Time and Sales window. Once you open a Time and Sales window for a chart, and you select Chart >> Open Time and Sales again, you will not get another Time and Sales window. If you want another Time and Sales window you will have to switch to another chart or open another chart and then open a Time and Sales window for that chart.
  6. If for some reason a Time and Sales window does not display when you try to open it, then select Chart >> Reset Child Windows.
  7. The Time and Sales window displays the individual trades and individual Bid and Ask price changes. Bid and Ask price changes will not be displayed, unless the Show Bid and Ask Records option is enabled in the Time and Sales Settings window opened through the Settings menu. New lines are added as the data is received.
  8. To modify any of the Time and Sales window settings, select the Settings menu item.

Settings

The Settings menu on the Time and Sales window allows you to change various settings. Each of them is documented below.

To open the Time and Sales window, follow the Instructions.

  • Colors: The color controls let you set the colors for the background and text for the various Trade and Quote records in the Time and Sales window. To change a color, click on the corresponding color button. A window will appear allowing you to select the color to use.
  • Columns: Enable or disable the columns you want to display in the Time and Sales window.
  • Show Bid and Ask Records: Enable this option to display Quote records whenever there are changes with bid and ask data. If you have enabled this option, then ensure the Store Bid and Ask Records option is enabled in the Global Settings >> Data/Trade Service Settings window.
  • Show Grid Lines: When this option is enabled, gridlines will be shown on the Time and Sales window
  • Show Title Bar: When this option is enabled, then the title bar on the Time and Sales window will be displayed. When this option is disabled, the Title Bar will be hidden. When it is hidden, it is not possible to easily move the Time and Sales window. It is only possible to resize it by dragging the edges of the window.

    If you notice any problems when using this option like the title bar does not get hidden under certain conditions, then do not disable this option because the problem is going to be caused by an operating system level problem that Sierra Chart has no control over.
  • Volume >=, Volume <= : These controls display and set the minimum and maximum volume of the individual trades that will be displayed in the Time and Sales window. This is for filtering out trades that do not fall within the specified volume range. For example: If you only want to see trade records that have a volume of 10 or greater, then type 10 in the Volume >= text box. When Combine Records with Same Time and Price is enabled, then volume filtering applies to the individual trades before they are combined into a single record displayed in the Time and Sales list.
  • Price Filtering: These controls display and set the minimum and maximum price of the individual trades that will be displayed in the Time and Sales window. This is for filtering out trades that do not fall within the specified price range.
  • List Font: The settings display and set the font for the Time in Sales window.
  • Highlight >> By Field: Set this to either Price or Volume to enable highlighting of the trade lines within the Time and Sales window based upon Price or Volume. When this is set to None , then highlighting and Alerts are disabled and all of the other fields within the Highlight frame are not used.
  • Highlight >> Condition: The operator used in the comparison of the Field to the Value. For example, if the Field is set to Price, the Condition is set to =, and the Value is 100, then when the Price equals 100, the trade line will be highlighted (if enabled) and an Alert Sound will be played (if enabled).
  • Highlight >> Value: The value compared to the Field.
  • Highlight >> Color Row: Enable this option to highlight the trade line in the Time and Sales window the Color.
  • Highlight >> Color: The color to highlight the trade line when the condition is met.
  • Highlight >> Bid Trade Alert: Sets the particular Alert Number to trigger when the trade is at the Bid price or lower. If you want to have an alert sound play whenever your Highlight condition is met, then set this to one of the Alert Numbers in the list. Otherwise, select No Alert. You will then need to configure that particular Alert Number in the Global Settings >> General Settings window.

    When Combine Records with Same Time and Price is enabled, then Alert settings apply to the individual trades before they are combined into a single record displayed in the Time and Sales list.
  • Highlight >> Ask Trade Alert: Sets the particular Alert Number to trigger when the trade is at the Ask price or higher. If you want to have an alert sound play whenever your Highlight condition is met, then set this to one of the Alert Numbers in the list. Otherwise, select No Alert. You will then need to configure that particular Alert Number in the Global Settings >> General Settings window.

    When Combine Records with Same Time and Price is enabled, then Alert settings apply to the individual trades before they are combined into a single record displayed in the Time and Sales list.
  • Combine Records >> Do Not Combine: When this option is enabled, then the Time and Sales records are not combined together.
  • Combine Records >> Combine Records with Same Price and Type: When this option is enabled, then time and sales records that have an identical trade price, and an identical type with regard to Bid Trade or Ask Trade, are combined into a single record in the Time and Sales list window.

    When this option is enabled, then Alert settings apply to the individual trades before they are combined into a single record displayed in the Time and Sales list.
  • Combine Records >> Combine Records with Same Time and Price: When this option is enabled, then time and sales records that have an identical timestamp, compared down to the second, and an identical trade price, are combined into a single record in the Time and Sales list window.

    When this option is enabled, then Alert settings apply to the individual trades before they are combined into a single record displayed in the Time and Sales list.
  • Combine Records >> Combine Records with Same Time and Type: When this option is enabled, then time and sales records that have an identical timestamp, compared down to the second, and an identical type with regard to Bid Trade or Ask Trade, are combined into a single record in the Time and Sales list window.

    When this option is enabled, then Alert settings apply to the individual trades before they are combined into a single record displayed in the Time and Sales list.

Column Descriptions

Month/Day

This column displays the date of the Trade or Quote. The format is MM/DD.

Time

This column displays the time of the Trade or Quote in the format HH:MM:SS.msec. msec = milliseconds.

The milliseconds portion acts as a counter when trades occur within the same second. The second trade to occur in the same second will have a milliseconds value of 001 and this value is incremented for additional trades within the same second, up to a maximum of 999.

When replaying a chart and the historical Intraday data records of the chart data file are not 1 tick/trade per record, the timestamps of the 3 Trades listed each have the same second and there will be no milliseconds component.

Price

This column displays the trade price in the case of a Bid Trade or Ask Trade record type. In the case of a Bid Ask record type, the trade Price is the price of the last trade received and does not indicate a new trade.

Volume

This column displays the quantity of shares or contracts of the trade in the case of a Bid Trade or Ask Trade record type. In the case of a Bid Ask record type, the Volume is the volume of the last trade received and does not indicate a new trade.

Num Trades

This indicates the number of trades per displayed Time and Sales record. This will be 1 unless you are using one of the Settings >> Combine Records options.

Type

Bid

Bid Size

Ask

Ask Size

Type

The Time and Sales record type can be one of the following:

Bid Ask

This Time and Sales record type indicates that there has been a change with the Bid, Ask, Bid Size, or Ask Size received from the data feed. These market data values are called Quote data. The Price and Volume fields for the record are for the last trade received and they do not indicate a new trade.

Bid Trade

This record type indicates a new trade that occurred at the Bid price or lower. Or was considered to be a Bid Trade based upon other logic. For details, refer to Numbers Bars Definitions.

Ask Trade

This record type indicates a new trade that occurred at the Ask price or higher. Or was considered to be a Ask Trade based upon other logic. For details, refer to Numbers Bars Definitions.

Additional Information

It is Sierra Chart which determines whether a trade is at the Bid or Ask with some exceptions. One exception is CME (Chicago Mercantile Exchange) data using the Sierra Chart Exchange Data Feed or when using Rithmic. In these cases, it is the exchange which indicates whether a trade is at the Bid or Ask. All trades need to happen at the Bid or Ask when trades are executed on exchange. Therefore, the concept of a trade between the Bid or Ask or trade above or below the Bid or Ask prices is due to a lack of Bid and Ask updates.

Bid

The best bid price at the time of the Trade or Quote.

Bid Size

The bid size at the time of the Trade or Quote. This is the quantity of shares or contracts at the best Bid price, waiting to be filled. This value is provided by the Data or Trading service you are connected to.

Ask

The best ask price at the time of the Trade or Quote.

Ask Size

The ask size at the time of the Trade or Quote. This is the quantity of shares or contracts at the best Ask price, waiting to be filled. This value is provided by the Data or Trading service you are connected to.

Opening Multiple Time and Sales Windows for the Same Symbol

To open multiple Time and Sales windows for the same symbol, what you will need to do is open multiple charts for the same symbol. For each of those additional charts, select Chart >> Display Time and Sales to open a Time and Sales window. If you do not need the additional charts other than for the purpose of viewing Time and Sales windows for them, then simply Minimize them. This can be done by clicking on the standard Windows Minimize button at the top right of each chart window. If the charts are minimized, it is recommended that you reduce the Days to Load setting for them since you will not be using them other than for the purpose of Time and Sales. To do this select Chart >> Chart Settings. Reduce the Days to Load to 1.

Using Default Time and Sales Settings

Each chart has its own associated Time and Sales window. Therefore, to use default Time and Sales settings, requires that your charts are saved as part of a Chartbook by selecting File >> Save, if you have not already saved them previously. When the Chartbook is opened, the Time and Sales windows previously set will have the same settings as previously.

The Time and Sales window settings are contained within the chart that it is associated with. When a chart is active and you select File >> Open Time and Sales Window, then that particular Time and Sales window which has been opened is associated with the active chart and that always remains.

When you duplicate the chart, then the Time and Sales window for the duplicated chart will have the same settings as the Time and Sales window for the original chart.

Therefore, when you want to use the same Time and Sales settings as an existing Time and Sales window associated with an existing chart, go to that chart and select Chart >> Duplicate Chart or Chart >> Duplicate Chart to Chartbook on the menu. The new chart will use the same Time and Sales settings from the chart that you duplicated.

You can then open a Time and Sales window for that duplicated chart with File >> Open Time and Sales Window.

Keeping Same Time and Sales Window Visible across Chartbooks

A Time and Sales window is a child of a chart it was open for and is always associated with that chart.

When switching to a different Chartbook, the Time and Sales windows associated with charts in a previously visible Chartbook will be hidden.

To keep a Time and Sales window visible across all Chartbooks, go to the chart it is associated with and enable Window >> Window Always Visible. This will also keep the chart visible across Chartbooks.

Time and Sales Window Not Updating

If a Time and Sales window is not updating, then follow these steps.

  1. On the Time and Sales window, select the Settings menu. Set all of the Filtering settings to 0.
  2. Press OK.
  3. If this does not resolve the problem, then close the Time and Sales window.
  4. Go to the chart that you want a Time and Sales window for.
  5. Make sure this chart is updating. If not, refer to help topic 3.
  6. Open a Time and Sales window again by selecting File >> Open Time and Sales Window . If you do not see the Time and Sales window, then go to the chart and select Chart >> Reset Child Windows and try opening it again.

Time and Sales Data During a Replay

The Trades listed in the Time and Sales window during real-time chart updating, represent the actual trades received in real-time from the connected data feed. The prices and volumes are accurate and complete, assuming the data feed is providing accurate and complete data.

During a replay, the Trades listed in the Time and Sales window are derived from the historical Intraday data.

If the historical Intraday data is not stored tick by tick (1 trade per data record), there will be 3 Trades listed in the Time and Sales window per historical data record. One for the data record High, Low, and Last. The volume for each of these records is one third of the total volume of the historical data record.

If the historical Intraday data is stored tick by tick, then there will be one Trade per data record listed in the Time and Sales window during the replay. The price and volume of the trade will be accurate and all Trades will be listed.

Follow the instructions on the Tick by Tick Data Configuration page to configure Sierra Chart for a tick by tick data configuration. Even with a tick by tick data configuration, the historical data may not all be tick by tick if the particular Data or Trading service you are using does not provide historical 1 tick data.

The Bid Size/Quantity and Ask Size/Quantity fields will always be 1 during a replay.

Comparisons of Time and Sales Data to Chart Bars, Bar Volume and to Numbers Bars

When comparing trades listed in the Time and Sales window for a chart to the chart bar values, the volume of the chart bars and to the price level volume in Numbers Bars, then be aware that the following settings can and will cause differences with these types of comparisons:

  • Chart >> Open Time and Sales Window >> Settings >> Combine Records
  • Chart >> Open Time and Sales Window >> Settings >> Volume Filtering
  • Chart >> Chart Settings >> Advanced Settings 2 >> Volume Filter

*Last modified Friday, 25th November, 2016.