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You have to right click the image and open in a new tab so see it full size. Usually the people who ditch and "burn" methods are the people who can´t use them, like this Don guy. Their mentality is "If I can´t use it, nobody else can, it is a lie" Institutions can´t cover their tracks, that is the whole point of VSA, trading in their shadow. IT does not matter if the orders happen between nanoseconds or pico seconds , they will still gonna be merged because they are inside the same second, I can even merge big filtered orders that happen in 2seconds or 20, 30... The only way they can hide their size is using iceberg orders , you can easily see that on the DOM when a price level has just a few orders and on the tape you have a gazillion orders printing at that level, effort vs result.

No it won´t , it is not the same thing. First you have to be able to filter the orders of certain size, then aggregate the orders that happen inside the same second. The total volume reading (a bar of a regular volume indicator) is totally different from the values you get this way on the tape. I can have a bar with very total low volume on regular volume, but the consolidated filtered order will show a very big buy order there at that bar, for example.

Here are the links, enjoy!

is this for what you are looking for ? neither i have downloaded nor its my link credit goes to original uploader https://[email protected]/folder/785j2RLS#VuCboR4wkG2fi8dRu-Q7VA

Enjoy: http://[email protected]/file/67xbyg2jwuejwt4/PreciseE&E.rar/file @ to a

https://mega.nz/folder/MuJDDY7S#ReOLDy0TQBLWxEyR6aF3kg

Don't bother with the above links. Here is the mega one. https://mega.nz/folder/S5xnnD6D#1NBfW9s9Iz2onRFAyac3-A

New Link Don Kaufman - About Time and Sales -2/22/16: http://www.mediafire.com/?z0m4sri5e3f3i3f Logicgate, With all due respect, your knowledge of time and sales appears to be about 20 years behind the times. Some important points to keep in mind: (1) Orders can now be executed in nanoseconds (billionths of a second), i.e., millions of orders can be executed in a second, and (2) firms can and do both buy and sell the same product in nanoseconds, to cover their tracks, (3) there can be as long as a 30 second delay in reporting orders, (4) dark pool exchanges can and do buy and sell between the bid/ask (in nanoseconds), and these orders will not not displayed in the traditional exchanges order book. I could go on but I'll let Don explain it....

My friend, VWAP is like a moving average on the chart, there is nothing to do with the concept of bid/ask order filtering/aggregation.

That is the reason why you consolidate the orders in the first place, let´ s say you have 6 orders happening at the same second and they sum up to 2000, 20 seconds later you have another burst summing 1000 lots, and 1min later you have another burst with 1500, so in less than 5min you already have a consolidated order of 4500 lots, which you can only see clearly by merging the orders that happen inside the same second or a bit more, or even in 1minute. Depending on the market you have to adjust the filter size and order consolidation time interval for that market, but you can only do that by watching time and sales to see what is normal and what is anomaly.

The bottom line is that trades are now tabulated in nanoseconds (billionths of a second) and can be executed by computers in millionths of a seconds, and the algorithmic trading programs will also buy and sell lots sequentially to cloak their activity. What's more, trades do not have to be reported to the major exchanges for 30 seconds and there's a lot of dark liquidity on private exchanges. So all in all, one is just wasting one's time trying to decipher all that - at least without a super computer. Same applies to reading options open interest and other such techniques that have not worked for about 20 years now.