A Question Concerning ES Time and Sales

[horace 10]

I have recently switched the T & S window back on after a long period [years] without it.

 

The thing that I have noticed is that the trades tend to scroll through in blocks, of trades at ASK and then the block will switch to trades at BID.

 

Seldom [almost never] do I see the BID and ASK trades scrambled up together.

I am using a filter set to 20 contracts for convenience.

 

Can anyone explain this to me please.

[david22 10]

this thread is worth reading + video link:

 

Is It Bots Or The Exchange Engine - PriceActionRoom's library

 

http://www.traderslaboratory.com/forums/market-profile/9646-order-flow-advice.html

 

Plus your 20+ lot filter may be capturing limit orders and not market orders

according to the above thread/video.

[BigAl_LBL 10]

If has been years since you looked there are at least two reasons why it is looking different:

The exchange made a change so that instead of reporting the quantities added to the book they report on the fills e.g. if you place 100 @limit bid and the order is filled in 50 lots of 2 contracts you will see 50 prints instead of the 1.

Automated splitting of orders is now far more prevalent so someone wanting to buy 1000 contracts may split into random sizes from 1 upwards and so a lot of those will print at at the same time.

[BigAl_LBL 10]

Ignore me, watch the video suggested by david 22 it has additional useful information in it