What the trade tape shows
Volume printed at your price and your resting order got nothing. Or a single order you sent appeared in your history as seven separate lines, at five different prices, with two different fee treatments.
The tape — the stream of completed trades, also called time and sales — is a different object from the book, records a different kind of fact, and is routinely read as though it were a summary of activity by participants. It is not. It is a list of matches, and a match is a pairing of two orders, which makes almost every intuitive reading of it slightly wrong.
What a print is
A print is one match: some quantity of one resting order paired with some quantity of one incoming order, at the resting order’s price.
That is the whole content, and it has consequences. A print does not correspond to an order — one order crossing several levels produces one print per pairing. It does not correspond to a participant, because the counterparties are not published. And its price is the price of the order that was already there, not of the one that arrived, which is why an aggressive limit order can appear in the tape at prices better than its own limit.
The fields are usually price, quantity, a timestamp, an identifier, and on many venues a flag for which side was the aggressor.
The aggressor side
The aggressor — sometimes the taker side, or the initiator — is the incoming order that crossed. The flag tells you which side of the book was consumed: a buy aggressor consumed an ask, a sell aggressor consumed a bid.
Two things this is genuinely useful for, both descriptive. It tells you which side of the spread the trade happened on, which is the reference you need to measure execution cost honestly. And it identifies which party paid the taker fee, since that is decided by what the order did on arrival.
One thing it is not useful for: inferring what anyone thinks. A buy aggressor means an order crossed upward at that instant. It does not identify who wanted what, why, or what they will do next, and this site attaches no predictive interpretation to any pattern in the flag. Sequences of aggressor flags are frequently presented as meaningful; that reading is outside what microstructure supports and outside what this site does.
Where no flag is published, the side is sometimes inferred by comparing the print price to the prevailing quotes. That inference is an estimate, it fails when quotes and prints arrive out of order, and it is not the same kind of fact as a published flag.
Volume and the double-counting problem
Every trade has two sides. Volume conventionally counts the quantity once, not twice — but whether a particular figure follows that convention is a question, not an assumption, and figures that count both sides are twice as large for no interesting reason.
Aggregation. A single order producing seven prints may be reported as seven records or as one summary record with an average price. Both are correct descriptions of the same matching; they produce different counts of trades and identical counts of quantity.
Scope. A figure covering one instrument on one venue is a different measurement from one covering an instrument across venues, and from one covering both spot and derivative forms of the same reference. Prices differ between venues and so do the quantities traded at them.
So comparing volume figures from different sources is comparing definitions rather than markets, and the definitions are usually not stated alongside the number.
What the tape cannot tell you
Whether your order should have filled. Volume at your price means quantity reached someone at that price. Whether it reached your position in the queue is a separate question the tape does not answer.
How much depth there was. Prints tell you what traded, not what was available. Quantity that was resting and then cancelled leaves no trace at all, and hidden quantity appears in the tape without ever having appeared in the book.
Who the participants were. Two prints of the same size a second apart may be one participant or two; nothing published distinguishes them. And anything about the future — the tape records completed events, and its predictive content is not something this site will comment on.
The mechanism
THE MECHANISM — reading a print
· One match
→ one print, at the RESTING order's
price. Not at the incoming
order's price.
· One order crossing several levels
→ several prints, several prices.
The order's "price" is a derived
average.
· Aggressor flag
→ identifies which side was
consumed, and which side paid the
taker fee.
· Volume printing at your price
→ NO EVIDENCE about your own order.
Quantity reached someone, not
necessarily you.
· Cancelled resting quantity
→ never appears. The tape has no
record of liquidity that was
withdrawn.
· Hidden quantity that trades
→ appears in the tape having never
appeared in the book.
· Aggregation, self-trade reporting,
volume conventions and whether an
aggressor flag exists
→ VENUE-SPECIFIC. Trade counts and
volume figures are not comparable
across sources.Worked example
Illustrative figures, synthetic throughout. Suppose the ask side rests as 40,004 for 1.2 units and 40,010 for 2.5, and the 1.2 at 40,004 is made up of three separate orders of 0.5, 0.5 and 0.2.
You send a market buy for 2.0 units.
The engine matches your order against each resting order in turn. The tape records: 0.5 at 40,004, 0.5 at 40,004, 0.2 at 40,004, then 0.8 at 40,010. Four prints, from one order, at two prices. Your average is about 40,006.4, a number that appears nowhere in the tape.
Your own history may show four fills or one aggregated line. Your fee is charged per fill on most venues, so four small charges rather than one, and all four are on the taker side because your order crossed.
Now suppose someone else was resting a buy order at 40,004 while all this happened. The tape shows 1.2 units traded at 40,004 — their exact price — and they received none of it, because the quantity that traded there was on the ask side and they were bidding. Volume at a price says nothing about which side of it you were on.
Third variation: suppose the 0.2 order at 40,004 was the displayed peak of a larger iceberg. Then your 2.0 might fill entirely at 40,004 across five or six prints, and the tape shows more quantity at 40,004 than the book ever displayed. Reconstructing depth from that tape is wrong in an unbounded direction.
Time, sequence, and which one to trust
Timestamps look authoritative and are the weaker of the two orderings available. A print carries a time assigned by some component — the engine, a publisher, or your own receiving system — and different components disagree. Multiple prints can share a timestamp at the granularity published, which makes their relative order unrecoverable from it.
Where a venue publishes a sequence number, that is the ordering the engine actually applied, and the only one that reflects what the engine did. Timestamps are for measuring elapsed time; sequence numbers are for establishing order. Using a timestamp for the second job produces conclusions about causality the data does not support.
The failure mode
The tape’s characteristic trap is that it is complete about matches and silent about everything else, while looking like a complete record of activity.
It bites in one specific, common way: someone concludes from prints at their price that their order was skipped, when the mechanism was simply that the quantity was on the other side, or reached a different position in the queue, or came from hidden size that was never theirs to be reached by. There is no error in any of those, no venue misbehaviour, and nothing in the tape that would distinguish them.
The tape tells you what traded. It does not tell you what was possible, what was available, who was involved, or what happens next — and every one of those is something people read out of it.