Some questions about Time&Sales, DOM and tick data on the chart

[Nickitozz92]

Hello folks!

Starting to develop my own trading apps and I have faced with interesting questions!

1) How to store streaming market data (DOM, Time&Sales) when:
a) The data are displayed in the UI on the graph and at the same time are analyzed in real time.
b) The data are used for testing algorithms and trading strategies

2) How Time & Sales is formed.
Does it represent itself an original "Full Order Log" or sorted "Full Order Log"?
As far as I know, Depth of Market (DOM) represents itself as a sorted "Full Order Log".
Does the similar principle work for the Time&Sales (Tape) calculation?

3) In a classic trading terminal the last candlestick on the chart is usually floating and changes within one second. This last candle also depends on the best BID/ASK. Need to understand based on what price (BID or ASK) the last candlestick fluctuates.

4) In some trading terminals such data as Time&Sales and DOM are aggregated into larger time frames (e.g. msec. -> sec. -> min etc.). What is the formula which is used for aggregation?

Will appreciate your assistance!

Thanks,
Nick

 

[Likhazar]

Hi Nick,

1. I don't know if I understand you correctly but if you want to store/export this data you have to find trading platform which allows to do this. I know MT5 allows to export up 100 000 tick data from T&S.
2. DOM represents all orders in the market - it aggregate all orders for each price level. T&S shows exact trades and gives info of time, volume and if it was bid or ask market trade.
3. Wrong - candle changes within each trade. Most candlestick charts are based on BIDs.
4. DOM cannot be aggregated into larger time frame it is representing whole orders for this particular moment.
As I know T&S can be aggregated the same way as candlesticks.

Hope you will find my answers useful.
Cheers,
Bart