Time and Sales: Fact versus Fiction

[⭐ gadfly]

Time and Sales: Fact vs. Fiction by Don Kaufman

 

Good explanation of why so-called "tape reading" is no longer possible.

 

[spoiler=]https://www.mediafire.com/file/z0m4sri5e3f3i3f

 

Edited May 5, 2021 by gadfly

[manzza]

thanks let me check it out

[⭐ gadfly]

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.

Edited April 29, 2018 by gadfly

[logicgate]

Sierra chart has an option to reconstruct the tape in advanced chart settings tab 3, then in time and sales just configure it to combine orders of same type and time (same second), you can spot the big trades.

[⭐ gadfly]

"Sierra chart has an option to reconstruct the tape in advanced chart settings tab 3, then in time and sales just configure it to combine orders of same type and time (same second), you can spot the big trades"

 

All the top platforms have that, doesn't mean much though, as I said earlier: "algorithmic trading programs will also buy and sell lots sequentially to cloak their activity."

[logicgate]

"Sierra chart has an option to reconstruct the tape in advanced chart settings tab 3, then in time and sales just configure it to combine orders of same type and time (same second), you can spot the big trades"

 

All the top platforms have that, doesn't mean much though, as I said earlier: "algorithmic trading programs will also buy and sell lots sequentially to cloak their activity."

 

That is why you consolidate filtered orders. Those algos usually buy/sell in bursts, you can see on the tape all the orders that happen in the same second (or 2, 3 seconds), most of them even happening in the same price. Just consolidate the orders to "reconstruct". Very easy to see the big 1000 + lots trades (talking about the ES). Last week in a small narrow trading range, in the same second there was big consolidated order of 3000 lots on the ask, no surprise price could not get lower and broke to the upside, at that time. You can see those orders sticking out like a sore thumb.

 

Open two time and sales window, configure one to show only orders from 1 to 29 lots and to consolidate the ones that happen at the same second, and the other to show only orders above 29 lots and to consolidate the ones that happen at same second.

Edited August 10, 2020 by logicgate

[logicgate]

I hired a programmer to code a study for me, for Sierra, that will do it and then plot on the chart, on the respective bar, the size of the consolidated order. I can customize the filter and the time interval for consolidation (1 second, 2, 5, 10, etc..).

 

For example, if I get a consolidated buy order of 1000 lots, this value will appear in green below the bar. If this is a 5min bar, if another consolidate big order happen before the bar completes, let´s say 2000, then it updates the value to 3000.

[logicgate]

From my experience, it's most common for big traders to submit series of small lot orders, 100-500 lots, so as to hide their activity. They can execute thousands of those within a couple of minutes. 1000 or larger lot orders would be far too obvious. But hey, whatever works for you!

 

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.

[⭐ gadfly]

A volume oscillator will tell me that, logicgate... but anyway I'll reupload Don's session, it explains the drawbacks of "tape reading."

[logicgate]

A volume oscillator will tell me that, logicgate... but anyway I'll reupload Don's session, it explains the drawbacks of "tape reading."

 

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.

[⭐ gadfly]

I can get such info at a glance from multi-time frame VWAP.

[logicgate]

The VWAP won´t give you the bar where the consolidated big orders happened.

[⭐ gadfly]

It will if it's multi-time frame, and in fact it will give a more accurate picture of order volume.

[logicgate]

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.

[⭐ gadfly]

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....

[logicgate]

If the orders you say happens in nanoseconds, miliseconds, theu will stil be inside one second where I will be consolidating them in one big order, merging filtered orders that happen inside the same second or more... This here VWAP will never show you.

 

 

[logicgate]

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.

[logicgate]

Continuing from previous image:

 

[⭐ gadfly]

I understand what you are trying to accomplish, logicgate, but there are easier and more efficient ways to do it, e.g., with "monkey bars," I think I have a Jeff Bierman session about this, I'll look. Thank you.

 

"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."

 

Not in this case, Don has "insider" experience from developing the ThinkorSwim platform and watching millions of dollars of orders come through the brokerage.

Edited August 12, 2020 by gadfly

[logicgate]

I don´t think it get any easier than what I am trying to do... But that is what I am looking for, you might be looking for something else.

[⭐ btul]

Logicgate, is what you´re doing a much more refined version of using say a 4 tick renko on the ES, with volume per bar underneath, showing the spikes in volume at certain price levels?

[⭐ gadfly]

Logicgate: "If the orders you say happens in nanoseconds, miliseconds, they will stil be inside one second where I will be consolidating them in one big order."

 

They have up to 10 seconds to report an order, perhaps longer in some markets, not sure. I don't know what point you were trying to make with your chart example, there are no streams of large orders there, just common retail trader lots, and your consolidation of the orders seems arbitrary. What would you do with this information?

[logicgate]

the average retail trader operates 1 to 5 lots, anything over 30 is already a medium to large trader.. LOL yeah right, because everyone has the deep pockets to open a 683 lot position :))... And that is just the example on the image, usually when the large trades are reconstructed they go between 1500 and 7000 lot trades...

 

683 lot = US$341.500 margin just for this trade and US$8.537,50 per tick, very normal haha

[logicgate]

Logicgate, is what you´re doing a much more refined version of using say a 4 tick renko on the ES, with volume per bar underneath, showing the spikes in volume at certain price levels?

 

This will show you the total volume of the bar, but not the bid and ask volume separately, and also it won´t be filtered.

[⭐ gadfly]

logicgate said: "because everyone has the deep pockets to open a 683 lot position"

 

If you knew how to read time and sales (it's obvious you don't) you'd recognize that as a "block order" of retail orders submitted by the brokerage firm. You've assumed that all trades with a similar timestamp (same second) are from the same source, which is a wrong assumption, especially since a few of them are odd lots, and big firms do not trade in odd lot sizes - 146, 147, 65, etc.

 

Furthermore, as I said, they can execute millions of trades a second and they have up to 10 seconds to report a trade. In other words, you are just fooling yourself if you think you're reading order flow, you're not.