Time & Sales shows in detail Tick-by-Tick data flow in real time of the single instrument. In other words, it displays all filled trades by reporting the price, size, execution time and whether the trade was filled at Bid or Ask, thus identifying the aggressor.
The aggressor buys at current Ask price and sells at current Bid price
Columns #
Time: trade execution time
Type: column visible ONLY if in addition to Tick-by-Tick data flow you choose to also display bid/ask data flow. Bid/ask data flow shows current best bid/ask (first level of book/DOM). Unless there are special needs, we do not recommend displaying bid/ask data flow in T&S window, especially on very active instruments.
Price: trade execution price
Size: filled quantity
Filled at: indicates where the trade was filled, i.e. whether it was filled at ASK, Above-ASK, at BID, Below-Bid or between BID and ASK.
- If the trade was filled at ASK or Above-ASK, the aggressor was the buyer.
- If the trade was filled at BID or Below-BID, the aggressor was the seller.
- If the trade was filled between BID and ASK, it was not possible to pinpoint exactly who the aggressor was.
Filter data #
You can filter data by choosing to view only trades that meet certain conditions. For example, you can set the filter to display only trades with size greater than or equal to a certain value, or which were filled above or below a certain price, or which were filled at Bid or Ask, etc.
Access Filter window from Settings menu (gear button at the top right of the window) > Data > Filter data
To filter data, you have up to 3 conditions linked together by AND/OR.
Example 1:
To view only trades with size greater than or equal to 100 and filled at BID, you will set filter as shown in the image below:
Example 2:
To view only trades filled at ASK and BID excluding all trades filled Above-ASK, Below-BID or between BID and ASK, you will set filter as shown in the image below:
View Properties #
You can customize T&S using view/style properties available in Settings menu (gear button at the top right of T&S window).
Daily Values: (session) choose whether or not to display values such as Open, High, Low, Previous Close, Total Volume, Time and last price/quantity traded, difference with the previous close:
- All: Shows all available values
- Time/Last/%/Size/Volume: Only shows information about last trade, difference in % with the previous close, and session total volume.
Text Size: Define font size to use on grid.
Data: Choose which data to display (Trade/Bid/Ask) and filter them according to your needs.
Number of rows: Set maximum number of rows to display in the grid.
Add new rows: Choose whether to add new data coming from real-time stream on top or bottom of the grid.
Theme: Choose whether to display grid in standard or zebra mode. If zebra, two shades of color are used for background resulting in a zebra effect on the grid.
Reset Column Settings: Resets settings (width) of columns.
Always On Top: If checked, T&S window is always kept on top of belonging Workspace. Property has no effect if T&S window is docked to Workspace window.
Save Settings as Default: Saves T&S current settings as default. T&S windows opened after saving will all have the new defaults.
Pause #
You can pause T&S to better analyze the collected data:
- By pressing Pause button at the top left of T&S window
- or from Settings menu (gear button at the top right of T&S window) > Pause
To reactivate T&S:
- Press Pause/Play button again at the top left of T&S window
- or from Settings menu (gear button at the top right of T&S window) > Continue
Clear Data #
You can clear all data from Settings menu (gear button at the top right of T&S window) > Clear data.
Link T&S to a Chart / DOM / Watchlist #
Using instrument-Link you can link a T&S window to one or more Chart, DOM, Watchlist, Order-Entry, other T&S etc. windows. Instrument-Link allows you to automatically change the instrument on linked Charts, DOMs, Watchlists.
To link T&S to a chart, please follow these steps:
1. Select a color from instrument-link available color list at the top right of T&S window:
2. Select the same color chosen for T&S, on instrument-link at the top right of chart window:
3. That’s all! Now the two windows are linked to each other.
4. To link other windows, set the same color chosen in the T&S also in the other windows, exactly as you did with chart.
