Support Board
Date/Time: Sun, 31 May 2026 19:02:32 +0000
Post From: Time and Sales Window – Trade and Quote-Update processing
| [2026-05-31 13:27:13] |
| User537545 - Posts: 2 |
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Hi there, in the "Time and Sales Window" one can see all Bid-Trades (Type = Bid Trade), Ask-Trades (Type = Ask Trade), and Quote-Updates (Type = Bid Ask). I have attached 2 screenshots as reference. I am aware that these records are not ordered by their timestamps but by their sequence number which is assigned by Sierra Chart to each record. I noticed though, that trades seem to appear in "batches" meaning often 3 to 10 as a single block with a Quote-Update before and after the block. The inherent question for me is thus if trades actually appear as soon as they occur or if Sierra Chart always does a function call every {x} milliseconds and then adds each trade that happened since the last function call? Did all trades that are displayed between two Quote-Updates (Type = Bid Ask) actually happen in the same millisecond? Could it be possible that between individual Trade-Records (Type = Bid Trade; Type = Ask trade) that are displayed as a block there were Quote-Updates (Type = Bid Ask) that were not recorded? Furthermore, does every Trade-Record (Type = Bid Trade; Type = Ask trade) represent a single trade order that got executed or can the same trade order be split across multiple Trade-Records? It would be interesting to know if it is possible to determine which executions belong to the same trade order. I am assuming that a block of trades between two Quote-Updates does not represent a single executed trade order but multiple executued trade orders. Another thing that I noticed is that for Bid-Trades (Type = Bid Trade) and Ask-Trades (Type = Ask Trade) the values that appear in the columns "Bid" and "Ask" are often stale across a block of trades and sometimes deviate significantly from the execution prices (column "Price"). Thus these values cannot represent the actual best bid and best offer at the time of execution. Are the values in the columns "Bid" and "Ask" the best bid and best offer at the time the trade order was sent to the exchange (meaning it could change before the orders actually got executed)? If not, what do these values represent? |
 Time & Sales Window - Ask-Trades.png / V - Attached On 2026-05-31 13:16:49 UTC - Size: 169.86 KB - 5 views Time & Sales Window - Bid-Trades.png / V - Attached On 2026-05-31 13:16:54 UTC - Size: 170.56 KB - 4 views |