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Date/Time: Mon, 27 Jun 2022 00:02:46 +0000



[Programming Help] - Time & Sales Question

View Count: 92

[2022-05-20 23:33:32]
User375960 - Posts: 2
Hello,

As I understand it the T&S is displaying actual trades. For example attached, there was a 200 lot bid highlighted (/ES) at 13:21:13:874010 @3900.00.

I know actually this was part of an original 1000 lot bid as I have correlated this with another T&S/bid-ask records. Is there a way to apply a filter to the bid ask records themselves on SC so I can see correlate what the original order was? Is there a study or another setting in SC through which I can do so? As it stands I don't see an option & in high volume periods the bid ask records move so quickly it's not particularly useful.

Essentially, I am trying to pay attention to/pick out specifically when 500 lot or 1000 lot bids or offers are placed in /ES.

Thank you!
imageScreen Shot 2022-05-19 at 10.30.35 AM.png / V - Attached On 2022-05-20 23:18:05 UTC - Size: 43.59 KB - 38 views
[2022-05-21 09:32:40]
User431178 - Posts: 90
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 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.
[2022-05-21 13:38:19]
User375960 - Posts: 2
Ok, Appreciate it! Curious - were you able to specifically look that trade up on a historical order book somewhere in SC (as being able to access that microstructure is interesting to me), or was your comment pieced together from the screenshot.

Thanks for the help
[2022-05-21 14:04:36]
User431178 - Posts: 90
From the screenshot, the consecutive price levels with same millisecond timestamp was a clue that it is was sweep order.
I say looks like 1k buy order, as without order IDs can't say with certainty.

To review the micro structure I load a 1-trade chart with heatmap and use the Goto Date Time command to quickly find the area of interest.

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