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

futures.io - futures trading strategies, market news, trading charts and platforms

Reviews of Brokers and Data Feeds

Review and discuss futures brokers, their requirements and features, or ask questions about brokers and data feeds


Understanding futures market ( delta , time and sale )

  #13 (permalink)

Legendary Market Wizard
Columbus, OH
Trading Experience: None
Platform: NT 8, TOS
Favorite Futures: ES
Silvester17's Avatar
Posts: 3,460 since Aug 2009
Thanks: 4,837 given, 10,878 received

voluma View Post
I've new to futures trading and been trying hard to understand the theory behind it. I've read few article from the web and it mentioned that futures market it's a place where buyers and sellers meet in order to transact. For every buyer, there is a seller and for every seller, there is a buyer. If this statement "For every buyer, there is a seller and for every seller, there is a buyer " is true , i would like to know why there is a delta difference for each candle ( chart type in minutes) . If each price level got transaction between each buyer and seller, the delta should be remain zero.

Apart from it, i'm also finding it hard to understand time&sale print. Assuming i'm buying 5 contracts and there's seller willing to sell to me. Will the T&S print both 5 contracts buy and 5 contracts sell together at T&S ?

Hope some of the senior here could give me some guidance. Thanks in advance.

I think it's easier to explain with a footprint chart.

a delta can be seen on every single price level. in my example we look at the transaction at 1,922.25. at that time the market was 1,922.00 (bid) to 1,922.25 (ask). a marketable order (marketable orders are either market orders, or buy and sell limit orders whose limit price is at or above/below the current market price. A marketable buy limit order would have a limit price set at or above the current ask in the market) was executed at the offer (1,922.25). meaning a buyer of 3 contracts hit a limit order at that price. now we have a buyer of 3 contracts and a seller of 3 contracts. same amount of buyers and sellers. but since the transaction happened on the offer (ask), we now have a positive delta of 3.

of course you can also analyze the delta of candles, the whole session etc, whatever you want to.

time & sales also reports a buy of 3 contracts at 1,922.25 at around 16:15. again we need a marketable order to hit a limit order to have a transaction.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Reply With Quote
The following 7 users say Thank You to Silvester17 for this post: