1.) Who initiated the transaction → Bid and Ask Info
Currently, Tickstream only shows a transaction’s volume @ price and color codes whether the price moved up or down or continued from last price.
However, and this is key, it does not show whether a transaction was a buyer hitting the ask or a seller hitting the bid.
This is particularly important if an aggressive seller (for example) is hitting the bid below current price, which can not be deduced currently or whether aggressive sellers (for example) are sweeping the price lower.
Therefore instead of color coding by price, color codes should be by transaction direction (market buyer hitting ask or market seller hitting bid)
2.) Transaction below/above current price
Tickstream should flag transactions when they happen below the current price or above the current price (again indicating aggressive selling or buying or whale activity)
3.) Block orders and Ice bergs
Tick stream should flag block orders and iceberg orders
I second this request - particularly the market sweep feature.
It’s extremely useful information to know if there is a participant in the market who is actively “sweeping” the order book - aka lifting/hitting multiple prices at once with a single market order. This is extreme aggression.
For example, if there’s 20 lots NQ at each price in the order book, and someone lifts 100 lots with a single market order, then they will have to “sweep” 4 prices on the ask side in addition to the current best offer. On the tick stream, the 4 prices which were swept should highlight in a color different from the normal green. The first price would be green since it was the current best offer, and the next 4 would be a different color.
NinjaTrader currently has this feature that I know of, and I’m sure more platforms do as well. @BWeis
You can manually get something close to this by subscribing to the tick stream, building a order book type structure. Take the traded price/ match it against your order book and you can see if it traded on the bid or the ask.
The issue seems to be that either the tick stream is returning incorrect volume of bids/asks; even taking into consideration the timestamps or the traded volume is incorrect. Either way you’ll end up with a order book that doesn’t have the correct number of contracts in there.
Yes. This is specially really misleading if I filter it. let’s say I filter for 25+ and it shows 40 contract hit the bid and coloured at red. But this can be lifting the offer if I had not filtered it and it is indeed green originally. So the colouring is the other way round. This gives me misleading information and make this current filtered tick stream a useless tool.