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Time & Sales

This module shows complete information about trades that were executed at specific price level and at specific time.


Summary panel shows Bid/Ask Price, Time, OHLC, Change, Range, T&S Range and Sparkline

Strength panel displays strength of bears and bulls. It is ratio between buy and sell trades and shows percentage of buyers vs. sellers.

Speed Panel shows average speed of trades in selected time window. It’s a small indicator of how fast are orders placed to market, this number is higher at more volatile and fast markets.


Time – timestamp. Each record is tied to the timestamp and all further information is for specific timestamp. There can be more trades at the same timestamp.

Bid & Ask – actual Bid & Ask prices at specific timestamp

Avg – Average amount of trades at that timestamp? Or avg amount of trades at the Last price?

Price – last price. It’s the price at which the last trade was executed at that timestamp.

Tick count –

Quantity – is total quantity (volume) of all executed trades at specific price & timestamp.

Type – Trade direction – buy or sell

Aggression – Above Ask, At Ask, At Bid, Below Bid

Aggregated Prints # - this shows how many individual prints or rows are aggregated into 1 row based on aggregation settings.  

Cumulative Delta – this column shows change


User can choose between real-time updating or to update grid every couple of seconds.

History can be limited as well and user can set limit to number of prints, but also limit history size by time.


Our Time & Sales module fully supports aggregation. Aggregation makes it easier to read the data as non-aggregated version is too fast and scrolls too fast for human eye to monitor it. Aggregation groups trades by certain criteria thus aggregates several prints into one. If we have 30 prints at the same last price, aggregation by the last price would group all these prints into one and aggregate information like trades and volume. This way we don’t see 30 rows of fast scrolling data, but only one so we can more accurately see what is happening on the specific last price level.


We have several methods of aggregation. Prints can be aggregated by Time, by Last Price, by Time & Last Price and also by Time & Last Price & Bid & Ask. This gives user much freedom to choose what he he wants to see.


Sometimes even aggregated prints move too fast. So even if we aggregate trades we may want to watch special level of quantity and only show those trades that pass our quantity filter. With filter we are able to filter – show only those trades that fall into 3 categories – below quantity, between quantity and above quantity. So if we want to see only big market moves where the most volume is moving the price we can set filter to only show those trades that have quantity above certain volume.

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