Support Board
Date/Time: Fri, 04 Jul 2025 20:48:37 +0000
Time & Sales
View Count: 53
| [2025-07-01 04:11:18] |
| User781731 - Posts: 58 |
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Is it correct that if you ENABLE “Combine Records into Exchange Reported Original Summary Trade” on the Time & Sales, it will show the original order size of individual market orders being executed (that is, the executions from the perspective of the market order side of the transaction)? For example, if an individual market buy order of 150 contracts is executed, it will show 150 at one price level on the T&S? If the answer is yes, how does it decide what price level to choose for that order in the event all 150 contracts don't get filled at the same price? *** And is it correct that if you DO NOT ENABLE “Combine Records into Exchange Reported Original Summary Trade” on the Time & Sales, it shows the executions on the limit order side of the transaction? For example, if a single market buy order of 150 contracts is executed but there is only 75 sitting on the ask and 75 sitting on the ask at next price above it, it will show on the T&S as two orders of 75 at two different prices? |
| [2025-07-01 14:21:34] |
| John - SC Support - Posts: 40745 |
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Per the following from the documentation for the "Combine Records into Exchange Reported Original Summary Trade" option: The summary trades are only going to be for the same single price. Not multiple prices.
Therefore what you are stating is not quite correct. Only trades that are at the same price level are combined. For instance, a trade for 150 gets filled for 75 at one price level and 75 for another price level, these will show as 2 different time and sales lines. If the first quantity of 75 filled by offsetting orders of 50 and 25, then with the combine option enabled, you will see the one trade of 75. Otherwise, you would see the two trades - one for 50 and one for 25. The documentation for this is here: Time and Sales Window: Combine Records >> Combine Records into Exchange Reported Original Summary Trade For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2025-07-01 18:24:13] |
| blt - Posts: 71 |
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... please do not mind me jumping in: "... then with the combine option enabled, you will see the one trade of 75. Otherwise, you would see the two trades - one for 50 and one for 25." ... to be 100% precise: you will see under Volume tab 75; and under Trade Number 2 !!! (combine-enabled) meaning 75 is offsetting 50 and 25 at the same price level ... ... pardon my intrusion leonardo |
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