How to record a futures session for replay

To record a futures session for replay, a platform must save the market data while the session trades, so a replay can play it back later. The note on full depth replay and why it needs recorded data explained why trades alone cannot rebuild the book. This note plans one recording of the ES open, the first hour of regular trading in the E-mini S&P 500 future, and then covers what Liquivue and other platforms do with a recording.

What a recording has to hold

A replay rebuilds the book from the recording, so the recording needs every message that changed the book.

1. A starting snapshot lists the resting size at each price when the recording begins.
2. Book updates record each order that traders add, change or cancel.
3. Trade messages record each fill with its price, size and aggressor side.
4. Timestamps on every message let the replay play them back in order.

The recording also has limits that you set before it starts. A ten-level recording holds nothing beyond the tenth price on each side. A market by price recording holds the total size at each price. A market by order recording holds each order on its own. The note on MBP and MBO covers that difference.

A plan for one ES open

The numbers below are an invented example of the planning, not a measurement. Say you want to study 9:30 to 10:30 New York time. Start the recording at 9:25 and stop it at 10:35. The five minutes at each end give the recorder time to take its snapshot and catch the last trades of the hour.

Suppose the 70 minutes produce 2,100,000 book updates and 110,000 trades at ten levels. At 40 bytes per book update and 24 bytes per trade, the file size works out as follows.

Book updates outnumber trades by about 19 to 1 in this example. A week of five opens comes to about 433 MB. A recording of every level or every order is larger, and a full session from the evening open is larger again.

How gaps get into a recording

A recorder can save only the messages that reach your computer. Suppose your connection drops at 9:47:12 and comes back 6 seconds later. The recorder misses every message in those 6 seconds. When the connection returns, the recorder needs a new snapshot, because it cannot know which orders traders added or cancelled during the gap. In the replay, the book freezes at 9:47:12 and then jumps to the new snapshot at 9:47:18.

You can check a recording against trade backfill. Backfill is trade history that the data provider sends when you open a chart. Add up the contracts traded in the recording from 9:30 to 10:30, then compare the total with the backfill for the same hour. If the recording shows 412,300 contracts and the backfill shows 415,900, the recording missed 3,600 contracts, and you should look for a gap.

Name the file so you can find it later

Put the contract, date, window, time zone, depth and format in the file name, such as ESZ6_2026-10-19_0925-1035_NY_10L_MBP. ESZ6 is the December 2026 ES contract. A month later, you can read from the name which contract the file covers and how many levels it holds.

Replaying a recording in Liquivue

Liquivue lists replay of imported recordings. It also loads 1 to 96 hours of trade backfill, depending on the data provider. You can use that backfill for the volume check above, because it holds the trades for the hour. It does not hold the 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.

Suppose Liquivue accepts a recording of the example with its book updates. The Liquivue heatmap then draws the bands at each price from those updates, and trade bubbles print from the trade messages. The CVD and volume profile count the same trades. From 9:47:12 to 9:47:18 the bands stop changing, and that pause is how a 6-second gap appears on a heatmap.

This site has not verified which recording formats Liquivue imports or whether Liquivue records sessions itself. Read the Liquivue help pages before you plan a week of recordings. Liquivue covers futures through Rithmic or the NinjaTrader bridge, and it runs in a desktop browser with WebGPU.

Recording and replay on other platforms

Bookmap lists recording and replay from its Digital+ tier, using recorded data, and its Global+ plan allows a second replay machine. NinjaTrader lists Market Replay and free simulation. Sierra Chart lists synchronized intraday replay from its chart data, with no historical market by order replay. ATAS lists replay from its Plus tier, and its current documentation excludes dxFeed instrument charts from Market Replay. The rankings page sets out replay coverage for each platform.

A check you can run

Record ten minutes of ES on your platform. Replay the file and add up the contracts traded. Compare that total with the trade backfill for the same ten minutes. If they differ by more than 1 percent, find the gap before you use the file for practice.