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Date/Time: Fri, 26 Apr 2024 15:09:45 +0000

Post From: Time & Sales Question

[2022-05-21 09:32:40] Link To Thread - Link To Post [Go To First Post]
User431178 - Posts: 411
Looks like that was a 1k buy market order that swept the book up to the price protection limit, the unfilled part (~400 contracts) of the buy order being added to limit order book at 3900. Time and Sales window shows trades per price level and per side so no way to combine into the complete original order in the way that you want. The only relevant setting is combine trades into original summary trade (Chart Settings: Combine Trades into Original Summary Trade (Data Feed and Exchange Specific) (Chart >> Chart Settings >> Chart Data >> Chart Data menu)), but from your T&S window it looks like you may have that enabled already. Again that is per price level, so with sweep orders won't make any difference. Also, it may not be of any help to you, but using the Above Ask and Below Bid coloring in the T&S window can help spotting large sweep orders. The short answer is that there is no setting or built in study to do what you ask.