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Tape is my shape (tape reading, time and sales)
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Tape is my shape (tape reading, time and sales)

  #251 (permalink)
Market Wizard
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pbylina View Post
This is what i mean. On the DOM, you see 150 on ASK. This is total orders. What we dont know is if its 3 - 50 lots or 150 1 lots, etc. But when it gets filled with a market order then on the Tape(T&S) it prints, showing us the sizes of the orders that were on limit. Thats at least how I think it works.

Yea I wish that too sometimes.


Yup

If you have 150 on the ask and it's 3x50 lot limit orders, you'll see 3 prints on regular time & sales IF someone submits a market buy order for 150.

On the other hand, if we have 2 market buy orders, one for 90 and one for 60, we will see

50
40
10
50

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  #252 (permalink)
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zt379 View Post
Ok here come the stupid questions...
Hoping you can help me overcome my ignorance:
1. "if you see 1000 at ask, uptick"
are you saying a 1000 printed on the T&S at the ask price ?
Where are we "seeing" this 1000 ?

On 'standard' time & sales software, the 1000 will be across multiple prints at that level over time. Some platforms show cumulative contracts at a level. When you get to a level, you may see 15880 contracts traded and therefore you can watch the increase to assess how many printed.


zt379 View Post
2. If yes, then how can that be a limit sell ?
lets say at the time the bid/ask was 1134.00/1134.25.
1000 printed at 1134.25
Wouldn't the 1134 bid price have to go to 1134.25 bid in order for the 1000 to be filled as a limit sell?

If the Ask/Offer is 1134.25, that is the lowest price people with limit orders are willing to sell for. When you hit that with market buy orders, then you are buying from these sellers at 1134.25. If there were 1000 contracts on offer at 1134.25 and they are all taken, then 1134.50 will be the new inside offer. On thick instruments, the bid will rise too. On thinner instruments the spread will widen.


zt379 View Post
3. If so the 1000 would be at a bid prince on T&S no ?

No - 1000 offered for sale, taken up by buyers. Every transaction needs a buyer & a seller.



zt379 View Post
4.If the 1000 and then another 1000 and then the 10,000 were at an ask price on T&S why wouldn't they be market
buy orders ?

A print "At Ask" means that someone submitted a market buy order that hit a limit order to sell at the inside ask. You have a buyer & a seller matched up.

Don't confuse offers with an absolute intent to sell. A marker buy order is an order to buy. An offer is an offer to sell which may be pulled. Offers are often fake. Offers are statements of intent but are often lies to sucker people in.


zt379 View Post
5. In other words how can a limit sell be filled at an ask price?

A limit sell order is the ask price. If you put in a limit order to sell, it sits on the ask side waiting for someone to hit it with a marker order.

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  #253 (permalink)
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DionysusToast View Post
To be honest, I'd do it but I just don't understand why it would be useful as yet.

I have not tried this obviously but It actually sounds like a good idea. My reason is this: Tape reading involves looking at the speed of tape. Well the normal tape we have transactions at BID and at ASK on same tape. I try to see if BIDS are flowing faster then ASKS or ASKS flowing faster then BIDS. On regular tape you can kinda "estimate" which ones flowing faster then other. If we had separate tape for BIDS and ASKS then maybe we could get a sharper edge. I would get it if I didnt just buy a Ninja lifetime license($999) lol. My pockets are empty for now.
----------------------------------------------------------------------------------------------------------------------------------------------------
I got a time and sales that goes on chart. I tried to look at the code to see if I could do the modification. But no luck. Maybe someone else could give it a try...|

Attached Files
Register to download File Type: zip Tape.zip (10.7 KB, 105 views)

Last edited by pbylina; July 6th, 2011 at 10:24 PM.
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  #254 (permalink)
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DionysusToast View Post
On 'standard' time & sales software, the 1000 will be across multiple prints at that level over time. Some platforms show cumulative contracts at a level. When you get to a level, you may see 15880 contracts traded and therefore you can watch the increase to assess how many printed.

ok yes I've seen this and understand


Quoting 
If the Ask/Offer is 1134.25, that is the lowest price people with limit orders are willing to sell for. When you hit that with market buy orders, then you are buying from these sellers at 1134.25. If there were 1000 contracts on offer at 1134.25 and they are all taken, then 1134.50 will be the new inside offer. On thick instruments, the bid will rise too. On thinner instruments the spread will widen.

ok , I understand the buyer paying the ask price, but I still don't understand how the seller gets the ask price.
I'm sure you can see my confusion ? We all place sell orders.
Lets say bid/ask is 1338.75/1339.00, We place a limit sell at 1339.00.We have to wait for the bid price (1338.75)
to move up one tick to a new bid price of 1339.00 to be filled. That's why 1339.00 appears on our statement as a Sell at the bid price.
Sorry to hark on on this. To be frank I've never understood this mechanism but hope to this time around.


Quoting 
No - 1000 offered for sale, taken up by buyers. Every transaction needs a buyer & a seller.

A print "At Ask" means that someone submitted a market buy order that hit a limit order to sell at the inside ask. You have a buyer & a seller matched up.

So every buy at market order and every sell limit order, because they are in essence one of the same or rather matched against each other so a transaction can take place are on T&S as a buy, in green.

Consequently the T&S colour (red/green) has little significance other than to tell us which of the two prices (bid/ask) has been hit ? (or traded)

What is of significance then is which type of order, ie: market buy or limit sell, has the most "power" for sake of a better word?


Quoting 
Don't confuse offers with an absolute intent to sell. A marker buy order is an order to buy. An offer is an offer to sell which may be pulled. Offers are often fake. Offers are statements of intent but are often lies to sucker people in.

So where by a market buy order is always matched by a limit sell order we are here to evaluate, as best as possible, not whether there are market buy orders or limit sell orders (because they are always both) but how many of each ?
ie: if there are more market buy orders than sell limit orders available (or on offer) prices (the ask) will rise to a price where enough limit sell orders are available or on offer, to fulfill the market buy orders coming in ?

Until there are enough or more limit sell orders to absorb the market buy orders price (the ask) will keep rising.


Quoting 
A limit sell order is the ask price. If you put in a limit order to sell, it sits on the ask side waiting for someone to hit it with a marker order.

Yes, conceptually I understand this but am again thinking, "why do I get the bid price when I sell", isn't that why we are always down by one tick (on ES) as soon as we are filled ?
Isn't that why, to gain a one tick profit, price has to actually move 2 ticks.?

I really appreciate you taking the time to help explain.
It seems the T&S is not really laid out properly. Or at least the wrong assumptions can be easily made as to what it's displaying?

So going forward, we need to also view the Dom at the same time as one to three (filtered) T&S ?

Thx again DionysusToast

Every moment I wake up I realize I know nothing, and then I smile...
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  #255 (permalink)
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bloom View Post
Lets see if you can bore someone here( I think nope) Welcome
this one for S&P500 E mini that shows you by printing big block 18:11:45-54 at ask that there is a huge size at limit on ask
Attachment 42681
Please share your experience and will discuss than)))
this is a reason this thread here exists
Many thanks

How do you get your TimeAndSales setup to look somewhat so different ?

Lolu

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  #256 (permalink)
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zt379 View Post
ok yes I've seen this and understand

ok , I understand the buyer paying the ask price, but I still don't understand how the seller gets the ask price.
I'm sure you can see my confusion ? We all place sell orders.
Lets say bid/ask is 1338.75/1339.00, We place a limit sell at 1339.00.We have to wait for the bid price (1338.75)
to move up one tick to a new bid price of 1339.00 to be filled. That's why 1339.00 appears on our statement as a Sell at the bid price.
Sorry to hark on on this. To be frank I've never understood this mechanism but hope to this time around.

So every buy at market order and every sell limit order, because they are in essence one of the same or rather matched against each other so a transaction can take place are on T&S as a buy, in green.

Consequently the T&S colour (red/green) has little significance other than to tell us which of the two prices (bid/ask) has been hit ? (or traded)

What is of significance then is which type of order, ie: market buy or limit sell, has the most "power" for sake of a better word?

So where by a market buy order is always matched by a limit sell order we are here to evaluate, as best as possible, not whether there are market buy orders or limit sell orders (because they are always both) but how many of each ?
ie: if there are more market buy orders than sell limit orders available (or on offer) prices (the ask) will rise to a price where enough limit sell orders are available or on offer, to fulfill the market buy orders coming in ?

Until there are enough or more limit sell orders to absorb the market buy orders price (the ask) will keep rising.

Yes, conceptually I understand this but am again thinking, "why do I get the bid price when I sell", isn't that why we are always down by one tick (on ES) as soon as we are filled ?
Isn't that why, to gain a one tick profit, price has to actually move 2 ticks.?

I really appreciate you taking the time to help explain.
It seems the T&S is not really laid out properly. Or at least the wrong assumptions can be easily made as to what it's displaying?

So going forward, we need to also view the Dom at the same time as one to three (filtered) T&S ?

Thx again DionysusToast

There are 2 ways to sell.

1 - Put in a limit order. When price comes up to your level, people submitting market buy orders will hit your limit order and you will fill at your limit price which at that time will be the inside ask. Many people consider a limit order to be more passive.

2 - Put in a market sell order. In this case, your marker sell order will hit a limit order on the inside bid.This is where you lose the tick.

As a general rule, market orders are considered more aggressive than limit orders which is why we color "At Ask" prints green (market buy orders hitting limit sell orders) and "At Bid" orders red (market sell orders hitting limit buy orders).

So - the answer to your question "why do I get the bid price when I sell" - that's what happens when you use market orders.

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  #257 (permalink)
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I think we are need FAQ because all new peoples asking the same questions)))
What green or what red)))
If i want to by, i put limit order at bid and someone must sell to me so i could get in. It would be red print.
You are all think in onesided direction. Each print - This is TRANSACTIONS at the first look. Someone sell market order, someone buy with limit. It Was a transaction. And if market goes down and transactions became bigger and BIGGER then this is means that more and more moneys involved in the move.
I post a thread about it. Please read more carefull.
this is example. Think, observe, post threads. I could not do it all along)))
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And remember price 1333. Someone buy there thery much from ask and then put limits and buys allredy at the bid)))
Today may be check this price and............

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  #258 (permalink)
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lolu View Post
How do you get your TimeAndSales setup to look somewhat so different ?

Lolu

This is T&S i took from DyonisusToast and usual T&S

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  #259 (permalink)
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bloom View Post
This is T&S i took from DyonisusToast and usual T&S

I do have the TimeAndSales on my charts too but not in the format of your layout and settings. You seem to have three T&S charts (one is the usual/normal NT T&S, the other two are derived from the T&S indicator), but they seem to have different
values in their columns despite the fact that all the three T&S charts are for ES instrument. Is there a special template or settings for this that DyonisusToast gave you ?

Lolu

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  #260 (permalink)
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DyonisusToast,

If an Algorithim split these orders up, how can your tape put it back together? It seems impossible. How can you know that a couple of split prints were from the same order?

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