Let's learn/discuss how to read the DOM and Time and Sales

Quote from ofthomas:

simple, someone sold into the bid... in order for 52 to go bid, 1533+ contracts have to be bought (assuming no icebergs selling at that level)...
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Ok let's make it easier by using an image:

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The ES is currently trading at 1553.75. There are 785 contracts waiting to be traded at this level. Why does price go away from this level before that 785 becomes a 0?
 

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Quote from 1a2b3cppp:

Well this is a basic thread for beginners to DOM and TaS like me so I think it was an appropriate question.

How come when the big 100+ orders come in that yellow section never says 100? I've never really seen it get over 10, and usually it's below 5. The fact that it happened to say 10 in my screenshot was because it randomly changed to 10 for an instant right as I grabbed the screenshot.
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use in conjunction with your T&S and see if the T&S can do aggregation of trades on B/A basis... that will show you... just because someone sells 100 lot to the bid doesnt mean there were 100 on that side, that might have broken down on 1's, 5's 10's, 50's..etc...
 
Quote from 1a2b3cppp:

Ok let's make it easier by using an image:
The ES is currently trading at 1553.75. There are 785 contracts waiting to be traded at this level. Why does price go away from this level before that 785 becomes a 0?
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lets state it a different way...

there are offers to buy 785 contracts @ 53.75...
there are offers to sell 1149 contracts @ 54 ...

8 contracts were sold into the bid... no trading takes place unless someone agrees to buy the ask or sell into the bid... so someone that was looking to get short sold to the bid...

again, really basic stuff... if I am not mistaken, you have a "profitable" journal, so how did you ever became profitable without understanding that simple notion?

anyhow, I hope the above explanation helps.
 
Quote from 1a2b3cppp:

Does anyone know what it means when some of the rows are highlighted in the TaS? You can see examples in some of the TaS images I attached.
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T&S are all different, and they can be customized... one of the best T&S windows I have found is with MarketDelta/InvestorRT ... CQG's is awful..(I use CQG btw) ...it allows you to aggregate the trades at big/ask... which will allow you to better understand what is really going on... otherwise, looking at T&S becomes noise...
 
Quote from 1a2b3cppp:



I know some big traders break their big orders into many smaller orders, so sometimes when I see a bunch of 10-50 contract orders all appearing at the same moment, I figure it might be a big trader that just broke their order in to pieces so it didn't appear as like a 500 contract order. Like this:

Look at all those orders that came in at 1:16:49 for 10+ contracts each.
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yes, and no... the Algo's used for OE (depending on the venue) will break any large orders... the number is not specified, it is variable... so the iceberg can be shooting orders in 1's or 5's or 10's or 50's or whatever, there is no "control" from the trader end... it is based on the order flow the algo see.. so do not assume those 1's are all small traders... that is the biggest mistake people tend to make when following T&S...

as I said, aggregate the T&S B/A... you will get a better picture...
 
Quote from ofthomas:

lets state it a different way...

there are offers to buy 785 contracts @ 53.75...
there are offers to sell 1149 contracts @ 54 ...

8 contracts were sold into the bid... no trading takes place unless someone agrees to buy the ask or sell into the bid... so someone that was looking to get short sold to the bid...

again, really basic stuff... if I am not mistaken, you have a "profitable" journal, so how did you ever became profitable without understanding that simple notion?

anyhow, I hope the above explanation helps.
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I do not use DOM or TaS in my trading.

It's something I would like to learn more about, though.
 
Quote from 1a2b3cppp:

I do not use DOM or TaS in my trading.

It's something I would like to learn more about, though.
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hmmm... just be careful, use that data as confirmation... don't use it to trade off it... IMO, given you use fib levels, I would use the T&S in an aggregate fashion to see what volume transacts at those levels and if things are holding or folding... that along with seeing what volume builds on those levels on the DOM... but all as confirmation.. trading off T&S and DOM data is mostly for scalpers... you can grab 2-3 ticks usually... specially when fading bonds on the out rights...
 
The ES just made a HH at 1563.73 (currently the high of day but that may change).

Here are some TaS screenshots from that time period.

What clues are here that suggest 1563.75 will be a turning point and that price will not continue to go up despite there being limit orders above that price?

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