Trading Blocks
Time And Sales block
Time And Sales block
The Time And Sales block is a trading block that provides information for individual trades. Whenever a trade occurs for the specified instrument, the Time And Sales block outputs a discrete event message containing information regarding the last trade (trade price or quantity). The discrete event message can be sent to another discrete block, such as the MsgInfo Extractor block, to extract trade data.
Example The Time and Sales block receives an update from the Instrument block each time a transaction occurs and sends the time & sales information to a MsgInfo Extractor block to extract the price and quantity of the last trade.
The Time And Sales block provides the following trade data:
- instrument
- tradeQuantity
- tradePrice
- tradeIsHit
- tradeIsTake
- tradeIsUnknown
- tradeIsOTC
- tradeIsImplied
- tradeIsLeg
- trade
- transaction time (year, month, day, hour, minute, second, milliseconds)
Differences between Time And Sales block values and Field block values
The Time And Sales block and the Field block both allow you to access last-traded-price (LTP) and last-traded-quantity (LTQ) values; however, the values from these two block can differ due to how the blocks propagate changes in market data.
- Field blocks represent periodic snapshots of the market. For instruments with very active trading, a Field block might occasionally miss an LTP or LTQ that occurs between consecutive snapshots. For many trading purposes, market data snapshots are sufficient.
- Conversely, the Time And Sales block exposes every change in LTP or LTQ. Every time a trade occurs, the block fires a discrete event message containing the information regarding the trade, including the trade price and trade quantity.
Example Differences between Field blocks and Time And Sales blocks
Note When developing an algo, you must start an algo to see time and sales data.
Blocks that can use time and sales data
The following blocks can extract and use the information generated from a Time And Sales block:
- Branch block
- Discrete Max block
- Discrete Min block
- Discrete Order block
- MsgInfo Extractor block
- Moving Average block
- State block
- Value Accumulator block
- Value Bucket block
- Value Extractor block
Note Certain logic propagated from a Time And Sales block discrete message could behave differently when running an algo in live and simulation modes, due to coalescing differences in the two environments.
Block properties
To customize the block, update the Block Properties.
| Property | Description |
|---|---|
| Name | Name to display beneath the block on the ADL canvas |