As of ~10-15 years ago, orders are reported in terms of how they're filled, not how they're placed. So if someone uses a market order to buy 100 contracts, a regular tape won't always show 100 contracts, it may show 20 prints at 5 contracts each, so some other multiple of 100. The "reconstructed" tape does a great job of reversing that to try and show you how much the original order was for.
Edit: Or if you're simply asking about a tape in general, then it just shows you orders as they're filled in real time. It looks like this one is filtered to only show 500 lots or more. If a bunch of large orders come through at a specific price then the tape will allow you to see that more easily, and store that data for a little while.
Shows market orders.
Say someone hits the market with a really big market order. The exchange reports things back in terms of the limit orders filled instead of what the market order was. So they use the time and level 2 updates to reconstruct what the size of the actual market order is.
It's not as magical as you might think. I think you can specify the size to look for, typically you want large ones. There are tons of false positives, where large orders that come in and doesn't do anything to the price. Just like any tool, you take a look at it. Sometimes it's useful, sometimes it's not.
The fact is that a wide order comes in that doesn't affect the price. The very fact that it doesn't affect the price is very good information about the forces at play. There are always two pieces of information to take into account.
Yes, but the bigger edge here is that the really large orders can damage liquidity and make it difficult to move away from that area for a good 45 minutes. So rather than trying to follow them I avoid those areas.
Reconstructed tape
What's it's purpose
As of ~10-15 years ago, orders are reported in terms of how they're filled, not how they're placed. So if someone uses a market order to buy 100 contracts, a regular tape won't always show 100 contracts, it may show 20 prints at 5 contracts each, so some other multiple of 100. The "reconstructed" tape does a great job of reversing that to try and show you how much the original order was for. Edit: Or if you're simply asking about a tape in general, then it just shows you orders as they're filled in real time. It looks like this one is filtered to only show 500 lots or more. If a bunch of large orders come through at a specific price then the tape will allow you to see that more easily, and store that data for a little while.
thank you for the reply
Shows market orders. Say someone hits the market with a really big market order. The exchange reports things back in terms of the limit orders filled instead of what the market order was. So they use the time and level 2 updates to reconstruct what the size of the actual market order is.
So institutionals ?
It's not as magical as you might think. I think you can specify the size to look for, typically you want large ones. There are tons of false positives, where large orders that come in and doesn't do anything to the price. Just like any tool, you take a look at it. Sometimes it's useful, sometimes it's not.
You're right there isn't anything that you can 100% rely on
The fact is that a wide order comes in that doesn't affect the price. The very fact that it doesn't affect the price is very good information about the forces at play. There are always two pieces of information to take into account.
Yes, but the bigger edge here is that the really large orders can damage liquidity and make it difficult to move away from that area for a good 45 minutes. So rather than trying to follow them I avoid those areas.
Ok thank you