Delta, speed, Time & Sales and feed quality
Read execution direction, distinguish the book from trades and understand retained data.
Direction and delta
Buy means a classified aggressive buy lifting the ask; Sell means a classified aggressive sell hitting the bid. Unknown direction remains neutral. Delta is buy volume minus sell volume. Unknown prints contribute to total volume but not to delta.
Rolling versus cumulative
Rolling delta uses the selected time window. Captured cumulative delta begins at monitoring or reset, not necessarily the session open. Absolute delta threshold can trigger on either sign. Fast tape uses prints per second based on execution timestamps: it counts prints, not contracts. One 100-contract execution and one 1-contract execution each count as one print.
Tape controls
Time & Sales lists matching captured executions; Price & Sales groups by tick price with buy, sell, unknown, total and delta. Choose the retained sample or a 5, 15 or 60 second display window, minimum size and side filter. Pause freezes the tape display only; audio monitoring continues. The time view displays up to the latest 100 matching prints, not unlimited history.
MBO and MBP
The feed label reflects delivered coverage. MBO means individual order-book information; MBP means aggregated price-level depth. Execution data alone is not MBO. A paused or stale MBO book should not be read as current depth. Historical and simulated sources remain identified separately. Missing history stays missing.
Inside market and possible absorption
Bid/ask size alerts describe displayed liquidity. Quote changes are not executions. Possible absorption is an estimate from directional volume, fresh quotes and price concentration in Pit mode; it is not confirmation of a hidden order or an iceberg. Use the chart and actual executions to inspect the context.
Still need a hand?
Get in touch with the EdgeX team.