Time and Sales

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godog
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Time and Sales

Post by godog » Fri Aug 21, 2020 7:59 pm

I am comparing T&S between Charles Schwab and BookMap.  See attached.  I am trying to figure out why CS shows so much more T&S action than BM.  For CS, I am using Total view.  For BM, I am using DxFeed for full OpenView data set.

Thanks
Attachments
T&S view between CS and BM.JPG
T&S view between CS and BM.JPG (242.75 KiB) Viewed 1024 times

Zack
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Re: Time and Sales

Post by Zack » Mon Aug 24, 2020 8:24 am

If you subscribe to Nasdaq, you'll get the T&S from Nasdaq only.
In order to get the T&S from all US exchanges, you have to subscribe to NBBO
see more details on the other thread https://www.bookmap.com/forum/viewtopic.php?f=18&t=222&p=662&hilit=nbbo#p662
 

godog
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Re: Time and Sales

Post by godog » Mon Aug 24, 2020 4:59 pm

Okay...thanks for the reply.  I tried to access the link but I got a messaging saying I wasn't authorized to read.  I didn't see that option when I signed up for the DxFeed.  Must have over looked.  No problem, I just signed up.  Will report back if any issues.
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donkeykong
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Re: Time and Sales

Post by donkeykong » Thu Sep 17, 2020 8:26 am

i've noticed it too when i run it next to my CQG T&S vs rithmic T&S.

Svyatoslav
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Re: Time and Sales

Post by Svyatoslav » Thu Sep 17, 2020 9:36 am

I don't have an explanation for CQG vs Rithmic (since there are no multiple exchanges there). Could you please post a screenshot with those two side by side? Just make sure T&S settings are the same. I have some guesses (related to settings) but want to see it first.

donkeykong
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Re: Time and Sales

Post by donkeykong » Thu Sep 17, 2020 9:45 am

https://www.youtube.com/watch?v=23t3yU-XU5U
i recorded this a few months ago.
rithmic on the left on optimusFlow platform (T&S is the same when i compared it to bookmap)
tradovate in the middle
and Interactive brokers on the right.

no filters turned on.
 

Svyatoslav
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Re: Time and Sales

Post by Svyatoslav » Thu Sep 17, 2020 9:57 am

Ah, so there was no bookmap there? But from what I can see - platforms probably aggregate events differently. On the left you can see raw events, in the middle - looks like events are aggregated + somehow filtered (I know Rithmic shows implied order book, i.e. one from spreads integrated, not sure if it somehow affects trades). About IB - not really sure what it shows, but looks like it's also applying some aggregation.

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