Support Board
Date/Time: Mon, 21 Apr 2025 13:26:48 +0000
[User Discussion] - Time and Sales Above Ask or Below Bid
View Count: 457
| [2025-03-09 05:34:01] |
| tendiemann - Posts: 15 |
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Hello support, I see the setting to color text/background in the time and sales when a trade occurs above the ask or below the bid (Time and Sale Above Ask Trade Text). However I was reviewing other support board posts and came across this one Study which shows Trades above Ask or Below Bid and this one Time and Sales Highlights That seem to indicate that trades cannot occur above or below the bid ask. Specifically you said: "No, this does not exist. This is not even technically possible to occur. The market data sometimes may indicate this. However, that really cannot be accurate. And also whether a trade occurs at the Bid or Ask is given by an indication from the exchange, not by Sierra Chart." And: "Also, an order cannot execute above the ask price or below the bid price. If any data feed is showing that, it just has to do with how the exchange is transmitting data." So my question is what is the purpose of the setting to color text/background of a trade that occurs above the ask or below the bid if that is not technically possible? |
| [2025-03-09 09:05:46] |
| Flawless Cowboy - Posts: 13 |
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You can sort of get this to show in Sierra, if you set the number of trades per bar to 1 and add the bid ask prices study, Sierra does display trades that occur above the ask and below the bid. How this is displayed varies depending on if you have combine trades into original summary trade set to yes or no in the chart settings. The chart on the left is with the setting set to yes and the left set to no.
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 Tradeabovebestask.png / V - Attached On 2025-03-09 09:05:40 UTC - Size: 59.18 KB - 61 views |
| [2025-03-09 19:02:02] |
| Sierra_Chart Engineering - Posts: 19285 |
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These settings were added a long long time ago, and just not removed: So my question is what is the purpose of the setting to color text/background of a trade that occurs above the ask or below the bid if that is not technically possible?
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2025-03-10 18:57:38] |
| User512353 - Posts: 65 |
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My understanding is that an "above ask"/"below bid" record is produced when a market order quantity is larger than the sum of all quantities of the resting bids at the best current price level (and beyond, successively). Such a market order will take out all the resting orders at the current price level, and then continue filling resting orders at the next price level. Since multiple price levels are involved for that single market order, multiple T&S records must be produced. Of these records, those that represent fills involving resting orders beyond the current prize when the single market order was executed, would become "above ask"/"below bid" records. Is my understanding wrong? |
| [2025-03-10 19:29:06] |
| Sierra_Chart Engineering - Posts: 19285 |
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In this case, the Ask or Bid price would change to match the last trade price. So the last trade price would never be higher than the Ask price, and lower than the Bid price. The simple fact is this condition simply cannot occur. You cannot have a trade above the ask or below the bid. It is just not possible. If it is observed, it just has to do with how the data feed is working from the exchange, and it would be indicate incomplete data. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2025-03-10 19:30:57
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| [2025-03-10 19:41:56] |
| User512353 - Posts: 65 |
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Who generates the classification "above ask"/"below bid" of a T&S record? The exchange or SierraChart servers or the locally running SierraChart program? "above ask"/"below bid" records obviously occur in the T&S stream. Regardless of what they actually mean (if anything), somebody/something must do the classification. |
| [2025-03-10 21:04:14] |
| blt - Posts: 59 |
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...@SC Engineering ...@User512353 ... ...I think it was my post that about T&S; above; below definitions ...Both statements will be right ONLY!!! if this is true: 1. no trade can occur unless it hits BID or ASK (SC postulate) 2. in a case of insufficient numbers of contracts to fill MARKET orders that got FILLED at above ASK; below BID (to make trade complete) would be treated as "above or below" trades in T&S (User512353 postulate) ...In this case we could read this "rule" as "aggressiveness" which corresponds to "diagonal coloring" in Numbers Bar ... ...User512353 has the very same way of reading as I do ... ...exp. We have: 10 contracts at 20000 (shown as best ASK) 15 contracts at 20000.25 Market order comes with 20 contracts buy 10 contracts @ 20000 taken (as @ASK) 10 contracts @ 20000.25 taken (as above ASK) with 5 contracts left at new @ASK ... ...thank you and my apology for intervention Leonardo |
| [2025-03-11 00:24:28] |
| joshtrader - Posts: 506 |
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From CME: https://www.cmegroup.com/trading/about-time-sales.html "The Price column displays the price at which the transaction occurred. Some prices are followed by an "A" after the price indicating an offer/ask price which occurred at or below the previous last. A "B" after the price indicates a bid which occurred at or above the previous last. Prior to regular session hours, an indicative price may be displayed with a volume of zero in the size column." |
| [2025-03-11 01:46:41] |
| blt - Posts: 59 |
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...@joshtrader ... ...be so kind and reflect on this: "In the Time & Sales data for futures, when a trade is marked as "above Ask," it indicates that the trade occurred at a price higher than the current asking price. This typically happens when a buyer is aggressive and willing to pay more than the listed ask price to ensure their order is filled quickly. Such trades are often referred to as "sweeps," as the buyer is sweeping through the available ask prices and moving to the next level up." ...my example above reflects this ...in a case this is not correct then the whole DENALI data feed (or any other as a matter) is useless ...I also believe that SC data architecture reflects it as well ...data architecture coding has to recognize and categorized moment when Market order hitting Ask level that doesn't have enough contracts to fill order-then moving higher ... ...please comment and thank you |
| [2025-03-12 17:42:32] |
| User512353 - Posts: 65 |
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The question from above is still open: Who generates the classification "above ask"/"below bid" of a T&S record? The exchange or SierraChart servers or the locally running SierraChart program? "above ask"/"below bid" records obviously occur in the T&S stream. Regardless of what they actually mean (if anything), somebody/something must do the classification. Maybe SC support can answer this? |
| [2025-03-12 18:15:11] |
| blt - Posts: 59 |
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...@User512353 ... "It is Sierra Chart which determines whether a trade is at the Bid or Ask with some exceptions. One exception is CME (Chicago Mercantile Exchange) data using the Sierra Chart Exchange Data Feed or when using Rithmic. In these cases, it is the exchange which indicates whether a trade is at the Bid or Ask. All trades need to happen at the Bid or Ask when trades are executed on an exchange. Therefore, the concept of a trade between the Bid or Ask or trade above or below the Bid or Ask prices is due to a lack of Bid and Ask updates." ... ...Personally I am a bit afraid to ask clarification for my example above ...need to know who is "aggressor" |
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