Support Board

Date/Time: Sat, 20 Apr 2024 14:07:11 +0000

Post From: Summary Time & Sales Indicator for Chart

[2018-01-13 00:36:47] Link To Thread - Link To Post [Go To First Post]
User379884 - Posts: 45
Hi, Yes this is a useful feature. If you believe that identifying large market orders is important to your system then it is not so useful. For market orders that go through multiple levels the CME reports as separate trades which is not useful if one is trying to determine the aggressor. On highly liquid instruments like the ES the CME reconstruction can sort of work, for something like CL it is not very useful and almost redundant for something like NQ. I know this is not a limitation of SC, rather its the way that CME reports the trades which SC is bound to in this instance so not taking a dig, just pointing out the difference. The trade reconstruction algo used by Beacon (and many other non SC vendors) is not 100% accurate as this would be impossible, however it is still accurate enough to determine large market orders and absorption areas of large market order participants with a high degree of confidence. Also if one wants to trade other instruments outside of CME this is also useful. Like I said the trade reconstruction algo is only important if you believe identifying market orders through multiple levels is important. If you don't have this belief then I'm sure the CME reconstruction provided by SC and other SC features will be more than adequate for identifying other useful volume patterns.