[rocky9281]

Originally Posted by BlowFish »

Do they report un filtered, un coalesced data? Do they report bid/ask info? If so there should be no reason why not.

I am attaching a T&S screenshot of the exchange under consideration.

It seems they are reporting bid/ask info aren't they?

Regarding reporting of un filtered, un coalesced data, how to know whether they report them or not? Does this T&S shows these are reported?(I don't know what is meant by un filtered, un coalesced data )

If not, please tell me how to find out whether the concerned exchange reports these.

[BlowFish]

Thats a question for the exchange...or maybe your broker.

[rocky9281]

Originally Posted by rocky9281 »

un filtered, un coalesced data

Hello Blowfish,

I asked some people about unfiltered, uncoalesced data. They haven't heard these terms earlier.

IMHO,I think:

Unfiltered means - they should disclose every trade as they occur and don't hide any trade.right?

Uncoalesced means- they don't add up two or more trades and show them as one trade... like bought 50@ 200.5 and bought 25@200.5. These 2 trades add up to give bought 75@200.5,and show this 75@200.5 in the T&S instead of the two separate trades of 50 and 25. Am I correct?
Please tell me what do they mean,in case I am wrong.

[BlowFish]

Yeah, actually I always used the term un aggregated but seems that un coalesced is the more popular term Can't be that popular from what yo say. Anyway you are right, sometimes someone down the line will 'aggregate' several trades at the same price/time (report them as one trade). At one time the CME intimated they where doing it on some instruments but that is not the case now.

[rocky9281]

Hello BlowFish,

Those vendors who provide true tick by tick data are too expensive for me.

Most of the data vendors here provide data with ticks updated for every 1 second(although the exchange publishes every tick, these vendors can't incorporate it that fast and accurately).Please see the screenshot attached at post #49 for a sample of this kind of data.This is from eSignal.

So this is bit inferior than true tick by tick data.Will that lead to data aggregation? Will that kind of data work for T&S analysis? Shall I go for it?

[Whidbey Island]

IQ feed is way better than esignal, IQ feed has better data but their platform stinks so you'll need your own to tie into it...(ie..ninjatrader), esignal has a prettier platform but their data stinks.....

What is it you want to do?

If your Scalping or an Intraday trader... then I like T4 or x-trader....
Longer term trades, Trade Navigator...
You can learn scalping from TradeNavigator but I don't trust their stability for scalping

I use X-Trader myself & have been a full time trader since 1991

[rocky9281]

Please throw some light on Time and sales refreshing.

1.Why does the T&S refreshes?

2.What does it mean when we see the time and sales data/window refreshes?

3.What to look for after the refresh?

[rocky9281]

Some possible price and volume combinations in time and sales window are:

1. High volume trading going off-both in bid and ask, with intervening small/medium trades in both bid and ask.I don't think this pattern should be ignored just because it is indeterminate as both bid and ask sides are traded heavily, but should be watched closely because the high volumes indicates professionals are participating.

2. High volume trading going off in bid,not a single trade is of small/medium volume.Also, not a single trade going on in the ask. (vice versa)

3. High volume trading going off in bid.Along with that,small/medium volume trades going off at ask. (vice versa)

4. Large number of small/medium sized trades going off at bid.None of the trades is of high volume.May not seem to be professional activity,but at the end of the day the summation of the volume of trades at bid at that price level comes out to be very high.

What does each of the above four combinations indicate, and hence, what the tape reader should do when he sees them in his time and sales?