How to Read Time and Sales in NinjaTrader 8

Key takeaways

• In NinjaTrader 8, the Time & Sales window opens from the Control Center through the New menu, item T & S, and its settings are under right-click, Properties.
• Each line is a trade: time, price and size, with optional markers for new session highs and lows and for trades larger than a block size you choose.
• Colours show where a trade printed relative to the bid and ask: above the ask, at the ask, in between, at the bid or below the bid.
• A size filter hides small trades and an aggregation setting bundles prints, which makes the tape readable but also removes detail.
• The tape shows executed trades only: one order can appear as several prints, and nothing on it reveals intent.

Time and Sales in NinjaTrader 8: the short answer

Time and Sales, often called the tape, is the running list of trades in one instrument: when each trade happened, at what price and for how many contracts. In NinjaTrader 8 it is a separate window. According to the NinjaTrader Help Guide, you open it from the Control Center by clicking the New menu and choosing T & S, and you change its display through the right-click menu, under Properties. The same right-click menu lets you pick the instrument; typing a symbol while the window is selected also opens the instrument selector.

Reading time and sales in NinjaTrader is less about any single line than about sequences: which side keeps trading, how fast, in what size and at which prices. The tape is the ground truth of order flow, the record of what actually traded, while a depth of market shows what is still waiting to trade.

The columns of the Time & Sales window

The grid is built from a handful of columns, each of which can be shown or hidden in the Properties dialog. Above the grid, the window can also display the current Level 1 bid, ask and last price, depending on the Price settings.

• Time: the time stamp of the trade. Its format is configurable, and the help guide lists format symbols down to milliseconds, which helps when many trades arrive within the same second.
• Price: the price at which the trade executed.
• Size: the number of contracts in the trade; the column is labelled Volume in the Properties dialog.
• Daily High/Low: an H when the trade printed at or above the current session high, an L when it printed at or below the session low.
• Block: a B when the trade size is greater than the block alert trade size you set.

Reading the colours: who crossed the spread

The colours carry the second layer of information. In the Properties dialog, NinjaTrader 8 lets you set separate colours for trades above the ask, at the ask, between the bid and the ask, at the bid and below the bid. Trades at or above the ask are those where a buyer crossed the spread; trades at or below the bid are those where a seller did. Prints between the two usually come from a spread wider than one tick at that moment, or from a quote that changed in the same instant as the trade.

Above-ask and below-bid prints deserve attention. They mean an aggressive order was large enough, or fast enough, to trade through the best price, typically a sweep of several levels in one burst. A run of such prints shows that liquidity at the inside was thinner than the incoming orders. Keep in mind that the colour depends on the bid and ask the platform knew when the trade arrived; when quotes move quickly, the classification can lag or misfire.

Filtering for size: block alerts, size filter and aggregation

A liquid futures contract can print a very large number of trades in a busy minute, most of them small. Three settings in the Properties dialog make the stream easier to read, each with a cost in detail.

• Size filter: the minimum trade size displayed; trades below it are filtered out of the window.
• Block alert trade size: trades larger than this size get the B marker, and the block alert sound setting can play a sound file when one prints.
• Aggregation (seconds): bundles all volume at the same price and in the same position relative to the bid and ask into one line over the chosen number of seconds, time stamped with the first tick; zero means no aggregation.
• Maximum items to display and Freeze on hover: how many rows the window keeps, and whether it stops scrolling while your mouse is over it.

Choose thresholds relative to the contract, not as universal numbers. A trade that is unusual on an E-mini may be routine on a less liquid contract, and a micro contract is a fraction of its E-mini, so the same economic size shows up as many more contracts. One way to calibrate is to watch a quiet session and a busy one, then set the block size so that only a few prints per minute qualify. Filtering hides information: a wall of small aggressive orders can matter as much as one big print.

How to read the prints

With the window set up, read the tape for a few recurring patterns rather than for individual numbers. Each pattern describes what traded; none of them says what trades next.

• Pace: the speed at which lines scroll. A sudden acceleration shows that participation jumped, often at a level or around a release.
• Persistence: a long run of prints on the same side at the same price. If price does not move during it, passive orders are taking the other side, the pattern described in the guide to absorption in order flow.
• Sweeps: several prints at successive prices with the same time stamp, often above the ask or below the bid. That is usually one aggressive order consuming several levels of the book.
• Size clusters: block-marked prints arriving together on one side. Note where they print relative to your levels and what price does next.
• Fading: aggression that slows and shrinks as price extends, which can precede a pause or a turn, with no certainty either way.

Read the tape with the ladder beside it. Volume trading at a price while the displayed size there keeps returning is one of the traces discussed in how to read the DOM, and a price that holds while the tape keeps printing on one side says more than either window alone.

Pitfalls when reading the tape

The tape looks like raw truth, but what reaches your screen has been through the exchange feed, your data provider and the platform’s settings.

• One order, many prints: an aggressive order that fills against several resting orders can be reported as several trades, so a large order may look like a burst of small ones.
• Settings change the picture: with different filters and aggregation, two traders watch two different tapes of the same market.
• Latency: in a fast market, what you see is a fraction of a second behind the exchange.
• Snapshot data: the help guide notes that selecting an instrument outside market hours shows snapshot data from the provider, so the first prices can come from the previous close.
• Tunnel vision: the tape shows one contract. Related markets, such as the E-mini and its micro, or index futures and their ETFs, trade at the same time and can move first.
• No intent: a big print can be a hedge, a roll or a closing order; the tape gives size and side, not motive.

Time and Sales in TEVO DOM and large trades on the chart

TEVO DOM, the free Level 2 window for NinjaTrader 8 published on this site, includes its own Time & Sales panel: each trade with its time, price and quantity, coloured by side, with larger trades highlighted above an adjustable size. Because it sits next to the price ladder and its BID Δ and ASK Δ columns, you can compare prints with orders added or pulled at the same price without switching windows. Its tape starts when the window opens; there is no history.

To see large trades on a chart rather than in a list, TEVO Big Trades plots them as bubbles at their price and time. Its Aggregated mode joins consecutive fills on the same side with the same time stamp, which partly rebuilds orders that the feed split into several prints, without being able to rebuild everything.

Put it into practice

• TEVO DOMTEVO DOM, a free Level 2 depth of market for NinjaTrader 8: price ladder, depth, size changes, Time & Sales and confirmed order entry in its own window.
• TEVO Big TradesTEVO Big Trades, a free NinjaTrader 8 indicator: large executed trades as bubbles sized by volume, at the bid or at the ask, at their price and time.

Frequently asked questions

Sources

1. Time & Sales (NinjaTrader 8) — NinjaTrader Help Guide
2. Using the Time & Sales Window (NinjaTrader 8) — NinjaTrader Help Guide
3. Time and Sales Properties (NinjaTrader 8) — NinjaTrader Help Guide

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