Real time options time and sales data export
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The Time and Sales window lists in a table the Trades and Quotes received option time and sales the data feed. Trades refers to actual trades made for the symbol.
Quotes refers to Bid and Ask data. Quotes can be optionally displayed based on the Option time and sales Bid and Ask Records setting. Time and Sales data is another name for a trade by trade history which includes the date and time of the trade and the volume of the trade. There are various filtering, record combining, highlighting, coloring, and column configuration options available.
Option time and sales Settings menu on the Time and Option time and sales window allows you to change various settings. Each of them is documented below. This column displays the time of the Trade or Quote in the format HH: The milliseconds portion acts as a counter when trades occur within the same second. The second trade to occur in the same second will have a milliseconds value of and this value is incremented for additional trades within the same second, up to a maximum of This column displays the trade price in the case of a Bid Trade or Ask Trade record type.
In the case of a Bid Ask record type, the trade Price is the price of the last trade received and does not indicate a new trade. This column displays the quantity of shares or contracts of the trade in the case of a Bid Trade or Ask Trade record type. In the case of a Bid Ask record type, the Volume is the volume of the last trade received and does not indicate a new trade. This indicates the number of trades per displayed Time and Sales record.
This Time and Sales record type indicates that there has been a change with the Bid, Ask, Bid Size, or Ask Size received from the data feed or during a chart replay.
These market data values are called Quote data. The Price option time and sales Volume fields for the record are for the last trade received and they do not indicate a new trade. This record type indicates a new trade that occurred at the Bid price or lower. Or was considered to be a Bid Trade based upon other logic. For details, refer to Option time and sales Bars Definitions. This record type indicates a new trade that occurred at the Ask price or higher. Or was considered to be a Ask Trade based upon other logic.
It is Sierra Chart which determines whether a trade is at the Bid or Ask with some exceptions. In these cases, it is the exchange which indicates whether a trade option time and sales at the Bid or Ask. All trades need to happen option time and sales the Bid or Ask when trades are executed on an exchange. Therefore, the concept of a trade between the Bid or Ask or trade above or below the Bid or Ask prices is due to a lack of Bid and Ask updates.
This column displays the Bid price at the time of the trade or at the time of the Bid and Ask update. This column displays the Bid Size at the time of the trade or at the time of the Bid and Ask update.
This is the quantity of shares or contracts at the best Bid price, waiting to be filled. This value is provided by the Data or Trading service Sierra Chart is connected to. This column displays the Ask price at the time of the option time and sales or at the option time and sales of the Bid and Ask update.
This column displays the Ask Size at the time of the trade or at the time of the Bid and Ask update. This is the quantity of shares or contracts at the best Ask price, waiting to be filled.
To open multiple Time and Sales windows for the same symbol, what you will need to do is open multiple charts for the same symbol. If you do not need the additional charts other than for the purpose of viewing Time and Sales windows for them, then simply Minimize them.
This can be done by clicking on the standard Windows Minimize button at the top right option time and sales each chart window. If the charts are minimized or hidden, it is recommended that you reduce the Days to Load setting for them since you will not be using them other than for the purpose of Time and Sales.
Reduce the Days to Load setting to 1. Each chart has its own associated Time and Sales window. When the Chartbook is opened, the Time option time and sales Sales windows previously set will have the same settings as previously. The Time and Sales window settings are contained within the chart that it is associated with. When you duplicate the chart, then the Time and Sales window for the duplicated chart will have the same settings as the Time and Sales window for the original chart.
The new chart will use the same Time and Sales settings from the chart that you duplicated. A Time and Sales window is a child of a chart it was open for and option time and sales always associated with that chart.
When switching to a different Chartbook, the Time and Sales windows associated with charts in a previously visible Chartbook will be hidden. This will also keep the chart visible across Chartbooks. This Time and Sales window will always be on top relative to it. It is fully supported to replay time and sales data during a chart replay. Time and Sales data is nothing more than trade by trade data which is stored option time and sales Sierra Chart in the Intraday chart data file for the symbol when Sierra Chart is set to use a tick by tick data storage configuration.
The Trades listed in the Time and Sales window during real-time chart updating, represent the actual trades received in real-time from the connected data feed. The prices and volumes are accurate and complete, assuming the data feed is providing accurate and complete data. During a replay, the Trades listed in the Time and Sales window are derived from the historical Intraday data.
If the historical Intraday data is not stored tick by tick 1 trade per data recordthere will be 3 Trades listed in the Time and Sales window per historical data record.
One for the data record High, Low, and Last. The volume for each of these records is one third of the total volume of the historical data record. If the historical Intraday data is stored tick by tick, then there will be one Trade per data record listed in the Time and Sales window during the replay. The price and volume of the trade will be accurate and all Trades will be listed. Follow the instructions on the Tick by Tick Data Configuration page to configure Sierra Chart for a tick by tick data configuration.
Even with a tick by tick data configuration, the historical data may option time and sales all be tick by tick if the particular Data or Trading service you are using does not provide historical 1 tick data. When comparing trades listed in the Time and Sales window option time and sales a chart to the chart option time and sales values, the volume of the chart bars and to the price level volume in Numbers Bars, then be aware that the following settings can and will cause differences with these types of comparisons:.
You can add any of the available Time and Sales studies available. They are as follows:. For information on how to use this data in an Advanced Option time and sales Study function, refer to the sc.
It is also supported to access the individual trades within each chart bar by using the sc. The most reliable way to view long-term Time and Sales data is to use the underlying trade by trade tick by tick data in the Intraday chart data file. Follow these instructions to do this.
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