Support Board
Date/Time: Tue, 26 Nov 2024 04:30:08 +0000
Post From: Time and Sales combine same price and time
| [2014-03-05 00:56:40] |
| Profile Trader - Posts: 174 |
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I was wondering if something could be put together like what Jigsaw has done to reconstruct the tape for a large order on one side being filled with all small orders on the other side? There is a brief video about it here. http://www.youtube.com/watch?v=n0svl38Xl3c As an example: Lets say Institution A sells 100 contracts into the bid and the order is filled with 20 5 contact orders. on T&S this will show up as 20 transactions of 5 contacts. with the reconstructed T&S it will show up as a 100 contact sell. Not sure how they are doing it or if the data feed tags all those orders so someone can program something to repackage them? Maybe another way to do it is zero in to the ms field and then combine all the orders that are consecutive in milliseconds. so if you have 12:25:04.001,002,003 and then you have 005 you would combine 1,2,3 all together as one trade. Thanks, Doug |