Full depth replay and why it needs recorded data

Full depth replay plays a past session back with the order book included, so the DOM ladder and the liquidity heatmap move as they did live. It needs recorded data, meaning book updates that someone saved while the session traded. Trade data cannot replace it. The note on what tick replay includes and what it leaves out listed what a trade file can rebuild. This note follows one price for ten seconds and shows what only a depth recording holds.

What a book update is

An exchange feed carries two kinds of message. A trade message reports a fill. A book update reports a change to resting orders, such as a new order, a size change or a cancel. A depth recording stores every book update in sequence with its timestamp. The note on MBP and MBO, two ways to describe the same book covers the two formats an exchange uses for those updates.

Ten seconds at one ES offer

Here is an invented sequence at the 5,050.25 offer in the E-mini S&P 500 future, ES. The offer starts the window with 120 contracts. All numbers are an example.

Over ten seconds the resting size fell from 120 to 60. Trading removed 30 contracts. Cancels removed 95, and new orders added 65.

What a trade file sees

A tick file of the same ten seconds holds one row, a 30-lot buy at 5,050.25 at 10:15:04.880. It cannot tell you that 120 contracts rested at the start or that 60 remained at the end. It has no record of the 40-lot that joined at 10:15:01.420, or of the 60 and 35 contracts that traders cancelled. A DOM rebuilt from this file leaves the row at 5,050.25 empty, and a heatmap has nothing to colour there.

No calculation can rebuild those updates from the trade. Each book update records a choice a trader made, and a trade print does not carry it. The only source is a recording that someone made on the day.

Who records the data

Someone has to stay connected and save book updates while the session trades. That can be your own platform, if it records, or a vendor that sells historical depth. Depth files are far larger than trade files. In this example, one price produced four book updates for each trade. A full ES session has updates at hundreds of prices and at every recorded level.

A recording has limits of its own. A recording of ten levels holds nothing beyond the tenth level. If the recorder drops messages during a fast open, the replay has a gap that nothing can fill.

Replay in Liquivue

Liquivue lists replay of imported recordings. It also loads 1 to 96 hours of trade backfill, depending on the data provider, so the CVD, VWAP and volume profiles have trades to work from when you open a chart. The backfill holds trades, not book updates. Liquivue can extend depth into the backfilled part of the chart, and the vendor describes that as a visual reference, not historical order data.

In Liquivue, the ten-second example looks different on a live chart and in backfill. On a live chart, the heatmap band at 5,050.25 brightens at 10:15:01, fades at 10:15:03 and again at 10:15:09, and a trade bubble marks the 30-lot at 10:15:04. In backfill, only the trade bubble comes from recorded data. A depth drill needs a recording that holds the book updates, so read the Liquivue help pages for the recordings it accepts before you plan one.

Liquivue covers futures through Rithmic or the NinjaTrader bridge, and it runs in a desktop browser with WebGPU.

What other platforms list

Bookmap lists recording and replay from its Digital+ tier, using recorded data, and its Global+ plan allows a second replay machine. Sierra Chart lists synchronized intraday replay from the chart data available and notes that historical market by order data is not available for replay. Quantower lists replay from provider history at tick, minute or day resolution, and this site has not verified full depth replay for it. The rankings page sets out replay coverage per platform. The note on market replay versus backtesting shows how the queue in a depth replay changes a fill count.

A check you can run

Open a replay on your platform and watch one price near the best offer for ten seconds. Count the size changes at that price that happen without a trade. If the size only changes when a trade prints, your replay has no recorded depth for that price.