Time and Sales Explained (Think or Swim Example)

Absolutely! Here’s the fully detailed breakdown of all ThinkorSwim (ToS) Time & Sales trade letters, followed by an expanded cheat sheet table that includes who uses each trade type and why.

Complete Breakdown of ThinkorSwim (ToS) Time & Sales Letters

1. D – Dark Pool Trade

Meaning: Trade executed off-exchange in a dark pool (an Alternative Trading System, ATS).
Color Codes:
- Green (Above Ask) – Buyer was aggressive.
- Red (Below Bid) – Seller was aggressive.
- White (Between Bid/Ask) – Neutral trade.
Who Uses It?
- Hedge Funds & Institutions – Avoid moving the price with large orders.
- Market Makers – Internalizing order flow.
Example:
- A hedge fund buys 500,000 shares of AAPL in a dark pool at $180.55 while NBBO is $180.50 x $180.60.
- Trade shows as D in Time & Sales.

2. Z – Extended Hours Trade

Meaning: Trade executed outside regular market hours (Pre-Market or After-Hours).
Who Uses It?
- Retail Traders – Reacting to news before open/after close.
- Institutions & Hedge Funds – Adjusting portfolios after earnings releases.
Example:
- A trader buys TSLA at 4:30 AM before the market opens.
- The trade appears with a Z.

3. Q – Cross Trade

Meaning: Trade matched internally by a broker without public exchange execution.
Who Uses It?
- Broker-Dealers & Banks – Matching buy/sell orders internally.
- Mutual Funds & ETFs – Rebalancing portfolios.
Example:
- A broker executes a 100,000-share buy and sell order for MSFT internally at $400.
- It shows as Q.

4. V – VWAP Trade

Meaning: Trade executed at the Volume-Weighted Average Price (VWAP).
Who Uses It?
- Pension Funds & Institutions – Achieving an “average” price over time.
- Algorithmic Trading Firms – Using VWAP for large order execution strategies.
Example:
- A fund buys 1,000,000 shares of AMZN at VWAP to minimize price impact.
- The trade appears as V.

5. T – Form T (Late Report)

Meaning: Trade reported late, possibly due to manual processing or post-market execution.
Who Uses It?
- Market Makers & Brokers – Sometimes delay trade reporting.
- Dark Pools – Can report trades late.
Example:
- A hedge fund sells 200,000 shares of NVDA at 1:30 PM, but it isn’t reported until 4:10 PM.
- It appears as T.

6. P – Market Maker Price-Improvement Trade

Meaning: A trade where a market maker improves the price for their customer.
Who Uses It?
- Market Makers – Providing price improvement.
- Broker-Dealer Internalizers – Executing orders better than NBBO.
Example:
- A trader submits a market order to buy AMD at $110.
- A market maker executes at $109.95, giving a better price.
- It shows as P.

7. X – Trade Cancellation

Meaning: Trade was canceled after execution.
Who Uses It?
- Brokers & Exchanges – Canceling erroneous trades.
- Regulators – Cancelling trades violating rules.
Example:
- A trader mistakenly buys 10,000 shares instead of 1,000.
- Broker cancels the trade.
- It appears as X.

8. O – Odd Lot Trade

Meaning: Trade of less than 100 shares.
Who Uses It?
- Retail Traders – Buying in small amounts.
- High-Frequency Traders (HFTs) – Testing liquidity.
Example:
- A trader buys 15 shares of AAPL instead of 100.
- It shows as O.

9. I – ISO (Intermarket Sweep Order)

Meaning: Trade that sweeps multiple exchanges for best execution.
Who Uses It?
- HFTs & Algorithmic Traders – Executing aggressive strategies.
Example:
- A quant fund submits a large GOOG order, splitting it across multiple exchanges.
- Trades appear as I.

10. W – Average Price Trade

Meaning: Trade represents average price across multiple executions.
Who Uses It?
- Funds & Institutions – Aggregating executions for reporting.
Example:
- A fund executes 1,000 small trades and reports an average price of $350.25.
- It shows as W.

11. K – Rule 127 Trade (NYSE)

Meaning: NYSE-only trade executed on the floor under Rule 127.
Who Uses It?
- NYSE Floor Brokers – Trading manually.
- Institutions – Executing large block orders with floor brokers.
Example:
- A NYSE floor broker executes 1,000,000 IBM shares manually under Rule 127.
- Trade appears as K.

12. U – Price-Changed Trade (Adjusted Trade)

Meaning: Trade was adjusted after execution due to a reporting error.
Who Uses It?
- Market Makers – Adjusting trade prices.
- Regulators – Fixing incorrect reports.
Example:
- A market maker misreports AAPL at $189.50 instead of $189.00.
- The correction appears as U.

Final Updated Cheat Sheet for ToS Time & Sales

Letter	Trade Type	Who Uses It?
D	Dark Pool Trade	Hedge Funds, Institutions
Z	Extended Hours Trade	Retail, Institutions
Q	Cross Trade	Brokers, Mutual Funds
V	VWAP Trade	Pension Funds, Algorithmic Traders
T	Form T (Late Report)	Market Makers, Dark Pools
P	Price Improvement	Market Makers, Brokers
X	Trade Cancellation	Brokers, Exchanges
O	Odd Lot Trade (<100 shares)	Retail, HFTs
I	ISO (Sweep Order)	HFTs, Algorithmic Firms
W	Average Price Trade	Funds, Institutions
K	Rule 127 Trade (NYSE Floor)	NYSE Floor Brokers, Institutions
U	Price-Adjusted Trade	Market Makers, Exchanges

Final Thoughts

D, Q, V = Institutional activity.
T, U, X = Reporting corrections/errors.
P, I = Market Maker & HFT behavior.
K = Rare NYSE floor trades.

Retail Activity in ThinkorSwim (ToS) Time & Sales

While retail traders can interact with all trade types, certain letters strongly indicate retail activity. These trades are typically small orders, odd-lot executions, and orders receiving price improvement from market makers.

Most Likely Retail Activity Letters

1. O – Odd Lot Trade

Why? Retail traders often buy in small amounts (less than 100 shares).
Who Uses It? Primarily retail traders or high-frequency trading (HFT) firms testing liquidity.
Example:
- A trader buys 23 shares of AAPL instead of 100.
- The trade appears as O.

2. P – Market Maker Price-Improvement Trade

Why? Retail orders placed through brokers (like Schwab, Fidelity, or Robinhood) often get price improvement.
Who Uses It? Retail traders using market orders.
Example:
- A trader submits a market order to buy AMD at $110.00.
- A market maker executes at $109.95, offering price improvement.
- It appears as P.

3. Z – Extended Hours Trade

Why? Retail traders often trade in pre-market and after-hours due to work schedules.
Who Uses It? Primarily retail traders reacting to news or earnings.
Example:
- A trader buys TSLA at 7:15 AM after seeing positive earnings news.
- The trade appears as Z.

4. I – ISO (Intermarket Sweep Order)

Why? Some retail brokers execute orders via ISO (Sweep Orders) to find better prices across multiple exchanges.
Who Uses It? Some retail traders (though HFT firms also use ISOs).
Example:
- A trader buys 50 shares of NVDA, and their broker sweeps multiple exchanges for the best price.
- It appears as I.

Possibly Retail Activity (But Also Institutional)

These letters can involve retail traders, but they are not exclusive to them.

5. X – Trade Cancellation

Why? Sometimes retail traders cancel mistaken orders.
Who Uses It? Both retail traders and institutions.
Example:
- A retail trader accidentally buys 1,000 shares instead of 100 and cancels the trade.
- It appears as X.

6. T – Late Reported Trade (Form T)

Why? Some retail brokers execute after-market orders that are reported late.
Who Uses It? Usually institutions, but sometimes retail traders.
Example:
- A retail trader sells 150 shares of AMZN at 4:02 PM, but the trade reports at 4:10 PM.
- It appears as T.

Retail Cheat Sheet: Most Likely Retail Trades

Letter	Trade Type	Retail Relevance?
O	Odd Lot Trade (<100 shares)	✅ Very Likely
P	Price-Improvement Trade	✅ Very Likely
Z	Extended Hours Trade	✅ Very Likely
I	ISO (Sweep Order)	🟡 Sometimes (Retail + HFTs)
X	Trade Cancellation	🟡 Sometimes (Retail + Institutions)
T	Late Reported Trade	🟡 Sometimes (More Institutional)

Key Takeaways

Strongest retail indicators: O, P, Z.
Possibly retail: I, X, T (depends on order execution).
Retail traders rarely use: D (Dark Pools), Q (Cross Trades), K (NYSE Floor), U (Adjusted Trades), V (VWAP Trades).

Would you like help spotting retail vs institutional footprints in Time & Sales? 🚀