Date/Time: Fri, 19 Jan 2018 23:43:05 +0000
Combine Trades to Original Summary Trades Function Question
|User379884 - Posts: 20|
In the event of the trade initiator filling over multiple levels does the SC summary trade function report this as one trade or multiple trades? For example 50 bid 5 lots, 49 bid 10 lots, 48 bid 15 lots. A 17 lot sell market order hits, does this get reported through the time and sales with the summary trade reporting function as one 17 lot sell trade, or does it report as per the levels it fills at and show as three sell order trades 5, 15, 2.
Sierra Chart Engineering - Posts: 56309
This would be multiple trades. The CME would never indicate a single summary trade in this case. A summary trade is only a single price.
This is one of the reasons why the concept of tracking large trades, is questionable. It inherently has all kinds of limitations to it.
Sierra Chart Support - Engineering Level
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