TERMINAL / GUIDE
DOM & time and sales
The current depth ladder and the executions that update the tape.
05 / 14DOM & time and sales
Interactive interface · ArcDelta dataOpening the workspace…
Start here
- 01Select a listed pair and venue.
- 02Select venues and price-row size.
- 03Compare bid, ask and traded quantity in the same units.
Inputs
ArcDelta L2 books and trades from the selected venues.
General limitations
Read the source timestamp and venue coverage. No data is different from zero; stale observations must not be read as current.
- Calculation
- Available bid and ask quantities are grouped by price. Spread is best ask minus best bid. Book imbalance compares summed bid and ask quantities inside the displayed band.
Spread = best ask − best bid; I = (Bid size − Ask size) / (Bid size + Ask size) - Reading & controls
- Read sizes with the venue and band width. Change row aggregation rather than comparing differently sized bands.
- Limitations
- A depth imbalance is a snapshot of resting orders. It is different from aggressive trade imbalance.
- Calculation
- Rows show actual trade time, price, base quantity and venue; colour follows aggressor side.
- Reading & controls
- Enable Large only to filter by the large-print rule. Cross-check tape events with the same venue's chart.
- Limitations
- The visible tape is bounded and is not an exhaustive historical export.