Find My Fills! Introducing a new tool for visualizing market activity at every timescale

Allison Bishop
Proof Reading
Published in
6 min readAug 15, 2019

[Check out the tool at findmyfills.com!]

We live in a world where rich and granular data seems to be everywhere. The upside is that we can harness data to make better decisions and strengthen communities. We can track our workouts to improve our performance, we can discover new favorite restaurants through recommendations, and we can at least partially share in each other’s experiences across vast physical distances.

This is a fairly generic story of the last few decades in most domains … except institutional stock trading. As of today, many of the buyside traders who submit orders to brokers still aren’t provided granular information about where and how their orders trade. They are told how many shares they traded and when, but they may not be told what exchange or whether a dark pool executed each trade, what order types their broker used to access the trading venues, or what was happening across the market around the time of their trades, etc.

There is potential upside for buyside traders in examining this kind of data. Seeing their executed trades in the proper context of market activity might reveal key differences in aggregate in how their various brokers behave, or how their trading decisions interact with market dynamics to produce shifting prices. Having this kind of data can help all of us better understand the market ecosystem, and can further enable buyside traders to hold brokers accountable.

Naturally, markets are complex, and drawing strong conclusions (or even any conclusions) from looking at a few examples would be ill-advised. But we believe that giving people effective ways to visualize market activity at a more granular level is a first and necessary step to building up a comprehensive understanding. From examples we build intuition, and from intuition we build hypothesis that we can subject to rigorous testing beyond the examples we can go through by hand. But getting our hands dirty is still the first step.

That’s why Proof has launched our new Find My Fills tool. This tool allows a buyside trader (or anyone!) to see what is happening in the stock market at any given time for any given stock, at any desired level of granularity.

Using the tool

When you enter the tool, you’ll see a chart showing you the prices of trades in a particular stock over a particular day:

At the scale of a full trading day, the red and green bars represent the high, low, open, and closing prices of trades within a given minute. A bar is green if the closing trade price of that minute is higher than the opening trade price, and red otherwise. The dark blue bars along the time axis of the chart represent aggregated trading volume over each minute increment.

You can change the stock by using the drop down menu at the top of the page:

You can change the date by using the calendar icon under the chart:

(Note: you won’t be able to see data for today’s date, or future dates!)

You can zoom in to a finer time scale in many ways. You can click on a minute bar, for instance, and it will zoom into that minute. You can also zoom by using the Day, 15-Min, and 30-Sec buttons to the right of the calendar:

Above we have zoomed into a specific 30-second interval of time. Now additional sliders have appeared under the chart, allowing us to manipulate what 30-second interval of time we are viewing. The top slider (labeled 15 sec/30 sec) allows us to move by an increment of 15 seconds at a time by clicking on its left or right arrows. The middle slider (labeled 30-sec/15-min) allows us to move by an increment of 30 seconds at a time. The bottom slider (labeled 15-min/day) allows us to move an increment of 15 minutes at a time. This element of the interface is inspired by a triple beam scale: the kind of device you might use to weigh yourself at a doctor’s office or a gym. The idea is that you can first get the highest order term where you want it (looking at the desired 15 minute interval), then get the next order term where you want it (looking at the desired 30 second interval within that), and then finally get the lowest order term where you want it (zeroing in on the desired 15 second interval within that). This is much easier than just scrolling through a whole day’s worth of data in 15 second intervals.

At this finer time scale, we can start to see the individual trades as spheres, with larger diameters corresponding to larger trade sizes. The horizontal shaded regions represent the prevailing best bids and offers advertised across exchanges over time (sourced from SIP data through our historical market data provider, Polygon.io).

If traders want to easily find their own trades in this kind of granular view, they can upload a csv file with the time, symbol (aka stock), size, price, venue information (if available), and side for each of their trades with the “Upload CSV” or “Paste CSV” buttons in the upper left corner of the tool:

(Don’t worry, the information you upload is not collected by us or stored anywhere.)

The tool is intended to handle files that contain one or multiple trades in the same symbol on the same side over the course of a single day. To see a sample of the suggested data format, click on the “Get Sample” button. Don’t worry about small inconsistencies like a column heading that is “Stock” instead of “Symbol.” The tool will guess the likely mapping between your columns and the required columns, and will offer you a chance to confirm or manipulate this mapping.

Once your information is entered and you hit “find my fills!”, the trades you are seeking will show up as thick circles. The dotted red lines will show you relevant trade metrics, such as the arrival price, the interval VWAP across the market for the time from your first fill to your last, and the (volume-weighted) average price of your fills. You can click on any of the thick circles to zoom in on the market activity surrounding any one of your fills. You can also select certain fills in the table above the chart and hit “zoom to selected.”

You can also see more stats on your fills, including a breakdown of where they occurred, to the left of the chart:

Here, the full red circle for “matched fills” tells you that all of your fills were indeed matched to trades on the tape.

Want to know more?

We encourage you to try out the tool and use it as you like! If you have any feedback for us, we’d love to hear it! Send feedback to fmf@prooftrading.com

If you would like to know how our tool works in detail and how we built it, stay tuned for our technical deep-dive post coming next week!

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