Lesson 7 of 7 · 2 min
Market data & latency
Your chart is built from a data feed with its own choices — aggregation, timestamps and delay.
Every orderflow tool depends on its data. Two traders looking at "the same" chart can be looking at different numbers.
Aggregation
Exchanges publish individual trades, but many feeds and platforms aggregate them — combining several fills from one aggressive order into one print, or bundling trades within a time slice. That changes trade counts, trade sizes and sometimes bid/ask classification.
Key Insight
"Big prints" on the tape depend on whether your feed aggregates fills. A 50-lot market order that sweeps several resting orders might show as one print or as many small ones.
Depth of book
Most retail feeds show a limited number of price levels in the book, refreshed at intervals. You see a snapshot, not every change.
Latency
Data travels from the exchange to your platform with delay — milliseconds for professional connections, more for retail feeds, and much more for delayed or free data. In fast markets the screen can be slightly behind the market.
Continuous charts and rolls
Futures expire quarterly. A continuous chart stitches contracts together, sometimes back-adjusting prices. Levels drawn on one method may not match another.
Trading implication
Use one reliable feed, learn its quirks, and don't compare exact numbers across platforms. Consistency beats precision you don't actually have.
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