Merge trades on times and sales that sweep the book into one trade

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Jan123
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Joined: Tue Apr 20, 2021 2:28 pm
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Merge trades on times and sales that sweep the book into one trade

Post by Jan123 » Fri Apr 30, 2021 4:01 pm

Some very large market orders get executed across several levels in the order book. They "sweep" the book. Currently (I believe) those orders are shown as individual events for individual levels even in the reconstructed tape. Ideally those trades would be merged into one, or at least give the option to have them merged or not. 

Please let me know if I am mistaken and this feature is already implemented.