Time and Sales

What is the Times & Sales Window?

The times and sales (T&S) window is a real-time data feed that displays executed trade details for a particular security or market. The T&S window shows tick-by-tick transparency into the continuous auction happening between buyers and sellers in the market.

Components of Times & Sales Data

Each entry in the T&S feed contains several key data components. The time stamp shows the exact moment the trade was executed. The price reflects the value at which the transaction occurred. The size indicates the number of shares, contracts, or units that were traded. Many T&S windows also include transaction indicators to reveal whether the trade was initiated by a buyer or seller.

Using Times & Sales for Trading

Traders utilize the T&S data feed to gain insight into live market dynamics for making tactical trading decisions. Some key applications include identifying potential support/resistance levels based on heavy volume clusters, spotting momentum shifts or reversal signals from changing order flow patterns, and executing trades by reading the back-and-forth auction between participants.

Times & Sales Order Flow Analysis

By closely studying the sequencing of T&S entries, traders can attempt to interpret the prevailing supply and demand dynamics order flow in the market at any given time. Analyzing the order flow allows gauging overall market sentiment – whether buyers or sellers are more aggressive. It also helps identify potential turning points when the order flow shifts direction.

Technical Analysis with Times & Sales

In addition to order flow strategies, the T&S data can be useful for technical chart analysis. Clusters of heavy volume highlighted on the T&S often correspond to potential support or resistance levels. Traders also watch for specific patterns in the order flow that may signal a bullish or bearish reversal forming based on established candlestick patterns.

Times & Sales Data Feeds

To access live T&S data, traders subscribe to specialized direct data feeds offered by brokers, exchanges, and third-party providers. These come in various formats like binary, alphanumeric, or data capture adapters. Having an optimized, low-latency feed is critical for effectively interpreting the order flow in real-time across different markets.

Visualizing Times & Sales

While the raw T&S feed can seem like an overwhelming flickering stream of numbers and letters, trading platforms employ techniques to enhance the visualization of the data. Common methods include color-coding entries based on whether they were buyer or seller-initiated trades. Some displays also highlight or animate high volume prints to make them stand out from regular order flow.

Alexander Voigt, CEO
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Alexander Voigt is the founder of DayTradingZ, was a regular contributor to Benzinga and has been featured and quoted on leading financial websites such as Investors.com, Capital.com, Business Insider and Forbes.