Trying to clear up some cobwebs in my brain about how T&S is determined. If 100 lots to buy at market meets the following depth, what do we get on the tape? (assume FIFO, ordered by price, then time, then quantity) Ask 10 @ 1200 Ask 25 @ 1201 (earlier timestamp) Ask 25 @ 1201 (later timestamp) Ask 100 @ 1202 what sort of prints would make it to time and sales? Would it be 11:23:02AM 1200 10 At Ask 11:23:02AM 1201 25 At Ask 11:23:02AM 1201 25 At Ask 11:23:02AM 1201 40 At Ask ? I think this is right. Now, what if the depth was the following Ask 50 @ 1200 Ask 50 @ 1200 Ask 50 @ 1200 Ask 50 @ 1200 would we get 11:23:02AM 1200 50 At Ask 11:23:02AM 1200 50 At Ask or would we get 11:23:02AM 1200 100 At Ask ?
Thanks Dell boy I've thought about it a little more and come to the conclusion that it's all completed transactions. Bunching them would make no sense. This means, I think, that if you want to determine the size of a market order, you have to stitch up all the transactions of the same timestamp together.