Support Board
Date/Time: Mon, 17 Mar 2025 04:44:24 +0000
[User Discussion] - Large Volume Not Showing In Time And Sales
View Count: 895
| [2022-07-27 15:49:52] |
| Stav - Posts: 104 |
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Hi Sierra Chart, I've been noticing that most of the time the volume going trough on the DOM also shows in the Time and Sales which is what I would expect. My filtering is for > 20 lots to show, but I've noticed that the Time and Sales isn't always showing me the large orders going through via (absorption or iceberg) I see 980 contracts traded and I don't see this is my T&S. Even for no filtering (i.e. all orders even 1 lots) I don't get to see a se of bid or ask trades corresponding to the massive volume going through at a particular level, is there a reason for this? I have no upper bound for contracts traded so not sure hy I am not seen the large absorption or iceberg volumes when traded. Any help regarding this would be much appreciated. Thanks. Stephen |
| [2022-07-27 16:20:35] |
| User431178 - Posts: 614 |
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You are not going to see size of absorption or iceberg orders in that way via T&S, as they would be the limit side orders, whereas T&S is showing market orders. As an example, it might take 1000 individual 1-lot market orders to fill a 1000-lot limit order - in the T&S you will see 1000 x 1-lot orders. Also it is possible (likely) that large market orders trade across more than one price, for example if there is a 1000-lot market order, you may see ~100 trade at 10 separate prices, depending on what is offered in the book. You stand more chance seeing absorption / iceberg using the recent traded volume or current traded volume columns in the DOM (details here - Global Trade Settings Windows: Customize Chart/Trade DOM Columns (Chart Specific)). |
| [2022-07-27 17:38:03] |
| Stav - Posts: 104 |
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Hi, Not sure I agree with you there - sorry. In the DOM I see 980 lots filled at a particular level not across several strikes which can also be when absorption is taking place. These are 980 market orders hitting the bid at a level so whether they are 980 x 1 lots or any other combination the Time and Sales should print whatever combination of bundled market orders have been transacted at that price. The are market orders hitting the bid or ask at a level but it doesn't show in T&S. Of course I see the absorption or the refresh of icebergs on the DOM - that's obvious, what isn't is the fact that Market orders are not showing in Time & Sales. |
| [2022-07-28 15:35:06] |
| User431178 - Posts: 614 |
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I see 980 lots filled at a particular level not across several strikes
Yes, which is why I qualified the statment with 'depending on what is offered in the book'.Also, that comment was in relation to larger individual market orders, i.e. a single aggressor order. If you are looking at combined by time and type (or similar) then are you using the correct filter (combined)? What are your actual T&S settings? |
| [2022-07-28 15:47:46] |
| Stav - Posts: 104 |
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Hi, I am not using combined. I am using alert for market orders > 80 Plus showing Market orders > 20. Thanks. Stephen |
| [2022-07-28 16:17:47] |
| User431178 - Posts: 614 |
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These are 980 market orders hitting the bid at a level so whether they are 980 x 1 lots or any other combination
the Time and Sales should print whatever combination of bundled market orders have been transacted at that price. Ok, so if you are not using any sort of combining, then likely you will not see these orders at all. Using this exmaple: If your filtering is >20 and all 980 are 1 lot trades, then all 980 will be filtered out. If you want to bundle orders together, then you need to look at the combining modes. |
| [2022-07-28 16:36:07] |
| Stav - Posts: 104 |
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Hi No, no no. I have two window one without filtering so I see all the retail 1, 2 lots etc go through and another T&S window which filters out single (not combined box ticked) > 20 and an alert for market orders > 80. I would have expected to see all the 980 going through the level either as 1, 2 or whatever made combination as single trades as I am not ticking the combined box. |
| [2022-07-28 16:53:04] |
| Stav - Posts: 104 |
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Hi, I appreciate your feedback, so thank you. Stephen |
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