1
A reported transaction with time, price, and size.
Lesson · Volume and Order Flow
Time and Sales
Read the transaction stream by price, size, side classification, pace, and price response.
Core concepts
What to understand
Keep the interpretation direct: participation, aggressive side, and actual price progress.
2
Aggressor classification
Trades near the ask are commonly classified as buyer-initiated; trades near the bid as seller-initiated.
3
Pace and response
The speed and size of prints must be compared with resulting price movement.
Interactive lab
Change the market conditions
Use the controls and read the “What the market is doing” explanation after each change.
Time and Sales Lab
Synthetic educational data · no live market connection
MARKET DATA
Reading process
Follow the reading steps
Do not jump from one number to a trade. Describe the evidence first.
Observe side
Are trades repeatedly occurring at the ask or bid?
Observe pace
Is the tape accelerating or slowing?
Observe response
Does price move with the aggressive flow or fail to progress?
Knowledge check
Check your interpretation
Select one answer for each question. Feedback appears immediately.
1. Many trades execute at the ask and price rises. What is happening?
Buyers are accepting offers and successfully moving price higher.
2. Many trades execute at the ask but price does not rise. This suggests:
Passive sellers may be replenishing enough liquidity to stop upward progress.
3. Why read pace together with price response?
Control requires both aggression and price progress.
4. Ten prints: six at the ask totalling 1,800 shares, four at the bid totalling 1,500. What does that tell you?
1,800 − 1,500 = 300 more ask-classified than bid-classified. That is an estimate of which side crossed the spread; only price shows whether it worked.
Practical rules
- Read sequences, not isolated prints.
- Classification depends on quote data and method.
- Aggression without progress can indicate absorption.
Common mistakes
- Treating every large print as a directional bet.
- Ignoring hidden or replenishing liquidity.
- Assuming trade color is exchange-provided truth.
References
Official reading
The lab is simplified; these sources provide the underlying market and execution definitions.
CME Group · Market Makers vs. Market Takers
Official overview of liquidity providers and traders seeking immediacy.
CME Group · What is Volume?
Official overview of how futures volume is counted and interpreted.