Time and Sales – Session XI – The Pit Futures Trading

#timeandsales #orderflow #daytrading

Time and Sales (The Tape)

Tape reading is the oldest form of analysis and can even be read about in Reminiscences of a Stock Operator. One Hundred years later computers have made tape reading an elegant and essentially easy process. Truth be told I don’t read the tape. I have set Sierra Chart to identify the specific conditions I would look for and alert me when those conditions happen. The Sierra Chart software will color certain conditions for a visual alert and sound an audible alarm for a different set of conditions. Different volume filters are used for the ES and NQ, and I will include my specific volume filter settings at the end of this section.

Here is what I am looking for on the Tape based on my settings for the ES and NQ:
– Blue on The Tape
– Yellow on The Tape
– Highlighted Deep Green
– Highlighted Deep Red
– Red / Green

Blue on the Tape

Blue on the tape indicates aggressive Selling.
In this example you have heavy selling, red orders, and then a large wash of blue. This indicates a large Buyer covering. Technically they are selling below the current Bid. So, they are taking everything at the current Bid and whatever necessary below to get out.

Understanding Blue on the Tape

It is not necessary to see the exact size of Trades going through the tape. What is necessary is to understand what is happening at a high level. The way my tape is setup lets me know what is happening without really having to pay attention.
– If I am long and I see blue and red on the tape I can infer long positions are aggressively exiting, therefore I should probably consider exiting as well.
– If I am short and I see blue and red on the tape I can infer longs are aggressively getting out and my position is probably good.
As mentioned before, I never have to pay attention to the tape. I see it out of the corner of my eye or hear it. This allows me to pay attention to my execution charts.

Yellow on the Tape

It is not necessary to see the exact size of Trades going through the tape. What is necessary is to understand what is happening at a high level. The way my tape is setup lets me know what is happening without really having to pay attention.
– If I am long and the tape is screaming green and yellow then I can infer short positions are aggressively covering and I am likely in a good position.
– If I am short and I see yellow and green on the tape then I can infer shorts are aggressively covering and I should probably consider covering my position as well.

As mentioned before, I never have to pay attention to the tape. I see it out of the corner of my eye or hear it. This allows me to pay attention to my execution charts.

Highlighted Deep Green

On the Time and Sales, you have the option to highlight orders greater than or equal to whatever you prefer. I prefer anything 100 lots or greater on the ES and 20 lots or greater on the NQ. In this example you can see someone took 127 off the Ask.

Highlighted Deep Red

The exact opposite of the above example, deep red highlight indicates a large order taken off the Bid. Here in this example you can see 27 taken off the Bid.

Red and Green

Pretty simple. Buying and Selling. I filter mine to be 5 or greater on the ES and 2 or greater on the NQ. Anything lower is too much noise.