Sierra Chart Reconstructed Time & Sales

NexusFi · 2020-10-05T11:40:29-04:00

This is true but only for trades that are executed per price level. So for trades that are filled over multiple price levels they are reported as multiple trades which is not very useful if you are trying to establish the trade initiator/aggressor. This is not a limitation of SC rather this is the way that CME tag their trades. For example 50 bid 5 lots, 49 bid 10 lots, 48 bid 15 lots. A 17 lot sell market order hits this gets reported as 3 order, 5,15,2 rather than 17 lots. hummmm good to know... the …

Discussion in Sierra Chart

Updated October 5, 2020

Sierra Chart Reconstructed Time & Sales

October 5th, 2020, 11:40 AM	#11 (permalink)
olufemig Surrey, UK Elite Member Experience: Intermediate Platform: sierra chart Broker: Stage5 Trading: futures Posts: 11 since Jul 2020 Thanks Given: 3 Thanks Received: 4	https://sierra.trading/sierra-chart-studies/