Time & Sales Query

Discussion in 'Educational Resources' started by NAVEEVIa, Jun 14, 2009.



    I have some doubts regarding T&S & how trades are executed.
    I would be grateful if someone can clarify

    1. How is tick data & time & sales data different?
    2. If i draw a10 tick chart does that mean that last 10 trade prices are used to construct OHLC bar?
    3. If we add up all T&S data for a session would it equal to total volume of the session?
    4. If T&S shows 100lots traded at 900, are all thses scenarios possible:
    a. 1 trade of 100 lots with 1buyer & 1seller
    b. 100 trades of 100lots with 1 buyer/seller & 100 seller/buyers.
    c. 10 trades of 10 lots done at the same time with 10 buyers & 10 sellers
    Is scenario c possible?
    5. In very fast moving market like opening 10 mins , is T&S data complete?

    6. last one is realted to algos i guess, i saw this in Schatz contract but am sure is equally likely for ES
    There were 1200 lots at offer, next trade was 300 lots at offer & offer price changed to bid, So is it possible that while those 300 lots were being exceuted the rest 900 lots were pulled out, is such speedy pulling of order possible.
    e.g. lets say someone is showing fake big size on bid 10000 lots at 100 ,if i give an order to sell 10000 lots at 100 , will my order get exected for 10000 lots?