Tape/Time and Sales: why actual trades do not decrease bid/ask sizes? - Traders Hideout | futures io social day trading
futures io futures trading


Tape/Time and Sales: why actual trades do not decrease bid/ask sizes?
Updated: Views / Replies:4,490 / 33
Created: by Nicolas11 Attachments:1

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 1  
 
Thread Tools Search this Thread
 

Tape/Time and Sales: why actual trades do not decrease bid/ask sizes?

  #11 (permalink)
 Vendor: www.traderwerks.com 
Taipei Taiwan
 
Futures Experience: Advanced
Platform: NinjaTrader
Broker/Data: Optimus
Favorite Futures: TW
 
Posts: 693 since Jun 2009
Thanks: 440 given, 440 received


Nicolas11 View Post
I have made a similar test with YM @ CME, for which I have both Level I and Level II through DTN IQFeed.
Seems "normal", as illustrated here-below.

The numbers between [] are the ID numbers of the messages in the feed (to be sure that I have not missed any).

There are two cases.

1st case: the trade(s) do(es) not take all the liquidity at the level. Then next bid/ask update reflects the decreasing liquidity.

Example: 1 trade at the ask

[128935] Update without trade: Ask = 18 @ 13215 - Bid = 8 @ 13214 | 2012-08-20 16:36:38
[128936] New trade at the ASK: 1 @ 13215 - Ask = 18 @ 13215 - Bid = 8 @ 13214 | 2012-08-20 16:36:38
[128937] Update without trade: Ask = 17 @ 13215 - Bid = 8 @ 13214 | 2012-08-20 16:36:38

Example : 2 trades at the bid

[127848] Update without trade: Ask = 22 @ 13212 - Bid = 11 @ 13211 | 2012-08-20 16:36:01
[127849] New trade at the BID: 2 @ 13211 - Ask = 22 @ 13212 - Bid = 11 @ 13211 | 2012-08-20 16:36:02
[127850] New trade at the BID: 1 @ 13211 - Ask = 22 @ 13212 - Bid = 11 @ 13211 | 2012-08-20 16:36:02
[127851] Update without trade: Ask = 22 @ 13212 - Bid = 8 @ 13211 | 2012-08-20 16:36:02

2nd case: the trade(s) do(es) take all the liquidity at the level. Then next bid/ask update reflects the up/down tick

Example : 1 trade at the bid

[127061] Update without trade: Ask = 23 @ 13212 - Bid = 1 @ 13211 | 2012-08-20 16:35:58
[127062] New trade at the BID: 1 @ 13211 - Ask = 23 @ 13212 - Bid = 1 @ 13211 | 2012-08-20 16:35:58
[127063] Update without trade: Ask = 23 @ 13212 - Bid = 32 @ 13210 | 2012-08-20 16:35:58
[127064] Update without trade: Ask = 23 @ 13212 - Bid = 30 @ 13210 | 2012-08-20 16:35:58
[127065] Update without trade: Ask = 23 @ 13212 - Bid = 29 @ 13210 | 2012-08-20 16:35:58
[127066] Update without trade: Ask = 24 @ 13212 - Bid = 29 @ 13210 | 2012-08-20 16:35:58
[127067] Update without trade: Ask = 25 @ 13212 - Bid = 29 @ 13210 | 2012-08-20 16:35:58
[127069] Update without trade: Ask = 27 @ 13212 - Bid = 29 @ 13210 | 2012-08-20 16:35:58

[127070] Update without trade: Ask = 2 @ 13211 - Bid = 29 @ 13210 | 2012-08-20 16:35:58

The green part illustrates a very short-term "liquidity vaccum": we have to wait 5 messages until the bid/ask spread reduce to 1 tick.

Example : 2 trades at the ask

[127673] Update without trade: Ask = 3 @ 13210 - Bid = 37 @ 13209 | 2012-08-20 16:36:00
[127675] New trade at the ASK: 1 @ 13210 - Ask = 3 @ 13210 - Bid = 37 @ 13209 | 2012-08-20 16:36:00
[127676] New trade at the ASK: 2 @ 13210 - Ask = 3 @ 13210 - Bid = 37 @ 13209 | 2012-08-20 16:36:00
[127677] Update without trade: Ask = 28 @ 13211 - Bid = 37 @ 13209 | 2012-08-20 16:36:00
[127678] Update without trade: Ask = 26 @ 13211 - Bid = 37 @ 13209 | 2012-08-20 16:36:00
[127679] Update without trade: Ask = 26 @ 13211 - Bid = 39 @ 13209 | 2012-08-20 16:36:00
[127680] Update without trade: Ask = 24 @ 13211 - Bid = 39 @ 13209 | 2012-08-20 16:36:00
[127681] Update without trade: Ask = 21 @ 13211 - Bid = 39 @ 13209 | 2012-08-20 16:36:00
[127682] Update without trade: Ask = 20 @ 13211 - Bid = 39 @ 13209 | 2012-08-20 16:36:00
[127683] Update without trade: Ask = 19 @ 13211 - Bid = 39 @ 13209 | 2012-08-20 16:36:00
[127684] Update without trade: Ask = 18 @ 13211 - Bid = 39 @ 13209 | 2012-08-20 16:36:00

[127685] Update without trade: Ask = 18 @ 13211 - Bid = 2 @ 13210 | 2012-08-20 16:36:00

Nicolas

Orders are being cancelled and you are not getting those messages.

Math. A gateway drug to reality.
Reply With Quote
 
  #12 (permalink)
Elite Member
near Paris, France
 
Futures Experience: Beginner
Platform: -
Favorite Futures: -
 
Nicolas11's Avatar
 
Posts: 1,070 since Aug 2011
Thanks: 2,232 given, 1,729 received


traderwerks View Post
Orders are being cancelled and you are not getting those messages.

Here, we are just talking about best bid / best ask, so the 1st level in the DOM on each side.
You are saying that, if a limit order resting on the 1st levels of the DOM is cancelled, there is no update message in the T&S.
I am not so sure.
For example, let's have a look at this sequence (extracted from above):
[127064] Update without trade: Ask = 23 @ 13212 - Bid = 30 @ 13210 | 2012-08-20 16:35:58
[127065] Update without trade: Ask = 23 @ 13212 - Bid = 29 @ 13210 | 2012-08-20 16:35:58
I think that the 2nd message reflects that 1 order was pulled out from the DOM.
I do not pretend to be right. Just discussing. I'm new in the T&S party. And eager to learn.

Nicolas

Reply With Quote
 
  #13 (permalink)
Market Wizard
Bangkok
 
Futures Experience: Intermediate
Platform: MultiCharts.NET, S5, Ninj
Broker/Data: AMP, S5, IB
Favorite Futures: ES
 
DionysusToast's Avatar
 
Posts: 2,667 since Nov 2010
Thanks: 776 given, 8,714 received
Forum Reputation: Legendary


Is Ninja the platform here?

Just so you know - there's a couple of places Ninja stores the current bid/ask and they are not updated @ the same frequency.

Can you show the lines of code you have that are displaying this?

Reply With Quote
 
  #14 (permalink)
Elite Member
near Paris, France
 
Futures Experience: Beginner
Platform: -
Favorite Futures: -
 
Nicolas11's Avatar
 
Posts: 1,070 since Aug 2011
Thanks: 2,232 given, 1,729 received

The platform is Sierra Chart.
So there is no "storage issue" as with Ninja Trader. I mean: everything is built-in.
The code is very short and uses the built-in function sc.GetTimeAndSales which gives access to the T&S messages.
The code just reads these T&S messages one after the other and adapts the printing according to "new trade" or "update" (it is a "field" of the message).


Last edited by Nicolas11; August 20th, 2012 at 12:21 PM.
Reply With Quote
 
  #15 (permalink)
Market Wizard
Bangkok
 
Futures Experience: Intermediate
Platform: MultiCharts.NET, S5, Ninj
Broker/Data: AMP, S5, IB
Favorite Futures: ES
 
DionysusToast's Avatar
 
Posts: 2,667 since Nov 2010
Thanks: 776 given, 8,714 received
Forum Reputation: Legendary


Nicolas11 View Post
The platform is Sierra Chart.
So there is no "storage issue" as with Ninja Trader. I mean: everything is built-in.
The code is very short and uses the built-in function sc.GetTimeAndSales which gives access to the T&S messages.
The code just reads these T&S messages one after the other and adapts the printing according to "new trade" or "update" (it is a "field" of the message).

I don't think each individual T&S message contains the qty at bid & at ask - there are separate messages for trades/depth changes/price changes.

Reply With Quote
 
  #16 (permalink)
Elite Member
GER
 
Futures Experience: Advanced
Platform: MC
Favorite Futures: ES
 
Posts: 144 since May 2011
Thanks: 11 given, 211 received

Nicolas,
it could be a Sierra problem. I havent it install anymore, but if you look at the times and sales window on their site you will see that the bid and ask sizes change only on the next tick, ie at 1:09:58 the sizes remain constant till 1:10:00. Dont know if this is fixed now.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Reply With Quote
The following user says Thank You to SPMC for this post:
 
  #17 (permalink)
Elite Member
near Paris, France
 
Futures Experience: Beginner
Platform: -
Favorite Futures: -
 
Nicolas11's Avatar
 
Posts: 1,070 since Aug 2011
Thanks: 2,232 given, 1,729 received

@SPMC,

I think that this behaviour is normal.

As you say, T&S Window only updates at each new transaction.

However, sc.GetTimeAndSales() gives more information:
- what happens at each transaction (same as T&S Window)
- and update of best bid / best ask between transactions

Nicolas


Last edited by Nicolas11; August 20th, 2012 at 03:50 PM.
Reply With Quote
 
  #18 (permalink)
 Vendor: tradingcode.net 
The Netherlands
 
Futures Experience: None
Platform: MultiCharts, TradingView
Favorite Futures: ...
 
Jura's Avatar
 
Posts: 774 since Apr 2010
Thanks: 2,347 given, 661 received

Interesting. MultiCharts 8.0 with ZenFire on 6E has the same behaviour (bid and ask don't change after trade):

 
Code
20-08_22:25:40  6E Update without trade. InsideBid: 15  InsideAsk: 4
20-08_22:25:41  6E Update without trade. InsideBid: 15  InsideAsk: 4
20-08_22:25:41  6E Update without trade. InsideBid: 15  InsideAsk: 4
20-08_22:25:41  6E Update without trade. InsideBid: 15  InsideAsk: 4
20-08_22:25:41  6E Trade done: 7. InsideBid: 15  InsideAsk: 4
20-08_22:25:41  6E Update without trade. InsideBid: 15  InsideAsk: 4
20-08_22:25:41  6E Update without trade. InsideBid: 14  InsideAsk: 4
20-08_22:25:41  6E Update without trade. InsideBid: 14  InsideAsk: 4
20-08_22:25:41  6E Update without trade. InsideBid: 14  InsideAsk: 4
20-08_22:25:42  6E Update without trade. InsideBid: 14  InsideAsk: 4
20-08_22:25:42  6E Update without trade. InsideBid: 14  InsideAsk: 4
Perhaps a coding error from my part?

 
Code
Variables:
	IntraBarPersist PrevBid(0),
	IntraBarPersist PrevAsk(0),
	IntraBarPersist PrevVolume(0),
	sizeOfTrade(0), bidSize(0), askSize(0);
	
if (dom_isconnected) then begin 	
	bidSize = DOM_BidSize(0);
	askSize = DOM_AskSize(0);	
end;

if (Ticks <> PrevVolume) then begin 

	if (BarStatus(1) = 1) then 
		sizeOfTrade = Ticks
	else 
		sizeOfTrade = PrevVolume - Ticks;	

	Print(TimeNow, SymbolName, " Trade done: ", NumToStr(sizeOfTrade, 0), 
		". InsideBid: ", NumToStr(PrevBid, 0), "  InsideAsk: ", NumToStr(PrevAsk, 0));

end else begin 

	Print(TimeNow, SymbolName, " Update without trade. InsideBid: ", NumToStr(PrevBid, 0), 
		"  InsideAsk: ", NumToStr(PrevAsk, 0));

end;
	
PrevVolume = Ticks;	
PrevBid = bidSize;
PrevAsk = askSize;

RecalcLastBarAfter(0.1);

Reply With Quote
The following user says Thank You to Jura for this post:
 
  #19 (permalink)
Elite Member
near Paris, France
 
Futures Experience: Beginner
Platform: -
Favorite Futures: -
 
Nicolas11's Avatar
 
Posts: 1,070 since Aug 2011
Thanks: 2,232 given, 1,729 received

Jura,

Is it correct to say that, roughly speaking, your code is executed again and again at each new tick or after 100ms, whichever comes first?

Nicolas

Reply With Quote
 
  #20 (permalink)
 Vendor: tradingcode.net 
The Netherlands
 
Futures Experience: None
Platform: MultiCharts, TradingView
Favorite Futures: ...
 
Jura's Avatar
 
Posts: 774 since Apr 2010
Thanks: 2,347 given, 661 received



Nicolas11 View Post
Is it correct to say that, roughly speaking, your code is executed again and again at each new tick or after 100ms, whichever comes first?

Yes indeed, due to the RecalcLastBarAfter keyword.


Reply With Quote

Reply



futures io > > > Tape/Time and Sales: why actual trades do not decrease bid/ask sizes?

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

Linda Bradford Raschke: Reading The Tape

Elite only

Adam Grimes: TBA

Elite only

NinjaTrader: TBA

January

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Tape is my shape (tape reading, time and sales) bloom Traders Hideout 1262 November 13th, 2017 06:31 AM
Tape Trading = Time and Sales bomberone1 The Elite Circle 7 June 19th, 2012 07:16 AM
Inflation Cools as Prices Level Off With Energy Decrease Quick Summary News and Current Events 0 December 16th, 2011 10:00 AM
Trades filled outside of Bid Ask spread? cw30000 Traders Hideout 2 December 11th, 2011 09:22 AM
The Worst Trades Of All Time kbit News and Current Events 0 June 26th, 2011 07:38 PM


All times are GMT -4. The time now is 07:49 AM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-12-11 in 0.14 seconds with 20 queries on phoenix via your IP 54.226.132.197