ATAS Smart Tape: Tick Filter Configuration and Aggregation Thresholds

01 Print-size aggregation

Each row in the panel begins as one entry from the time-and-sales stream. Before any filter is evaluated the panel groups consecutive prints that share a side and fall inside the same size band, so the value shown in the Size column is the combined volume of the group rather than a single fill.

• Grouping key — instrument, side (bid-side or ask-side) and size band.
• Window — the maximum gap between two prints, in milliseconds, before a new row is opened.
• Directional reset — a change of side closes the active group immediately.
• Row retention — the panel keeps the most recent N rows, configurable from 100 to 5000.

Aggregation windows between 10 ms and 50 ms suit liquid index instruments. A slower contract is normally read with 100 ms to 250 ms so that one row represents a single intent instead of a fragmented order.

Raw mode

Aggregation disabled; every print is written as its own row.

Band mode

Prints are merged inside one of six predefined size bands.

02 Threshold tiers and colour rules

Every size band can be assigned a tier. The tier drives the row colour and the emphasis applied to the Size cell. Six tiers are available and the lower bound of each tier is expressed in the volume unit of the instrument being observed.

Colour assignment is stored per tier, not per row, so a single edit updates every print that shares the tier.

03 Time-window grouping

A second filter limits the panel to prints that fall inside a rolling time window. The window is measured in seconds and is applied after size aggregation, which means a group that spans the boundary is kept whole and evaluated against the window by its opening timestamp.

1. Set the window length in the Range field; values from 1 s to 900 s are accepted.
2. Choose whether the window is rolling (fixed length, always ending now) or session-anchored (fixed length, starting at the session open).
3. Decide whether prints outside the window are hidden entirely or greyed in place.

On a busy desk a 15 s rolling window is common for scalping panels, while a 300 s window is used to review the shape of a move after the fact. Session-anchored windows are used when the first minutes of a session are compared across several days.

04 Highlighting large prints

Highlighting is a display-only layer that sits on top of the tier colours. A single threshold value is defined; every print at or above that value receives the highlight treatment so that unusually large executions can be located quickly in a dense tape.

• Threshold value — expressed in the same unit as the size bands.
• Pulse on arrival — a brief emphasis applied when a highlighted print is added (visual only, no sound).
• Background fill — a distinct row background for highlighted prints.
• Separator — an optional horizontal rule drawn above each highlighted row.

05 Filter persistence per workspace

Filter definitions are stored with the workspace, not with the instrument. Two panels placed in different workspaces can therefore apply different thresholds to the same contract without interference. When a workspace template is applied to a new layout, the tier table, the time window and the highlight threshold are carried across unchanged.

Related configuration is described in Speed of Tape, Smart DOM columns and the workspace layout reference.