Hello,
I currently have my Time&Sales set to filter trades >=5. In addition I have set an alert to indicate when there are trades >95. What I've noticed is that large trades are occurring at trade sizes <5. See attached chart.
Since monitoring the T&S stream is impossible when allowing all trade sizes to show...Would it be possible to run the alert filter on all trades while only streaming and showing filtered trades >X?
Thanks!
You'll want to use the TimeAndSales RTX Indicator for this... see below
You'll be able to highlight and set alerts on the larger trades (at multiple levels if you wish).
https://www.linnsoft.com/techind/timeandsales-rtx
Thanks for the quick reply Chad. That's the problem though - I have it set up just like you show, but if I filter for trades >10 these large trades composed of small orders get missed. I uploaded two charts. The only thing changed between them is for the first I filtered trades > 10 lots. You'll notice that the 176 lot trade is NOT highlighted. In the second chart I filtered for trades > 1 lot...Here that trade gets highlighted. (I put the white rectangle around that trade to highlight it).
Can you expand on what you mean by "large trades composed of small orders"? Consolidated Tape?
I think those large trades not getting flagged are composed of individual orders of a larger trade that the filter is capturing. When I turn off the filter, those trades are highlighted. Turn on the filter for > 5, or 10...the highlights disappear.
Eg. If I executed a 100 lot trade and it got broken into 10 lots x 10 times...the filter doesn't interfere with the alert and it gets highlighted.
If I break the order into 1 lot x 100 times...the filter causes it to be missed.
Still not clear on what you're referring to by "larger trades". What is creating these larger trades? Do you have Consolidated Tape turned on? How about Smart Compression? What feed are you using? Also, please share the chart definition where you're seeing the issue so I can import and match your setup.
Yeah - apologies if I'm not clear enough! I'm on IQ feed, consolidated on, Smart Compression off.
here it is: https://www.linnsoft.com/charts/es2redark-es
I think something related to the OA Volume painting is getting in the way of the Buy Size / Sell Size painting. Turn off those first 2 OA Volume Painting options and see if things start working like you expect. I will look into this further on my end.
OK - will do after things slow down a bit.
Hi Chad - so with the first two filters turned off, the 176 lot did indeed get highlighted. So it would appear there is a conflict between the alerts - which in some strange way ties into the Size filter....?
Hi Chad - I'm still seeing this issue. Did you discover anything on your end? Thanks!