How to View Time and Sales

Introduction

Sierra Chart supports tick by tick Time and Sales data. Time and Sales data is another name for a trade by trade history which includes the date and time of the trade and the volume of the trade. The Bid and Ask prices at every trade are also included.

Select Global Settings >> Data/Trade Service Settings on the menu. On this window you can specify the Number of Stored Time and Sales Records that you want to maintain per symbol. Normally this number should be less than 10000. The higher the number the more memory Sierra Chart will use. Typically 5000 is more than an adequate number of records.

Viewing Time and Sales Data as a Table View

For a Time and Sales window that provides a table view, select File >> Open Time and Sales Window on the menu. A chart for the symbol you want Time and Sales data on, needs to be open for this command to be active. For more information, refer to the Time and Sales Window page.

Viewing Time and Sales Data as Studies on a Chart

To view a graph of the Time and Sales data on a chart, select Analysis >> Studies on the menu. You can add any of the available Time and Sales studies available. They are as follows:

  • Time and Sales AskSize
  • Time and Sales Bid&Ask
  • Time and Sales BidSize
  • Time and Sales Price
  • Time and Sales Time
  • Time and Sales Volume

Accessing Time and Sales Data in Advanced Custom Studies

Time and Sales data is programmatically available through the Advanced Custom Study Interface and Language (ACSIL). For information on how to use this data in an Advanced Custom Study function, refer to the sc.GetTimeAndSales() function.

For long-term Time and Sales (trade by trade) data access, refer to Alternative Way for Obtaining Time and Sales Data.

Viewing Time and Sales on a Spreadsheet

The most reliable way to view long-term Time and Sales data is to use the underlying trade by trade (tick by tick) data in the Intraday chart data file. Follow these instructions to do this.

  1. Select Global Settings >> Data/Trade Service Settings. Set the Intraday Data Storage Time Unit to 1 Tick. For complete instructions, refer to Tick by Tick Data Configuration.
  2. Press OK.
  3. Open an Intraday chart for the symbol that you want Time and Sales data for, through File >> Find Symbol.
  4. If you changed the Intraday Data Storage Time Unit setting at Step 1 above, then select Edit >> Delete All Data and Download to re-download the data in the Intraday chart to get the 1 tick data. This only needs to be done once per symbol.
  5. Select Chart >> Chart Settings on the menu.
  6. Set Days To Load to 1 or 2 days.
  7. Set the Intraday Bar Period >> Bar Period Type to Number of Trades Per Bar and set the value in the box below this setting to 1.
  8. If you want to display only trades above a certain volume, then select the Advanced Settings 2 tab. Set the Volume Filter as you require. And enable Filter Trade Completely.
  9. Press OK.
  10. Select Analysis >> Studies on the menu.
  11. Add the Spreadsheet Study study to the chart.
  12. Press the Settings button. Set a unique name for the Spreadsheet Name.
  13. Press OK.
  14. Press OK.
  15. A Spreadsheet window will open. If you do not see this window, you can find it listed as the specified Spreadsheet Name on the CW menu.
  16. For more information about the Spreadsheet Study, refer to the Spreadsheet Study documentation.
  17. You will now have each trade on a separate line of the Spreadsheet. The chart bars also will display 1 trade per bar.
  18. You may also want to add the BidVolume and AskVolume studies to the chart as well. So you have the Bid Volume and Ask Volume for each trade displayed on the Spreadsheet. These will be displayed on the Spreadsheet beginning at column AA by default if 16 formula columns are being used, which is the default.
  19. To see more rows, increase the Number of Rows input with the Spreadsheet Study. Refer to Adding/Modifying Studies.
  20. Non-CLR version only: The data on a Spreadsheet can be saved as a text file by selecting File >> Save As. In the list of file types on the Save File window, select Text. Enter a file name and press the Save button.

*Last modified Tuesday, 30th August, 2016.