Understanding futures market ( delta , time and sale ) | Reviews of Brokers and Data Feeds

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Understanding futures market ( delta , time and sale )

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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.

ad bis/ask delta: This is a common add-on for splitting up the order flow by adding a differentiation if an order from T&S was executed at the bid or at the ask. With adding this level of complexity, you don't have the T&S identity any more. E.g.: 100 trades of T&S - identity of the number of buyers and sellers. T&S only shows time & sales - as the name says. When you add a comparison now, if these T&S were made at the ask or at the bid, you normally get a delta.

ad T&S: The answer is still: 5 contracts @ price X @ time Y - T&S shows the transaction that was closed + when it was closed. No double counts; it's one transaction.

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