What it means
Each line of a time and sales display is a completed trade. It shows when the trade happened, the price it was done at, and the size.
Many displays also colour the lines to show whether the trade took place at the bid, which suggests selling pressure, or at the ask, which suggests buying pressure. This is different from an order book, which shows offers that have not yet been executed.
The order book tells you what people are willing to do, whereas time and sales tells you what they have actually done. Experienced traders read both together.
The main use is to judge the strength of a price move. A rise in price on heavy volume with many large trades hitting the ask looks like real buying.
A rise on tiny trades looks weak and may reverse. Time and sales data also has a back-office use.
Finance and compliance teams use the record to prove the price at which an order was executed and to test whether a broker gave a fair fill. The record can be used to calculate benchmark prices, such as the volume-weighted average price, which is the average price of all trades weighted by their size.
There are limits to what the tape can tell you. Trades can be reported late or out of sequence, and the display only shows what happened, not the reasons behind it.
Large investors often split big orders into many small ones, so the tape can hide the true size of a buyer. Modern tapes are generated by electronic systems, so a single share can show hundreds of lines every minute during busy periods.
Most platforms let you filter out small trades, so you can focus on the large prints that are more likely to come from institutions. Some also show the trade conditions, such as whether a trade took place in the opening auction or outside regular hours, which helps explain unusual prices.
In practice
Real-world examples.
Example
A day trader watches the tape of a technology share as it breaks above a recent high. Large trades start printing at the ask price, which confirms that real buyers are driving the move, so the trader buys.
Example
A fund's compliance officer reviews time and sales records after a client complains about the price of a large order. The tape shows the order was filled close to the average price during that time, and the complaint is closed.
Example
A corporate treasurer buying currency for a large payment compares the execution price with the tape at the same moment. The comparison shows the bank's fill was a fair distance from the market price, and the treasurer asks for a better quote next time.
Formula
Calculation
Volume-weighted average price (VWAP) = total dollar value traded / total shares traded
Suppose the tape shows three trades: 100 shares at $50.00, 200 shares at $50.10, and 200 shares at $50.20.
Dollar values: 100 x 50.00 = $5,000; 200 x 50.10 = $10,020; 200 x 50.20 = $10,040.
Total dollar value = 5,000 + 10,020 + 10,040 = $25,060.
Total shares = 100 + 200 + 200 = 500.
VWAP = 25,060 / 500 = $50.12.
A broker who filled a client order at an average of $50.30 over the same period would have performed worse than the VWAP by $0.18 per share.Case study
Seen in the real world.
Falconer Capital is an illustrative, fictional investment firm that buys large blocks of shares for its clients. Clients began to question whether the firm's traders were getting good prices.
The head of operations pulled the time and sales data for every large order over a quarter and calculated the VWAP for the period each order was working. Most orders were filled within a cent or two of the VWAP, but a handful were worse by more than ten cents.
The illustrative finding was that the poor fills all came from one broker who traded the entire order in a single burst at the open. Falconer moved those orders to a broker that spread them through the day, and the average cost fell by about $0.06 per share, a saving of $6,000 on a 100,000-share order.
Watch out
Common mistakes.
- Confusing the tape with the order book, when one shows completed trades and the other shows pending offers.
- Assuming every trade on the tape reflects a single buyer or seller, when large orders are often split into many small trades.
- Treating the tape as perfectly in order, when late reporting and different venues can make trades appear out of sequence.
Questions
People also ask.
What information does time and sales show?
Each line shows the time of the trade, the price, the size, and often the exchange where the trade took place.
What is the tape used for?
Traders use it to gauge buying and selling pressure, and operations teams use it to check that orders were filled at fair prices.
Is time and sales data free?
Delayed data is often free, but real-time data usually requires a subscription from a broker or data provider.
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