The time & sales: the tape of executions

The time & sales (T&S), also called the “tape”, is the chronological list of every transaction: the time to the millisecond, the price, the quantity, and the side (executed at the bid or at the ask). If the order book shows intentions, the time & sales shows the facts. Nothing on it can be cancelled: every line is a contract that actually changed hands.

Old floor traders read the tape for hours. Today, most of the tape's information is summarized by other tools (footprint, bubbles, delta). But knowing how to read it is still essential, because it reveals two things that charts smooth out: the size of executions and their pace.