Time and Sales

[maggo123]

Hallo,
I have two questions regarding Time and Sales.

1. When I place an order for let's say 8 contracts, and this order with all 8 contract gets executed at the same time, I should see at this exact time, a quantity of 8 contracts in the Time and Sales window, correct?

2. How accurate is this for Market Replay?

Best regards,

[NinjaTrader_Erick]

Hello maggo123 ,

Thank you for reaching out.

Yes, if you place an order for 8 contracts and all 8 contracts are executed at the same time and at the same price, you should see a quantity of 8 contracts appear in the Time and Sales window for that exact moment.

Here’s how it works:

1. Time and Sales Window: This window shows the details of every trade that happens, including the time, price, and quantity (volume) of contracts traded.
2. When Your Order is Executed: If all 8 contracts are filled in a single trade (at the same time and price), then the Time and Sales window will show an entry reflecting the execution of 8 contracts at that specific moment.
3. Partial Fills: However, if the 8 contracts are filled in smaller parts (for example, 5 contracts in one transaction and 3 contracts a moment later), then you’ll see multiple entries in the Time and Sales window, each reflecting the partial fill.

So, if it’s a single trade execution of 8 contracts, the Time and Sales will display exactly that at the corresponding time.


In Market Replay mode on NinjaTrader 8, the accuracy of the Time and Sales data (such as showing an exact quantity of 8 contracts at the time of execution) is generally reliable but can have some limitations. Here's why: 1. Accuracy of Data in Market Replay:

• Market Replay uses historical tick data recorded from live markets. If NinjaTrader has captured all ticks accurately during live trading, then the Time and Sales window during a replay should closely reflect what happened in real-time trading, including the timing and quantity of trades.
• However, the replay data may not be 100% identical to live market conditions due to potential data gaps or differences in how executions occur in a live market vs. simulated environments.

2. Order Matching in Market Replay:

• In live markets, orders are matched based on the current market liquidity, and fills can happen in multiple parts or against different counter-parties.
• In Market Replay, while the fills mimic live behavior, the system is still simulating the execution based on historical price movement and volume. Therefore, fills may not behave exactly the same way as in real-time trading. For example, your 8 contracts might be simulated as being filled together in Market Replay, while in live trading, they could be filled partially.

3. Latency and Timing:

• Market Replay operates on historical data, so it might not experience the same latency issues that can exist in a live market (such as delays in order routing or price feed updates).
• However, the exact timing of fills shown in Time and Sales could have slight discrepancies compared to a live market, especially if partial fills or slippage would have occurred in the real market but are not perfectly replicated in Market Replay.

4. Volume and Liquidity Differences:

• While Market Replay tries to replicate the live market environment, liquidity conditions, and order book depth can behave differently. For example, if you place a large order in Market Replay, it might be filled all at once, whereas in a live market, the same order could be broken into several smaller fills due to varying liquidity conditions.

Conclusion:


In general, Market Replay is quite accurate for studying market behavior, including Time and Sales data. However, there can be slight discrepancies in how orders are filled compared to a live trading environment due to the limitations of historical data simulation, especially in terms of partial fills, liquidity, and execution timing.

Please let us know if we may be of further assistance.

[maggo123]

Thank you Erick for the quick reply and clearing that up for me.
I have one additional question about the Time and Sales window.

The data from Time and Sales window in Ninjatrader is based on the exchange and independent of the broker someone uses? In the case of NQ futures this would be CME? And the Time and Sales Window would show the the same data for all Ninjatrader users, independent of the broker they use?

[NinjaTrader_Erick]

Hello maggo123,

Thanks for your post.

Yes, the data in the Time and Sales window within NinjaTrader is based on the exchange data feed, such as the CME (Chicago Mercantile Exchange) for NQ (Nasdaq futures), and it is independent of the broker a trader uses. Here's a breakdown: 1. Time and Sales Data Origin

• The Time and Sales window displays real-time market data (such as price, volume, and the time of each trade) directly from the exchange. In the case of NQ futures, this data comes from the CME.
• This data is not altered by your broker. All data is sourced from the exchange, which ensures consistency.

2. Consistency Across NinjaTrader Users

• Since the Time and Sales window displays data provided by the exchange (e.g., CME for NQ futures), it would show the same data for all NinjaTrader users who have subscribed to that market data feed, regardless of the broker they are connected to.
• As long as users are connected to the exchange with live data, the information (trade price, volume, and time) in the Time and Sales window should be identical across all NinjaTrader users who are viewing the same instrument (e.g., NQ futures).

3. Broker Independence

• The Time and Sales window does not rely on the broker's server for its data. It is purely based on the data feed from the exchange (such as CME for NQ). Therefore, no matter which broker you are using, if you have a valid data feed subscription, the data displayed in the Time and Sales window will remain the same.

In summary, the Time and Sales data is exchange-based (e.g., CME for NQ futures) and does not depend on your broker. All NinjaTrader users with the same data subscription will see the same data in the Time and Sales window.

Let me know if you need any more details! I look forward to assisting you further.