Time and Sales sizes

[sub5mango]

Hi

I am having difficulty understanding the time and sales sizes with a zen-fire feed.

I see plenty of large sizes going through 100-1000+.

However when I compare it to an esignal time and sales the numbers nowhere near match, esignal rarely has such large sizes.

Am I missing something here? Is zen-fire doing some kind of sub-totalling not done by esignal.

I am showing my ignorance here, but I thought the "size" is simply the number of contracts a single order is at the price quoted?

If this is the wrong forum for this question, I would be grateful if you could advise where I should ask

thanks in advance

[NinjaTrader_Bertrand]

sub5mango, I believe this is due to the unfiltered nature of the ZenFire feed - your understanding is correct, the 'Time and Sales' lists the last transaction (tick) trade volume and if it was done at the bid or the ask.

[sub5mango]

Hi Bertrand,

thanks for the speedy reply.

I am not sure what you mean by the "unfiltered nature"?

Just to clarify, to check my assumption is right:

so if I see on my T&S (all bid)
Time ES Price Size
15:39:00 924.25 200
15:39:00 924.25 150
15:38:00 924.00 100

This is what is happening:
at 15:39:00, a single order got filled at 924.25 for 200 contracts
at 15:39:00, a single order got filled at 924.25 for 150 contracts
at 15:38:00, a single order got filled at 924.00 for 100 contracts

[NinjaTrader_Bertrand]

Hi sub5mango, this is correct - the difference with ZenFire for example is that there's no tick aggregation done and you receive the data from the exchange raw or unfiltered which could give you more ticks / trades. Two different feeds will most likely never match to 100% in delivered ticks, so you can expect to see varying numbers depending on which you compare.

[DavidHP]

Originally Posted by NinjaTrader_Bertrand

sub5mango, I believe this is due to the unfiltered nature of the ZenFire feed - your understanding is correct, the 'Time and Sales' lists the last transaction (tick) trade volume and if it was done at the bid or the ask.

What if it was not done at the B/A?

Does it still display?

Is there any indicator that captures 'exactly' what the T&S shows?

Thanks,

[NinjaTrader_Bertrand]

David, it would pickup trades above the ask or above and trades below the bid and below, the trades in between are ignored - you then need to custom code to include those in the calcs, too.