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Plotting the Time and Sales
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Plotting the Time and Sales

  #1 (permalink)
Elite Member
Fort Collins, Colorado
Futures Experience: Intermediate
Platform: NT7
Favorite Futures: ES
Posts: 57 since Feb 2011
Thanks: 48 given, 43 received

Plotting the Time and Sales

I am trying to create an indicator that plots the Average Trade Size of the last several trades in Time of Sales. This is a form of Market Profile in a sense, but it doesn't seem to exist within the context of the @gomi indicators that I have seen. If it does, I would love to be pointed in the right direction.

Here is what I am trying to do. Let's say I have the following simplistic Time and Sales data.

2:14:59PM 1366.50 1
2:14:55PM 1366.50 5
2:14:55PM 1366.50 1
2:14:44PM 1366.50 10
2:14:44PM 1366.50 11
2:14:26PM 1366.50 2

2:14:26PM 1366.75 3
2:14:26PM 1366.75 23

With a "normal" Market Profile indicator, it would total the contracts at the Bid (Red) and plot 30 and the contracts at the Ask (Green) and plot 26. Presumably showing more interest at the Bid and hence the "urgent," at-the-market money is selling, and will eventually push the market down if it continues.

In its most simple form, what I would like to do is show the average size of the transactions, so for the Bid, the plot would be 30/6 for 5 and for the Ask, it would be 26/2 for 13. Presumably showing that the "Big Money" is buying at the market, and hence will push the market up.

Two different ways to look at the data. Obviously, to do this, I need access to the raw Time and Sales data. I think that the GomRecorder should be able to give me access to this data in a file, but I am not strong enough at coding to be able to figure out how to get at it. It doesn't seem to be as simple as

If (SalePrice=Bid){B++; TotalSalesAtBid = TotalSalesAtBid + NewSale;}
If (SalePrice=Ask){A++; TotalSalesAtAsk = TotalSalesAtAsk + NewSale;}

and then AskAvg = TotalSalesAtAsk/A; BidAvg = TotalSalesAtBid/B;

It would be great if this data is easily accessible in NT8, or if it is in MC. But I can't seem to find how to plot the data.

Any help would be appreciated. Thanks!

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  #2 (permalink)
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  #3 (permalink)
Elite Member
Fort Collins, Colorado
Futures Experience: Intermediate
Platform: NT7
Favorite Futures: ES
Posts: 57 since Feb 2011
Thanks: 48 given, 43 received

To be clear, I know that the data shown doesn't support the hypothetical assumptions that I showed about the direction of the market. I just didn't want to type in a whole string of Time & Sales data. If it helps, assume the the red numbers are a string of 1s, 2s, and 5 lot sales, adding up to 220 and the greens are five 20s and a 100 lot trade adding to 200. That would be a situation where it was clearly bigger traders vs smaller. To lazy to type out 100 lines though.

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