ECN in Time and Sales window


Time and Sales window, so-called Tape, shows useful for daytraders information, containing the most detailed information of concluded transaction on the market (for the given stocks). Traders, including above all those using algous to trade, use information from TAS. Firstly, you should totaly understand what is TAS windowsa and get know about ECN’s (Electronic Communication Network) that show on tape.

Time and Sales window

At first glance, it would seem that below presented TAS window shows:

  1. Time of transaction

  2. Price at which the transaction was concluded

  3. Size of the position in the given transaction

There are also different letters: T, N, P, A, K, W, C, Y, Z, D. From these data daytraders, who peculiarly use “adding liquidity”, should read the most information.


On the above example we can see in columns: time, price, number of shares, letter that represents on which ECN transaction was concluded. Novice traders on US market may have problems, and even get lost in the number of different kind of orders and their determination in TAS window. The best way is to explain, what the given letter means – and on which ECN it is necessary to place the order to exactly from the given entrance the order was carried out (to simplify I will call the ECN time).

ECN on Time and Sales Window

Next in TAS windows we can see:

  1. T/Q – filling carried out by ECN Nasdaq

  2. N – filling carried out by placing the order on Specialist (Nyse); there is a possibility of filling the order by routing ECN: Cuttone, Archipelago PO +, EDGX RDOT

  3. P – filling carried out by ECN Archipelago

  4. Y – filling carried out by ECN Bats Y – BYX

  5. Z – filling carried out by ECN Bats – BZX

  6. K – filling carried out by ECN EDGX

  7. J – filling carried out by ECN EDGA

  8. A – filling carried out by ECN ISE (on Amex)

  9. D – filling carried out on dark pools. Amongst possible ECN it is possible to distinguish: Nyfix Millenium, CSD, Posit, Liquidnet, Pipeline, Pulse, Sigma X, Knight, ISE (mpm), Level ATS, E Trade.

  10. C – filling carried out by ECN NSX

  11. W – filling carried out by ECN CBOE

  12. B – filling carried out by ECN Nasdaq BOSX

  13. X – filling carried out by ECN PSX

  14. M – filling carried out by ECN CHX

Some more information about ECN

On the tape, there are often also visible orders which go at D from sub Q or N (DQ or DN). Very often in fillings is a mass of orders on the given entrance, to which unfortunately the trader isn’t able to join. These fills are coming directly from brokers. An individual player isn’t able to place his order on them. According to the description this is NASD and TRF Volume (The TRF Volume rows show volume submitted by brokers to NASD regulated Trade Reporting Facilities).

As you probably have noticed, there are quite many possibilities of fillings and individual ECNs. Why so important is the appropriate choice of ECN to the entry or exit of the position: above all it is about rate of filling the order (on different ECNs this time can be considerably different), and the price which must be paid for filling / to receive repayment of credit for “adding liquidity”.

Quick explanation:

  • Adding liquidity – adding liquidity to the market – occurs when you place order to buy or sell with the limit. You wait for filling up, in return you receive credit from the given ECN (rebates)

How adding liquidity looks like you can check in video below:

  • Removing liquidity – removing liquidity from the market – occurs when you want to carry out the order automatically – so you place the market order. ECN in such case shall charge you with the credit cost (rebates)

How removing liquidity looks like you can check in video below:

Proper familiarizing with ECNs in the given platform is a key task for each day trading trader. Many investment strategies – among others credit trading or scalping – largely requires from the trader to become more familiar with Electronic Communication Networks in order as soon as possible to open or close the position.

Historical ECN data from Time and Sales window

Some brokers offer historical data from Time and Sales Windows. But most not. In this case you can use this website for this kind of data:

After reading this article you should check this one: Tape reading – how to read tape in day trading.

I hope this information help you to understand what each information mean on Time and Sales windows. But if you have any more question – just write them in comments below.


Leave A Reply