How to Read Time and Sales: 8 Steps, and When the Tape Runs Fastest

Michael Whitman · Trading since 2017, full-time since 2020 · YouTube creator, 137K subscribers · Published 2026-09-08 · Updated 2026-10-28 · Reviewed 2026-10-28

To read time and sales, set a minimum trade size, then watch whether trades print at the bid or the ask and how fast they arrive, judged against the clock. In SPY the last half hour of the day traded more than four times the shares of the 12:30 p.m. half hour on a typical day from August to October 2026.

Time and sales is the list of completed transactions: price, size and time, one line per trade. Every other display either shows intentions, like the order book, or summarizes trades into bars, like a chart. This one shows each trade on its own line.

Before you start

A filter for minimum trade size, because the unfiltered feed is unreadable. On an active stock or fund the lines arrive faster than anybody can read them, and fastest of all near the open and the close.

An understanding that the aggressor side is inferred, not reported. A trade at the ask is read as a buyer taking liquidity, and that reading is a convention rather than something the feed tells you.

A decision about what you are watching for, since the feed does not pause. Large prints, activity at a specific level, or the rate of trading. One thing.

The steps

1. Set a size filter first

Pick a floor that hides most of the lines. Small prints crowd the window, and the ones that matter to a short-term decision are rarely the smallest.

2. Watch where trades print relative to the quote

Trades at the ask suggest buyers crossing the spread; at the bid, sellers doing the same. Trades between the quotes are commonly midpoint or price-improved fills, often away from the exchanges, and say little about which side started the trade.

3. Note the large prints

A single trade many times the typical size happened, and it cannot be withdrawn. That is a different category of information from a large order resting on the book.

4. Watch the rate, not just the prices

A sudden acceleration in prints is an event even before you know its direction. Quiet stretches and bursts are the feed’s most legible signal.

5. Compare the pace with the same half hour on other days

The session has a shape. A burst at 3:45 p.m. is normal; the same burst at 12:45 p.m. is not, so judge speed against that time of day rather than against the last few minutes.

6. Compare it against the book

A large bid on the order book that never shows up in the trade record was never hit. The tape is where you find out whether the book’s promises were kept.

7. Take entries and stops from the chart, not the feed

The feed has no levels and, on most platforms, only a short scrolling history. Entries and stops come from the chart; the tape informs how and when you execute them.

8. Check whether your feed is consolidated

Some feeds show one exchange. US stocks trade on many venues, so a quiet single-venue tape can mean a quiet venue rather than a quiet stock.

How to tell it worked

A size filter is set, and the window scrolls slowly enough to read each line at midday.

You can state the 1 thing you are watching for, rather than watching generally.

You know the normal pace for the half hour you are trading in, from at least 20 days of the same 30 minutes, so a burst is measured against the right baseline.

0 entries came from the tape alone, without a structural level.

And the feed’s coverage was checked once, so you know whether it is one venue or many.

When the tape is fast and when it is slow

Most of a day’s trading clusters at the two ends of the session. In the five-minute data further down, SPY’s first and last half hours together held a median 36.75% of the day’s volume, two half hours out of thirteen. An even spread would put 7.69% in each.

The close is busier than the open in the fund, and the open is busier in the single stock. SPY’s last half hour outdid its first on 33 of 38 days. Apple’s did so on only 9 of 38, with 18.91% of the day typically traded by 10 a.m.

The slowest stretch is early afternoon. For all three symbols the quietest half hour was 1:30 to 2:00 p.m. ET, at a median of 3.58% of the day for SPY, 4.10% for Apple and 4.82% for Ford.

Which changes what a burst means. Lines racing past at 3:50 p.m. are the normal state of the tape. The same speed at 1:40 p.m. is the unusual thing, and it is the one worth looking up from the chart for.

A worked example

Take SPY on Tuesday 27 October 2026. Yahoo’s five-minute bars add up to 23,590,962 shares for the session, 82.39% of the 28,631,660 Nasdaq reports for the day.

From 9:30 to 10:00 a.m., 4,098,405 shares traded, or 17.37% of the bars’ total. Divide by 30 minutes and the pace is about 136,614 shares a minute.

From 12:30 to 1:00 p.m., 910,819 shares traded, 3.86% of the day, about 30,361 shares a minute.

From 3:30 to 4:00 p.m., 5,709,054 shares traded, 24.20% of the day, about 190,302 a minute. That is 6.27 times the lunchtime pace, and the opening half hour ran at 4.50 times it.

Now put a single 5,000-share print against each pace. At lunch it is 16.47% of an average minute’s trading, a line that stands out. At the open it is 3.66%, and in the last half hour 2.63%, one line among many. Same trade, same size, very different weight.

Why the aggressor side is an inference

The feed reports price, size and time. It does not report who initiated. The convention is to infer it from whether the trade printed at the bid or the ask.

It is weakest when the spread is wide or the quote is stale. A trade printing between the quotes, or at a price the quote has already moved past, cannot be classified with any confidence.

The tape against the book

The book is intent; the tape is execution. An order on the book can be canceled at no cost. A trade on the tape has already happened and cannot be undone.

Which makes the tape the more trustworthy of the two, and the less predictive. It tells you what has occurred, with certainty, and nothing about what comes next.

Reading them together is the actual technique. Size resting on the book and then appearing in the trade record is a participant following through. Size resting and then vanishing without appearing in the record is a participant who never intended to.

What a size filter should be set to

Start from the instrument’s typical trade size, not from a round number. A hundred-share floor is meaningless on something that trades in thousands and removes everything on something that trades in tens.

A useful floor removes the large majority of prints and leaves a readable stream. If lines are still scrolling faster than you can read them, the filter is too low.

Expect the right floor to change through the day. With the close running at roughly six times the lunchtime pace in the example above, a floor that leaves a readable stream at 12:45 can leave a blur at 3:45.

Raise it for the first and last half hours, or accept that you will read less of the window then.

Then check what you filtered out. Sometimes the small prints carry the information: an iceberg order refilling shows as a run of identical modest trades at one price, and a high filter hides exactly that.

The original data

Across 38 SPY sessions from 5 August to 27 October 2026, the last half hour held a median 19.68% of each day’s volume and 12:30 to 1:00 p.m. held 4.36%. That is from Yahoo Finance five-minute bars, adding each session’s 78 bars into 13 half hours and taking the median share across days. Apple (38 sessions) and Ford (57) were measured the same way.

The last half hour outdid 12:30 on every one of the 38 SPY days, all 38 Apple days and all 57 Ford days. That part of the pattern held on every session in the sample, not only on average. The full session-level file, with every half hour, is published here.

Some days were left out, and why matters if you use free minute data. Yahoo’s bars sometimes report a zero-volume bar followed by a bar carrying the whole running total for the day.

Any session with a zero-volume bar was dropped: 21 of 59 for SPY, 21 for Apple and 2 for Ford. The one-minute bars were worse: on every SPY and Apple session from 29 September to 27 October they added up to more than Nasdaq’s daily volume, so they were not used.

The second-source check covers daily totals, not the half-hour split. Yahoo’s daily volume matched Nasdaq’s within 0.01% on 58 of 59 days for each symbol; the exception was 27 October, the newest day, off by 0.351% for SPY.

The bars do not hold every share. The five-minute bars add up to a median 84.57% of Nasdaq’s daily volume for SPY, 73.18% for Apple and 83.79% for Ford, so some shares sit in no bar.

The last bar does not end at the official close. Its close never matched SPY’s official close to the cent on any of the 38 days, which suggests the closing auction is not in these bars. If so, the true late-day share is higher than shown, not lower.

This is a sample of three symbols over one autumn. It describes how these sessions were shaped, not a rule every day follows, and a news morning or an index rebalance can break the pattern for a day.

The subject is thinly covered on video. Of the 24,971 unique videos in the search study behind this site, 5 have “tape reading” or “read the tape” in the title, from 3 channels, at a median of 66,816 views.

When it fails

The failure is trading the tape without structure, and it produces entries at arbitrary prices. A burst of large prints at the ask looks decisive, so a position goes on. There is no level behind it, so there is nowhere obvious for the stop, so the stop goes at a round distance instead. The trade is now sized from a number that has nothing to do with the market, entered at a price chosen by a burst of activity that lasted four seconds.

The second failure is reading normal speed as news. A tape racing at 3:50 p.m. is doing what it does on almost every day in the sample above. Treating it as a signal means trading the clock.

A third is no size filter. The feed is unreadable.

A fourth is treating the aggressor side as fact. It is inferred.

A fifth is reading one venue as the market. Trading is spread across many venues.

A sixth is reading a large print as direction. Both a buyer and a seller transacted, and the tape does not say which side was informed.

And a seventh is trusting free intraday volume without a check. The bars above occasionally carried a running total in place of a single bar, and summing them blindly would have put more shares in a day than the exchange reported.

Questions people ask

What is time and sales?

The list of completed trades in one symbol, newest first, each with its time, price and size. Many platforms color a line by where it printed against the quote, at the ask or at the bid.

What do green and red mean on time and sales?

On many platforms, Fidelity’s among them, green marks a trade at or above the ask and red one at or below the bid. The colors show the inferred aggressor, which is a convention rather than a reported fact.

When is time and sales busiest?

At the two ends of the session. In SPY from 5 August to 27 October 2026, the first half hour held a median 14.16% of the day’s volume and the last 19.68%, against 3.58% from 1:30 to 2:00 p.m.

Is time and sales the same as level 2?

No. Level 2 shows resting orders that can still be canceled. Time and sales shows trades that already happened. Reading the two side by side is the usual way to use either.

Related

The tape covers the feed itself and what a single print can tell you. Order flow is the broader idea this display is one view of. And volume analysis is the aggregated version of the same data, the same trades added up into bars.

This page is educational, not financial advice. Test every idea on your own charts before risking money.