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Question on trade size in tick data

  #1 (permalink)

Canada, Toronto
 
Trading Experience: Intermediate
Platform: Sierra Chart
Favorite Futures: Energy, Metals, FX
 
Posts: 14 since Oct 2016
Thanks: 23 given, 4 received

Question on trade size in tick data

Just a question on tick data. Does the trade size in tick data refer to the size of the aggressive market order or the filled limit order?

For example, if a trader sends a market buy order of 100 contracts and it is matched with 5 different size 20 limit orders at ask.

Would this be reported as 1 buy trade of size 100 or 5 buy trades of size 20?

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