Time and Sales Data

[sue]

It seems that on the Time & Sales chart we only see the orders executed ON the BID or ON the ASK. We don't appear to see the trades between the Bid & Ask or the ones below the Bid or Above the Ask. 
This is also assumed given the T & S on BM moves so slowly compared to other platforms such as DAS Trader.
It also leads to the question...do the "Bubbles" only represent the orders executed ON the BID or ON the ASK...if so then thousands of orders aren't being shown...!

Would appreciate an update.

Thanks
 

[Svyatoslav]

Hi,
T&S column (the one built into bookmap) is expected to show all trades immediately (and as far as I know it does), so I am not sure I understand what you are talking about. I have some guesses, so it would be great if you could inspect it more carefully and provide additional details. Thoughts/questions below:
- Are you using T&S column in bookmap or some 3rd party addon? (screenshot would help here)
- Do you have filters set on T&S column?
- Could you provide an example of a trade which you don't see in T&S? Is it possible that it's an aggregation of trades on chart and you see it on T&S as multiple?
- Are you comparing data within bookmap itself or comparing bookmap with some other platform? You should see the same exact data in T&S and as dots, but which data you see depends on the feed.
- When you are saying T&S in bookmap is slow - could you provide additional details? It could be a network issue (again, it's feed dependant, e.g. DxFeed pushes all the data via a single TCP connection and since we have full depth orderbook it's more data than in most platforms making issues more likely), or it could be just different feed (e.g. a subscription to Nasdaq only in Bookmap against a CTA/UTP subscription in DAS trader).

[sawtooth500]

Hello,

I have the exact same question as the original poster.

For context, I am using DX feed and talking about US Equities such as TSLA, AMD, NVDA, etc...

So if I look at the BM T&S Tape, I have min/max UNCHECKED, and I have checked show individual trade events. I have it set to show all events, buy and sell side.

Why is there a significant different in the BM tape, if I compare it to say the tape in DAS Trader, or historical tape data for a ticker from a provider like Databento?

Specifically - If I'm looking at the tape in DAS Trader or Databento, I will notice a lot of events. Sure that are trades in round lot numbers like 100, 200, etc but also lots of events like 1, 2, 5, 26, or some random number of shares at a time.

Also, both DAS Trader and Databento cannot determine if all the transactions are either bid or ask - some transactions are in the middle.

So see my screenshots. You will see the one that is the BM T&S. All of these screenshots are from TSLA, but not the exact same time so the transactions won't match up, but you'll see the difference in the type of data.

The databento screenshot is the excel spreadsheet. You see the timestamp, the size is col L and col I is the side, B for bid, A for ask, or N if it's in the middle or it can't be determined.

The DAS trader screenshot is the other one, again you will notice the difference in the sizes of the transactions, DAS Trader has red and green transactions showing on the bid or ask, but transactions in the middle are in black.

So I have two questions -

1. In BM I have show individual trade events checked. But if I compare the BM to DAS trader or databento data, clearly there are a lot of individual events that BM is not showing. I don't have a min size checked in BM, but all the events of "1" size are not showing... it's like BM has an internal min of 100 or something before it shows...

2. How does BM make a determination regarding EVERY transaction if it's on the bid or ask when other data providers can't?

[Svyatoslav]

Re 1: As I said in the previous reply "... it could be just different feed (e.g. a subscription to Nasdaq only in Bookmap against a CTA/UTP subscription in DAS trader). ". It's impossible to answer the question without knowing which exact subscription you have on both sides. Most likely you are just getting data from different sets of exchanges, probably you don't have NBBO+CTA/UTP subscription enabled in Bookmap.
Re 2: In the data we are getting from DxFeed this information is present. We have a capability to guess the side, but I don't think it's used in case of DxFeed.