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Question on trade size in tick data

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will3333 View Post
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?

A regular tick data stream shows you every single fraction, not simply aggregates.
That's why e.g. most order flow products artificially reconstruct "the tape" in order to find the powerful side
of orders since most trades are simply noise.

If you are interested in the underlying norms for CME data, see https://www.cmegroup.com/confluence/display/EPICSANDBOX/CME+MDP+3.0+Market+Data .


Last edited by choke35; October 25th, 2017 at 02:15 PM.
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