T&S in ES

[wildfiction]

I have 2 T&S windows. 1 has a filter of size 100 or greater and the other 500 or greater. They are showing different 'colors' for the same trades. Look at the big trades in the small windows and compare to the same in the longer windows.

[ACM]

wildfiction
FWIW at my end they are showing the same color. Using 7.9.1 (build 738)
I checked also all the other prints and they appear to be matching
Alex

[wildfiction]

Thanks Alexis,

I'm using the same build as you.

This probably only happens in realtime then and not when the data is loaded post-event.

[ACM]

wildfiction
That could be. Anyhow I have kept those two T&S windows running and so far the colors are matching.
Alex

[wildfiction]

Problem seems to be when we hit new high of day so if ES hits new HOD today then come back and look - thanks for your help Alexis - much appreciated.

(Probably also applies to new LOD but this is the first time that I've seen this anomaly.)

[ACM]

wildfiction
That seems to be exactly what happens. I just ran today's ES H6 in Tick Replay on the two T&S windows and the New High color did override the Trade At Bid color
Alex

[wildfiction]

Alexis - seems to override in one window and not the other right? Which one is correct?

I've just seen it happen in real-time again as we hit new HOD in ES.

[ACM]

wildfiction
It could override in both if the specific print is a New High for each T&S window.
In my interpretation they are both correct since in real time a print could be marked as New High in one T&S window [due to the filter] yet still be a Trade At Bid and be marked as a Trade At Bid on the other T&S window because the New High occurred on a prior print at the same price. On a data reload however they would be both marked as Trade At Bid given that the T&S window is aware of what the current daily High is. The same would apply for a New Low/Trade At Ask.
Alex

[wildfiction]

I was under the impression that a new low/high color overrode the trade at bid/ask color - a sort of implied color - you can't really get a new high without the trade being at the asking price can you?

Are you saying that size filtered out on the T&S will cause it to see any new print at a new HOD to be colored in this way? It's not dependent on the size of the first tick at new HOD? I was under the impression that if say 1 contract traded at new HOD and then 505 contracts straight after it that the 500 contract filtere T&S would not color it as a "first trade at high of day" trade becaues it was not...

[ACM]

wildfiction
The New High/Low highlight will display if that print is at the new High or Low of the day or in the case of a filtered window, if it is the first print at a price that equals the current High or Low of the day. Note that the highlight will only occur in real-time (ie it will not display on historical data.)
If you look at the enclosed image taken this morning you will see that in the unfiltered T&S window a New Low was made on a trade for 1 contract at 1257.25. After that 248 contracts were traded at the same price and that print is highlighted as a New Low in the filtered T&S window because even though it is not the absolute first trade at that price it matches the current Low of the day.
This particular example is slightly different from yesterday's in as much as the 248 contracts were traded at the Bid but [as I understand it] it would have been marked as a New Low in the filtered T&S window even if they had been at the Ask. In other words the New High/Low highlight for that window takes precedence over the Trade At Bid/Ask color when running in real time
An enhancement to the T&S window could be to have the option to color the text as Trade At Bid/Ask yet still maintain the highlight of New High/Low which would provide a more detailed picture
Alex

[wildfiction]

Many thanks for taking the time to explain this Alexis - I didn't realize that is how it worked - this will certainly help me in the future.

[ACM]

wildfiction
You are most welcome
Alex