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Time and Sales on Globex

  1. 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

    ?
     
  2. T/S
     
  3. T/S
     
  4. 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.