Mastering Day Trading with Time & Sales Data

The intraday price history of a stock, or its time and sales history, is a useful tool for day traders looking to make small, rapid profits. Scalp trading has become increasingly difficult in recent years because of new, prevalent forms of hidden orders that often cause unexpected and rapid price movements, because of this, scalpers need all of the help they can get. Time and sales information is useful because it shows areas of support and resistance in various price levels of a stock during the day. Once hidden orders are filled, they too appear on this order print sheet.

Intraday Price Levels are Transient

The time and sales history of a stock is only one tool of many that a trader should utilize while trading. The nature of technical analysis is such that any one individual tool on its own is of little value. In order to accurately guess the direction, amount and duration of a trade, a trader has to weigh the relevance of many technical factors at the same time. For example, even though the time and sales history of a stock reveals intraday support and resistance levels, these levels are often transient. Even if a particular level exhibits high trading volume and has not been broken yet on that day, it is very possible that it will be. This is particularly true with highly liquid stocks where seemingly large order fills are broken through with ease during periods of active trading.

The Creation of Charts with Time and Sales Information

Time and sales information is reflected in the technical charts and is simply another way of viewing the most recent price data of a stock. The size and amount of order executions within a given minute (viewed in the time and sales history window) determines the direction, size, and type of candlestick (or bar) formed on the technical chart for that minute. Thus, technical charts are the finished product of all of the price fills within a given time frame, in graph form. If a trader uses charts that have time frames greater than one minute, the price and sales data can be useful in providing awareness of shorter-term information that may not be fully reflected in the charts until some time later.

Determining Support/Resistance Levels by Watching Orders Get Filled

There is a synergy between the open book and print prices that facilitates seamless trading. The open book shows the bid and ask prices in order of best price of orders that have not yet been filled. When there are large orders on either side, watching how fast these orders are being printed can sometimes give the scalp trader a notion of whether or not a specific level will hold. For example, if there are sizeable orders on the bid side that are acting as a temporary price ceiling, but these orders are being filled rapidly, there is a good chance that resistance level wont hold. A breakthrough of this resistance level could be a trader’s stop-loss when shorting the stock.