Using Time and Sales to Infer Futures Trade Direction

Summary

The question distinguishes daily futures data from transaction-level information. A daily dataset may report contract-level market statistics without showing individual trades, leaving the user unable to identify each buyer and seller from those records alone. The answer recommends seeking time-and-sales data for the relevant futures contracts.

Trade direction can be estimated by comparing each transaction price with the prevailing bid and ask: executions near the ask are commonly interpreted as buyer-initiated, while those near the bid are commonly interpreted as seller-initiated. The response points to exchange-related API resources as a possible source of such records. It is brief and does not describe a specific API workflow, the fields required, data coverage, or costs. Bid/ask classification is an inference about aggressor side and does not reveal the identities of counterparties; trades inside the spread may also be ambiguous.

Key ideas

• Daily futures datasets may not include individual transaction records.
• Time-and-sales data provides transaction-level observations that can support trade-direction estimates.
• Comparing execution prices with the prevailing bid and ask can help infer which side initiated a trade.
• The method estimates aggressor side and does not identify the counterparties.
• The answer does not specify API details, coverage, or access costs.

Tags

# Accesssing buyers and sellers of futures contracts


# Accesssing buyers and sellers of futures contracts












I'm attempting to access all futures contracts traded for a given day. Reading the Quandl blog: https://blog.quandl.com/api-for-futures-data to access futures contract use the python code:

```
quandl.get('CHRIS/CBOE_VX5', start_date='2020-04-20', end_date='2020-04-30')
```

where:

```
    {CBOE} is the acronym for the futures exchange
    {VX} is the futures ticker code
```

Using

```
quandl.get('CHRIS/CBOE_VX5', start_date='2020-04-20', end_date='2020-04-30')
```

the following dataset is returned:

How to access the buy and sell trades for each contract? The above dataset provides details for futures per day, but does not provide any details relating to the individual contracts, is this data available via Quandl or some other data provider?

## Answer by swordfish81 (score 1)

https://quant.stackexchange.com/a/59320

I think you can find this information using the Time & Sales information. The bid or ask price will help to ascertain whether the instrument was bought or sold.

CBOE has a bunch of API's that you could use for this.

https://api.livevol.com/v1/docs/Help#sectionTimeandSales

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.