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Understanding futures market ( delta , time and sale )

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Sydney, Australia
Trading Experience: Intermediate
Platform: Sierra Chart, IRESS
Broker/Data: IB, IQFeed
Favorite Futures: ES, SPI, ASX stocks, options
Posts: 399 since Jun 2015
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voluma View Post
thanks for the prompt response.

fyi, i'm using order flow and the chart type in minutes. so each bar, i'm looking at delta ask vs bid traded. So the question would be why there's delta difference since amount of contracts between buyer and seller are the same.

for T&S, using the same question i raised before, if 5 buy contracts are filled with 5 sell contracts, would like to know what will appear in T&S ? will it be 5 contracts of buy or 5 contracts of sell or both of them should be appear in T&S.

There are 2 types of orders, limit or market. Limit is an order that sits in the DOM, and is passive, market order is an aggressive order that buys/sells a resting limit order.

For a market to move the market orders need to overwhelm the limit orders resting on the DOM for it to tick up/down.

Delta is a measure of how aggressive a buyer or seller is, delta is calculated per bar, the formula is buy market orders minus sell market orders. A positive delta means more buying aggression, and vice versa.

T&S will only print the market order. so if a buy market order hits the offer, it will show up on the T&S as a limit offer order that was hit (usually in green, to show buying aggression).

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