The Internet is full of information about the analysis of price charts and the most exotic technical indicators. Slightly less common is the analysis of trading volumes, due to the lack of such forex brokers actively popularizing exchange trading. It's not hard to find a good book on investing and fundamental analysis. But as for the use of the tape of transactions and the glass of stock, here the Russian-language resources are limited to explaining the terms "bid", "ask" and spread, on which the entire analysis of these tools, in fact, ends. There are good videos, but they mainly describe the situation in the US market, where ECN and "dark pools" make their own adjustments to the trading mechanics. This article is intended, at least a little, but to close this gap and talk about how and why these tools can be used on Russian market ordinary private investor.
Glass, ribbon, "offers" and "prints"
Exchange glass(level 2 on American market) is a list of limit orders on the market at the current moment. As a rule, sell orders are located at the top and are highlighted in red - they are also called " asci"(from English ask - demand). Buy orders are highlighted in green, located at the bottom and are called " bids"(from English bid - offer). Both those and others are also called " offers"(offers).
Sometimes "offers" are called only orders for the sale
The number next to the price indicates the number of lots (or contracts for derivatives market) that can be bought/sold at that price. If you want to buy, for example, 100 lots, then you can buy 15 lots at 74.84 and everything else at 74.85. If you sell, then the entire volume can be sold at 74.8. If these prices do not suit you, then you place a limit order at the price of interest, it appears in the order book, and you wait until there is a bidder who will fill it.
Cup depth
The glass is characterized by depth. Depth of the glass "20X20" means that the window will display orders at the 20 best sell prices and the best 20 buy prices. As a rule, most brokers provide exactly this depth of the order book. If you see less, just try connecting to a different server in QUIK. Depth greater than 20x20 can be obtained on an individual basis, as a rule, it is required in the futures market.
Alternate order book view, which can be changed in the settings
Deal Tape
Deal Tape (level 1 in the US market) in Russian reality, where as the main trading terminal, its positions are firmly held by QUIK terminal, it is called "The table of impersonal transactions". You can find it in the menu Create window -> Table of impersonal transactions. If it turns out to be empty, then you need to correct the settings in the menu “System -> Order data -> Stream of impersonal transactions”. If you meet an empty list there, you need to contact the broker with a request to turn on the flow of impersonal transactions. By default, it can be disabled to reduce the load on the user's Internet.
The trades feed displays all the trades that take place on the selected exchange instruments. For effective use one table is better to tune to one instrument. For clarity, it is convenient to highlight deals for buying and selling in different colors.
Each line in the tape is called a "print" and denotes a deal at a specific price. The number next to the price indicates the number of purchased/sold lots (or contracts on the futures market).
Thus, the glass of stock gives us information about limit orders in the market, and the tape gives us information about the volumes for which deals were made at various prices.
You can read more about how to set up the tape and glass in the QUIK instructions or find a video on the Internet. Let's now see what can be seen using these tools.
Spread, liquidity and trading activity
The liquidity of an exchange instrument is the ability to quickly buy or sell an asset at a price close to the market one. No problem to sell or buy 1 lot. Many promotions allow you to quickly make a deal with 1000 lots. But when you work with a volume of 10,000 things get a little more complicated.
The first thing you should pay attention to is the number of orders and their density in the order book. As a rule, for one instrument, the density of orders is approximately the same for the same market phase. Based on how densely placed orders are, how many of them and what is the average spread, you can quickly assess liquidity, the amount of slippage of a market or stop order, and how much volume you can quickly gain without “smearing” the position by prices. For example, you can open and put a glass of shares of Sberbank-ao and Sberbank-up side by side for comparison.
It is clearly seen that buying 5000 shares of ao and 5000 shares of an are completely different things. (For joint-stock companies there are 10 shares in one lot, for ap — 100). If in the first case you can simply buy at the market, or even place a limit order at 226.32 and be calm about its execution, then in the case of preferred shares the situation becomes more difficult. When buying from the market, you immediately lose 20 pips per spread, and in addition, the average purchase price will be even higher due to the low supply. If you put a limit order for 50 lots, there is no guarantee that it will be executed in full and you will not have to “catch up” with the growing price later.
You can also immediately assess the feasibility of setting an automatic stop loss. If in Sberbank-AO slippage can be limited to 15-20 points, then for Sberbank-ap it can promise much more significant losses.
For convenience, you can go to the DOM settings and check the "sparse DOM" box. Then the gaps between prices and the spread will be displayed more clearly.
An example of a sparse and regular glass of MMK shares
It is immediately worth noting the fact that the authors of those applications that are in the glass do not always want to execute them. Quite often, when active transactions appear on the market, some of the orders are removed. This is especially common in low-liquid stocks, such as RSTI, NLMK, RASP, etc., where scalpers “feed” due to large price gaps and trading robots actively rearranging their orders. It is possible to evaluate which orders were actually executed and which ones were simply withdrawn only by the tape of transactions.
Also on the tape you can evaluate the activity of trading. The number of "prints" per second and the volume of transactions will give an understanding of how actively the instrument is traded and how fast quotes can move. For medium-term trades, this nuance can be useful when entering and exiting a position, for example, when you need to assess the truth of a breakout or how strong the market reaction to the news is. In general, the following points should be taken into account:
The frequency of "prints", their volume and direction. A quick analysis of “offers” by large bids in one direction indicates a strong pressure on quotes from participants. The concept of "fast" is relative and is determined by observing a particular tool. You can also focus on the time scale in the tape if the frequency is low. During the day, trading activity is usually lower from 13:00 to 16:00 Moscow time.
Narrowing the spread with "offers". If the active analysis of "asks" is accompanied by a narrowing of the spread by "bids", which are rarely traded, this is a sign of the strength of buyers. Even better, if large bids begin to appear among the “bids”. If this happens at the moment of the breakdown of the level, we can consider this as another confirming signal of its truth. The same is true for downward movements.
During the release of important news, the activity is very high . It is characterized by a very high spread and frequent multidirectional transactions, especially on instruments with low liquidity. At such moments, it is very difficult to focus on the tape and glass in QUIK. You just need to understand that the market is volatile, the risk is high and adjust your trading accordingly.
Bidders
Before looking for more specific signals in the order book, it is worthwhile to figure out whose actions can be seen there. The market operates a large number of a wide variety of participants, which can be conditionally divided into the following categories:
High frequency robots ( HFT)
The speed of execution of transactions can be microseconds, so it is unlikely that you will be able to see them using a regular QUIK. However, their trades appear in the feed and may incur useful information. In fact, these are the same trading algorithms, but using a significant advantage in speed.
scalpers
Trades inside the spread— the scalper puts the best bid for buying, and then immediately puts the best ask for selling. With a well-chosen moment and a sufficient spread width, it is possible to make a quick deal with a small profit that pays off the commission.
Deals from a major "offer"- when a large order appears in the order book, it often cannot be satisfied immediately. The price runs away from it, driven by the closing of positions and the scalpers entering the transaction, hoping to capitalize on this rebound.
Deals on the "corrosion" of a large "offer" - when the flow of trades on the “offer” is strong enough, scalpers enter the trade in the hope that after the satisfaction of the “offer”, stop losses of those who entered the rebound will work and give a short-term impulse.
Market makers and trading algorithms
I do not mean those “terrible market makers” who “puppet the market” and who scare conspiracy theorists on the forums. The Market Making Institute was created to maintain liquidity in the market. These bidders hold the spread so it doesn't widen too much and also buy when everyone is selling and sell when everyone is buying. Their goal is to be the other side of the trade for you when there is not enough liquidity. Such activity is beneficial for the issuer and the exchange in order to maintain liquidity of not the most popular instruments. For the market maker himself, such trading is associated with certain risks, so market makers use special trading algorithms with two-way quotes, and the exchange provides preferential terms on commissions, allowing the market maker to recoup costs and earn profits.
As for any developer of a trading algorithm, it is important for a market maker that its essence remains inaccessible to a wide range of traders. However, some moments can be seen in the glass. In particular, you can pay attention to the same "offers".
In addition to market makers, there are a large number of others on the market. trading algorithms implementing various strategies. They can provoke false breakouts and other deceptive maneuvers at short time intervals, so you should be vigilant.
Private investors and professional traders
It is conditionally possible to call them "crowd". Bidders who act according to their strategies at various time intervals, who during strong movements can succumb to emotions and behave predictably (than more professional party, the less it manifests itself). They are the "fuel" that makes the price move. Their activity and preferences can be assessed by the frequency and volume of transactions, rearrangement of "bids" and "asks", expansion and narrowing of the spread.
Major players and investment funds.
The most interesting category of players. Having a large amount of money, such players can significantly shift the balance of supply and demand. The larger the sums operated by the player, the more significant and long-term impact their actions have on the market. The main task of using glass and tape is to determine the presence of such players, trying to understand their intentions and how well they are doing. This skill is also called tape reading.
Tape reading is a tricky process that requires either quality video footage with commentary or a knowledgeable person to point you in the right direction. And of course, lots of practice. However, there are a number of simple formations that can be observed without special training.
What to look at in a glass
Big "offers"
When reading the tape, it is important to keep track of large orders in the order book that are larger than the average. Depending on the trading instrument, different values can be considered large. Basically, for shares of the second tier, you can safely focus on values of more than 10,000 lots. For Sberbank, Gazprom and VTB, these are more than 40,000.
A major "offer" should be considered in the context of its appearance. It is worth paying attention to it in the following cases:
Large order stands at intraday highs/lows
After a good directional movement, players need to take profits. A large order can show a price where the bulk of the players are going to close the position, and a reversal is likely.
A large order appeared suddenly after a flat
Sometimes, against the background of low activity, a large “offer” appears close to the best prices. It is worth considering in the context of what movements it appeared and how the market reacted to its appearance.
A large order is at the level
A large bid at a level can serve two purposes - to get a position and show the intention to hold the level. Its presence suggests that the level can be held and it can be guided by when trading. When trading a rebound from such a level, you can significantly reduce the stop loss by placing it immediately after a large order. When trading breakouts, you can focus on the frequency of prints for the "offer" and its balance. On liquid instruments, it is sometimes permissible to open a breakout trade by placing an automatic stop order immediately after the "offer".
If nothing special is observed at the level, with a high degree of probability we can expect the level to “cut down”.
iceberg claims
Such an application has a visible and a hidden part. For example, at a price of 100.00 there are 200 lots to sell. This is the visible part. As soon as these 200 lots are bought out, the application is updated and so on until the entire volume is bought out. Thus, large “offers” are masked so that the price does not “run away” from them. Iceberg orders supported by the Moscow Exchange allow a minimum ratio of visible and hidden parts of 1:100. However, bidders may use their own algorithms to organize an iceberg order, the parameters for which may differ. They can be seen in the order book when a small “offer” has many “prints”, the total volume of which exceeds the “offer” by several times.
Buy-
hunt /
Sell-
hunt
Trading algorithms, an alternative to iceberg orders. The buy-hunt algorithm buys the entire offer at a certain price and below it. Similarly, sell-hunt sells all available bids above a certain price. These algorithms are written by the bidders themselves. Thus, a position can be gained or the desired level can be maintained.
Repeating "prints"
Especially large players, when they cannot make a deal on the OTC market, have to resort to various tricks to get a position in the order book, and at the same time not find themselves. One of these tricks is to run an algorithm that buys / sells a certain number of lots on the market at certain intervals. These can be the same volumes at regular intervals, or alternating (for example, 15,16 and 17 in turn) at random intervals (for example, within 5-15 seconds).
Flipping
Another algorithm for taking a position can be placing limit orders on one side of the market, so that this side of the market looks strong while a position is being taken from the other side of the market. This can be done, for example, with a large ask on top and an iceberg bid on the bottom. When the iceberg is filled, the large “ask” is removed from above and a large “bid” is placed from below. Those who initially got up in short position, start buying back their trades, pushing the price up.
Conclusion
Glass and tape are indispensable tools for intraday trading and swing trading. For medium and long term trading they are not as effective, but understanding what is happening in the order book will help you better assess the situation in the market and choose entry points with a better risk/reward ratio. There can be a huge number of options for the development of events in the glass. By observing and remembering the existing patterns, you can master the skill of using these tools at a level sufficient to improve the efficiency of your trading. And you can start by observing the examples presented in this article.
BCS Express
Trying to increase the efficiency of their trading, traders experiment with dozens of indicators, but neglect such an important and free tool as the tape. In the window time and Sales displays data on the order flow in real time - the price, execution time and size of each transaction conducted on a trading instrument. Depending on the trading platform The feed may contain other data as well, such as order type, execution route, etc.
For the day trader, the tape shows how the stock is trading at a particular moment in time, in a certain market situation, or near significant price levels. Using the tape is especially useful when trading breakouts and when working in the first hour after the market opens, when there are no established levels of the current trading session yet.
Tape reading is a special skill that can only be developed through practice. A trader needs to constantly watch the tape until he develops a "sixth sense" that allows him to instantly understand what is happening in the stock at the current moment.
How to use the Time and Sales window
The peculiarity of trading in the stock market is that there are only two objective parameters - price and volume. And both of them are reflected in the tape. Correct interpretation of this information significantly increases the chances of success. Main principle, which at the same time should be guided - to monitor the flow of money and follow it.This activity requires patience. You can't buy or sell a stock just because the order flow has accelerated. You must first identify support and resistance levels, make sure they are relevant, and compare the data in the Time and Sales window with a graphical formation. If a support or resistance level is being actively tested, it is best to wait for it to break, as this can often be just a trap to lure inexperienced traders into before taking the stock in the opposite direction.
Each stock has its own behavior and requires a special approach when trading. Therefore, before entering a trade, it is recommended to watch the tape for a while to understand what is happening.
What to pay attention to
Order size
It speaks of the confidence of buyers and sellers. To safely enter a position, it is desirable that transactions of 300-400 shares take place in the tape, but there is no single criterion here, since liquidity in different shares differs significantly.Order passing speed
This is another important piece of information that can be obtained by reading the tape. Usually, when a significant level of support and resistance is broken, not only the size of executed orders increases, but also the frequency of their passage. This indicates an increase in interest in this stock at a particular level.Nature of orders
Execution at the bid or ask price matters a lot. If the stock is a buy candidate, most of the trades in the feed should be at the ask price. For sale, it's the other way around.What Stocks Does Tape Work Best For?
A day trader needs volatile stocks where they can enter a trade with an acceptable risk to reward ratio, counting on fast and strong price movement. So you need to look for high speed tape stocks. It is necessary to distinguish between high trading volume and very high volume. It is better for a day trader not to work with stocks with an average daily volume of 10 million or more. A novice trader will not be able to read such a tape.Conclusion
The ability to read the tape will help the day trader reduce the number of bad trades, as it will allow you to more accurately choose the moment of entry and exit. Tape reading can only be mastered through constant practice.9.2. Ribbon
| 9. Principles of working with exchange information |
| 9.1. Orders |
| 9.2. Ribbon |
| 9.3. Cup |
| 9.4. Volumes (horizontal and vertical) |
| 9.5. The principle of interpretation of volume and ROI |
| 9.6. Market Profile |
| 9.7. Deltas and Cumulative Deltas |
| 9.8. cluster analysis |
| 9.9. Analysis of CME stock reports |
| 9.10. Analysis of COT reports |
| 9.11. Market Sentiment Analysis |
Short. What is a tape? The tape is essentially a log (log, protocol) of all transactions on the exchange for the specified instrument. What used to be called tape is now called Time & Sales (T&S).
Tape readers have a major advantage over technical analysts when other indicators diverge in their signals. For example, the failure of a breakout to attract a flood of buyers will be seen on the tape much sooner than it would be seen on the intraday or daily charts. As a result, you will be able to make a decision before the charts show a sell signal.
Externally, the tape is a vertical window in the terminal, in which the time, price and volume of the transaction are displayed from top to bottom, and with the help of color, you can understand how the transaction was completed.
To read the tape means to study the fluctuations of an asset as soon as they appear on the market, to be able to assess their strengths and weaknesses, and also to be able to choose the psychologically right moment to buy or sell. It is also necessary to learn how to identify inactive, fading markets. Tape reading is related to psychology because it involves thinking that is shaped by what we see, hear, smell, taste, touch, and so on. When reading a tape, we are influenced not only by what we see, but also by what we feel or sense. The latter is not always possible to give an exhaustive explanation, since it affects the area of intuition.
The tape captures the prevailing trends. It reflects the collective opinion and is a kind of pendulum of fears and hopes of stock speculators, businessmen, and the public. The tape serves as a real barometer if you know how to read it correctly. But therein lies the rub. The tape tells the truth, if interpreted correctly.
Reading a tape requires a lot of willpower and the ability to maintain a certain point of view: after learning from the tape about the trends in the market, you form an opinion that should not change until the information on the tape changes. False news, rumors, gossip should not have any effect on you.
29.10.2014
Greetings, friends.
Alexander Shevelev is in touch.
I have repeatedly received letters from readers asking for more details about what the feed is and how it can be customized in trading terminal Quick. Let's get started.
Most likely, you have repeatedly heard about the phrase "deal tape". But what is it?
If to speak plain language, then the tape is detailed information on transactions, which shows how many contracts were bought/sold (volume), at what price, when they were bought/sold (time), which order was initiating, i.e. who sent the order from the market, the buyer or the seller (direction).
Various types of volume (vertical volume, horizontal, clusters), which I constantly analyze in my reviews, are built precisely on the basis of the tape. With the help of a special software the data is processed, and all digital values become visual (bars, graphs, clusters).
In fact, in Volfix we see the same transactions as in the feed, but these transactions are presented to us in different sections, we begin to see not just numbers, but already structured information. Those. now the standard ribbon has been replaced by new visualization methods, and now different types volumes allow us to look at the market from a completely different angle.
Despite the fact that the tape is considered to be the main tool of “old school” traders, in my opinion, understanding how trades go, where large trades appear, what kind of market reaction can be traced after these large trades, how breakdowns occur, etc. , allows you to better feel the market and respond faster to changes that occur during the day.
Let's figure out how to set up the feed in the QUIK trading terminal.
First, we create a table of all transactions. To do this, in the menu, select the item "Create a window", then "Table of impersonal transactions".
In the window that appears, select the required class of instruments (for example, "FORTS: Futures"), turn on the filter and add the instrument that we want to analyze (for example, futures on RTS index), add the parameters of transactions that we want to track during trading (as a rule, I use 4 parameters: time, price, quantity, operation).
By the way, this is what I have displayed in the filter valuable papers(the nearest futures contract for the RTS Index).
After we have done all this, click "Yes". This table appears.
Now you can sort trades by time, i.e. make it so that the latest transactions are displayed at the top or bottom of the table. Do it the way you feel most comfortable. Personally, I set up the feed so that the latest trades are at the bottom.
To do this, right-click on any part of the "time" column and select "Sort by [Time]". If the arrow is pointing down, then the latest trades will be displayed at the bottom of the table.
Now the most interesting. We can set up filtering deals by volume, i.e. make it so that only large transactions are displayed in the feed, because it is large transactions that have the strongest effect on price changes.
To do this, move the mouse to the heading of the column "Quantity" and click on the funnel icon that appears.
In the window that appears, specify the condition "greater than or equal to" and write, for example, 100.
Now, in the trades feed, only those trades are displayed, the volume of which exceeds the value of 100 contracts.
Already better, but in order to make it easier to navigate the operations, you can make a color setting for purchases and sales, i.e. make it so that all buy transactions (when the buyer submits a market order to buy, agreeing to the price specified by the seller) are tinted green, and all sell transactions (when the seller submits a market order to sell, agreeing to the price specified by the seller) buyer) were tinted red.
To do this, move the mouse to the heading of the "Operation" column and select the icon with letters.
In the window that appears, write 2 conditions.
In condition No. 1, we indicate “equal to”, write “Purchase” and, by clicking on the “Format” button, select the green color.
In condition No. 2, we indicate “equal to”, write “Sale” and, by clicking on the “Format” button, select the red color.
Also, in two conditions, you can check the boxes “apply to the entire row”, thereby the corresponding color will be painted not only in one cell of the “Operation” column, but in the entire row.
Here is the result.
More obvious, isn't it?
This is how you can customize the ribbon.
Tape analysis is one of the most available ways supply and demand analysis. Of course, the trade tape is more useful for scalpers who make a lot of trades within a day, but, in my opinion, understanding the logic of how orders work is also important for medium-term or swing traders who make trades holding positions for several days.
Personally, I very often, before opening a position near an important support / resistance level, I wait for the appearance of large transactions in my direction. This is a good sign, symbolizing that I have chosen the right level for opening a position. If I see that no deals are opening in my direction, I prefer to stay on the sidelines and wait for the situation to be clarified.
Those. you can learn to work with order flow up close important levels support/resistance. Very often the movement begins after the game comes into play. big players. Of course, ideally, you need to follow not only the tape of transactions, but also the glass itself, the orders that are placed there.
That's all there is to it. I hope that the material was useful.
Good luck with your trading and good mood.
Sincerely, Alexander Shevelev.
In order to begin to understand and read tape prints, a trader must understand basic principles functioning of the exchange, regardless of its type. In ordinary language, the exchange is a kind of auction, where there is a sufficient number of confident buyers, for this reason, the price of goods increases rapidly if certain time a mood for sale has been created, then the goods are offered at a significantly lower cost.
The print is perfect trading operation or order at any time. The print feed itself contains the basic data of transactions: the sign of the asset put up for sale, its price at the time of the transaction, the volume of the transaction, fluctuations in the value of the asset, bid and ask, minimum and maximum indicators.
Those traders who were able to learn how to work with this information will be able to further distinguish patterns that form in the market. They, in turn, can tell the speculator the number of contracts that will be put up for sale at a high cost or purchased at the very minimum in the future.
Forex market participants working with prints can learn to read how the price will act at this moment in the decision of the seller or buyer. Moreover, a lot important point is that the speculator will now be able to observe the operations of the most influential market participants who are gaining positions due to insignificant lot sizes.
It is the prints that allow the speculator to see what cannot be seen on the price chart. Therefore, a novice player must learn to read prints, as this will help to significantly increase income and stabilize profits in general. And this is understandable, since the executed orders include the necessary and important information for trading.
An example of work on prints
In order to make it clear what the use of prints in trading is, let's look at an example. The stock or futures indicates 1,700 ASK shares, which are worth $25.25.
- One of the trends occurs at exactly 1,700 shares at the previously specified price, after which the price becomes $25.29. As a result, there are 2,100 shares on ASK.
- Second print at $25.29 for 2,100 shares. The cost jumps up to $33. As a result, there are already 1300 shares.
- Third print, ends with 1,300 shares.
Previously, three prints were painted, the ongoing purchase of assets in the amount indicated and offered shows the speculator that at this time the players of the active group are working for the acquisition. That is, there is a set of volume for the next increase.
The same speculator watches the chart and observes that there are fluctuations in the price by a small amount. Therefore, work with prints for participants financial market it is an indispensable tool that cannot be replaced by any other. Moreover, prints will be involved in trading until the moment when there are powerful players on the market, who are set to get an impressive amount of profit.
Trading with prints
The tape in front of the trader will reflect all the used TS, methods, graphic figures, various tools, especially indicators.
Print ribbons are used by traders with a long history of work in the market, so they were able to gain confidence among professionals, and proved that this is really an opportunity to stabilize their earnings.
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