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CL today - interpretation of tape / time and sales data
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CL today - interpretation of tape / time and sales data

  #1 (permalink)
Market Wizard
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CL today - interpretation of tape / time and sales data

I have a specific question about Time and Sales.

This is a screenshot of recent price action for CL 03-18 from today. I have highlighted 4 bars, encased in yellow box. For those 4 bars, the Low is 58.92 and the High is 58.96.

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Now this is a snapshot of Time and Sales for that period of time. Again the relevant transactions are encased in the yellow box.

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By looking at the market orders marked in green at 58.96, my interpretation of them is that they are orders hitting the offer, and that's fine.

Then, I also noticed 3 market orders, also at 58.96, but they are marked in red (highlighted with yellow arrows)

Does that mean, at that specific moment in time
  1. the bid/ask moved to 58.96/58.97
  2. those 3 orders were market orders hitting the offer (ask)
  3. nothing (obviously) traded at 58.97 before the bid/ask moved back down

Is my interpretation correct?


Last edited by xplorer; February 14th, 2018 at 04:31 AM.
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  #3 (permalink)
Market Wizard
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Refreshing the question.

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  #4 (permalink)
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interesting & funky way of trying to read T&S. Have always read a continuous T&S & have not read T&S inside a candle stick since to be it does not provide any meaning...as candles do not provide any info as real or hidden limits running...& cannot see Market vs Limits.

Always related prints to the DOM to the T&S. Infact in that also am really interested when the sweeping the bid/offer other than actual single entries.

either ways.... i dont see any issue why the 58.96s could not have been sold as marked with yr arrow. There really would not have been need for anything to be bought or sold at 58.97s(it could have been quoted & then downticked to 58.96s<< in my small mind..but i can be wrong..hence 58.96s was hit on the bid.

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  #5 (permalink)
Market Wizard
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Thanks paps, I agree with


paps View Post
i dont see any issue why the 58.96s could not have been sold as marked with yr arrow. There really would not have been need for anything to be bought or sold at 58.97s(it could have been quoted & then downticked to 58.96s<< in my small mind..but i can be wrong..hence 58.96s was hit on the bid.

In fact my thinking is, this is what happened, i.e. 58.97 was quoted on the offer but nothing traded there. However, for those 3 trades to be marked in the red, that suggest they must have been sold on the bid, which means any and all sell limit orders at 58.96 would have been filled.

Just wondering if there's any other scenario that may have played out differently and I'm not aware of it.

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  #6 (permalink)
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i think you have it right for the example you showed.

but LOB is a very vast subject. As one gets more proficient you can start seeing what other vendors do not show or talk about since they may not know 1st off. 2ndly some of the advanced LOB subjects are only available on whitepapers written by academicians and you will see 0 vendors getting into those specifics...simply as retail cannot afford paying up those prices. Very sofphisticated LOBs am sure will tell you 100s of things which need different data feed, different modelling, different look at existant Limits in the book, etc etc.

however we can do well w/o any of the above. but all i will tell you is when looking at t&s try to see what dom is telling. what liquidity is telling. what if any depth is telling. who is the aggressor....limits or market orders. yupp limits can also be aggressors.

anyways i think you already on the right track

cheers n goodluck

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  #7 (permalink)
Market Wizard
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thanks @paps - perhaps one day I will tell you how I look at the DOM - probably unconventional but seems to work for me... lol

I'm not familiar with the acronym LOB though, looked it up and didn't find anything that seemed meaningful?

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xplorer View Post
thanks @paps - perhaps one day I will tell you how I look at the DOM - probably unconventional but seems to work for me... lol

I'm not familiar with the acronym LOB though, looked it up and didn't find anything that seemed meaningful?

Limit Order Book = same what you looking at.....
sure thing...would love to hear from you how you look at the DOM. Always refreshing to get new ideas.






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  #9 (permalink)
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xplorer View Post
I have a specific question about Time and Sales.

This is a screenshot of recent price action for CL 03-18 from today. I have highlighted 4 bars, encased in yellow box. For those 4 bars, the Low is 58.92 and the High is 58.96.

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


Now this is a snapshot of Time and Sales for that period of time. Again the relevant transactions are encased in the yellow box.

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


By looking at the market orders marked in green at 58.96, my interpretation of them is that they are orders hitting the offer, and that's fine.

Then, I also noticed 3 market orders, also at 58.96, but they are marked in red (highlighted with yellow arrows)

Does that mean, at that specific moment in time
  1. the bid/ask moved to 58.96/58.97
  2. those 3 orders were market orders hitting the offer (ask)
  3. nothing (obviously) traded at 58.97 before the bid/ask moved back down

Is my interpretation correct?

Most likely what happened was that a spread order filled an offer at 58.97 and never got reported on the outright tape but the program identified the spread fill as an uptick and the trades after that as downticks.

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  #10 (permalink)
Market Wizard
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Hulk View Post
Most likely what happened was that a spread order filled an offer at 58.97 and never got reported on the outright tape but the program identified the spread fill as an uptick and the trades after that as downticks.

Thanks Hulk, so are you saying that there is a likelihood of trades taking place but not being reported by the tape?

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