Time and Sales on Globex

T

TheStudent

Trying to clear up some cobwebs in my brain about how T&S is determined.

If 100 lots to buy at market meets the following depth, what do we get on the tape?

(assume FIFO, ordered by price, then time, then quantity)

Ask 10 @ 1200
Ask 25 @ 1201 (earlier timestamp)
Ask 25 @ 1201 (later timestamp)
Ask 100 @ 1202

what sort of prints would make it to time and sales?

Would it be

11:23:02AM 1200 10 At Ask
11:23:02AM 1201 25 At Ask
11:23:02AM 1201 25 At Ask
11:23:02AM 1201 40 At Ask

? I think this is right.


Now, what if the depth was the following

Ask 50 @ 1200
Ask 50 @ 1200
Ask 50 @ 1200
Ask 50 @ 1200

would we get

11:23:02AM 1200 50 At Ask
11:23:02AM 1200 50 At Ask

or would we get

11:23:02AM 1200 100 At Ask

?
 
Thanks Dell boy

I've thought about it a little more and come to the conclusion that it's all completed transactions. Bunching them would make no sense.

This means, I think, that if you want to determine the size of a market order, you have to stitch up all the transactions of the same timestamp together.
 
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