Time and sales explained with a sequence of prints

Time and sales is the list of every trade in one instrument, printed as each one happens. Traders also call it the tape. Each row is one print, which is a single completed trade between a buyer and a seller. This note walks through ten invented prints in the E-mini S&P 500 future, ES, and reads them one column at a time. The note on reading the DOM ladder row by row covered the resting orders these trades fill against.

What each column means

Most time and sales windows show four or five columns.

1. Time is when the exchange matched the trade, often to the millisecond.
2. Price is the price the trade filled at.
3. Size is the number of contracts that changed hands.
4. Side says whether the trade hit the bid or lifted the offer.
5. Some windows add the best bid and best offer at the moment of the trade.

The aggressor is the trader who sent the order that crossed the spread. A print at the offer means a buyer was the aggressor. A print at the bid means a seller was the aggressor. The platform reads this from the trade record, so it does not have to guess.

Ten prints from one ES minute

The book before the sequence has a best bid of 5,050.00 with 60 contracts and a best offer of 5,050.25 with 45 contracts. The next offer above sits at 5,050.50 with 80 contracts. All numbers are an example.

Most windows put the newest print at the top. This table runs oldest first so you can read it as a story.

How to read the sequence

Rows one and two are small trades on each side of a one-tick spread. A 3-lot buyer lifts the offer and a 2-lot seller hits the bid. Neither trade moves price.

Rows three to six share one timestamp, 10:02:12.440. Their sizes add up to 46 contracts. The first three fill 40 contracts at 5,050.25. The last row fills 6 contracts at 5,050.50, one tick higher. The offer at 5,050.25 started with 45 contracts. The 3-lot in row one took 3 of them, which left 42. The tape cannot show where the last 2 went, so their owners most likely cancelled them in the second before. The 46 contracts of buying cleared 5,050.25 and filled the last 6 at the next price up.

One market order that fills against several resting orders creates one row for each match. So the four rows at 10:02:12.440 may be one 46-lot order. They may also be two or more orders sent in the same millisecond. The tape alone cannot separate them.

Row seven is a 1-lot at 5,050.50. The offer at 5,050.25 is gone, so the best offer is now 5,050.50 with 73 of its 80 contracts left.

In rows eight and nine, sellers hit a bid at 5,050.25 for 35 contracts in one millisecond. That bid did not exist at the start of the sequence. A trader placed it after the offer at 5,050.25 cleared, one tick above the old best bid. Row ten adds 4 more contracts at the same bid.

Counting the minute

Add up the ten rows by side.

• Buyers lifted the offer for 50 contracts across rows one, three to six and seven.
• Sellers hit the bid for 41 contracts across rows two and eight to ten.
• Delta for the sequence is 50 minus 41, or plus 9.
• The best bid moved up one tick, from 5,050.00 to 5,050.25.

Delta is buyer volume minus seller volume. The note on cumulative delta explained with ten trades carries the same count across a session.

What time and sales leaves out

The window lists trades only. Suppose 200 contracts rested on the bid at 5,049.75 for the whole minute and then the trader cancelled them. The tape has no row for them, because they never traded. The DOM showed them and the tape did not.

The tape also cannot tell you who traded. A 46-lot across four rows may be one trader or four. A row at the bid does not tell you why the seller sold.

Some platforms combine rows that share a time, price and side into one row. With that setting on, rows three to five show as one 40-lot print. With it off, they show as 12, 18 and 10. Large-trade filters give different counts depending on that setting, so check it before you compare a filter across two platforms.

Where to find time and sales

Sierra Chart lists Time and Sales next to its Trade DOM. Quantower lists DOM Trader and Time & Sales in its free tier, with depth set by your data entitlement. NinjaTrader lists Time & Sales as built in. Jigsaw lists Depth & Sales and a Reconstructed Tape. The glossary defines the order flow terms used here.

A check you can run

Open time and sales during a busy minute and find a run of rows with the same timestamp. Add their sizes. Then look at the DOM and check whether that total matches the size that sat at the price before the run. If the run cleared the level, the next row should print one tick further on.