What tick replay includes and what it leaves out

Tick replay plays back a session one trade at a time. It includes every field a trade record carries and nothing about orders that did not trade. A tick is one trade record. It holds a timestamp, a price, a size and, on most futures feeds, the aggressor side, which is the side that crossed the spread. The note on market replay versus backtesting separated trade replay from full depth replay. This note opens a tick file and lists what each field lets you rebuild.

Six trades from one ES morning

Here are six invented trade records in the E-mini S&P 500 future, ES, at 09:31 ET.

The six records add up to 57 contracts.

What you can rebuild from these six records

Every number below comes from the four columns in the table.

1. Volume is 57 contracts.
2. Delta is buyer volume minus seller volume. Buyers took 17 contracts and sellers took 40, so delta is minus 23.
3. A footprint row at 5,060.75 reads 31 sold at the bid against 2 bought at the offer.
4. VWAP over the six trades is the price of each trade weighted by its size. That comes to 288,464.25 divided by 57, or about 5,060.78.
5. A one-minute candle opens at 5,061.00, has a high of 5,061.00 and a low of 5,060.50, and closes at 5,060.75 so far.

A replay of a full tick file rebuilds the same studies over the whole session. Candles, footprints, delta, cumulative delta, volume profiles and VWAP are all built from trades, so tick replay draws all of them. The tape is a list of these same records, so it plays back too.

What the six records leave out

Tick data records trades. Nothing in the table describes an order that rested without trading.

Suppose 300 contracts rested on the bid at 5,060.50 from 09:30:40 until 09:31:03.500, then the trader cancelled them. The tick file has no record of those 300 contracts, because none of them traded. A live DOM showed them for about 23 seconds. A replay from ticks shows an empty row.

The same gap covers every order that joined or left the book. Tick replay cannot show the following.

1. The DOM ladder, because the ladder draws resting size at each price.
2. A liquidity heatmap, because the heatmap draws the DOM over time.
3. Cancelled or modified orders, because they never printed.
4. The size ahead of a limit order you place during replay, because the file has no queue.

Some tick files also carry the best bid and offer at the time of each trade. That gives you the spread at each print. It still says nothing about the prices behind the best bid and offer.

Two records with one timestamp

Rows four and five share 09:31:03.015. One seller may have sent a 34-lot market order that filled 25 at 5,060.75 and then 9 at 5,060.50. Two sellers may each have sent a separate order inside the same millisecond. A file that stamps time to the millisecond cannot tell you which. The file does keep the sequence, so the 25 still prints before the 9 on replay.

The difference matters when you count large trades. Read as one order, this is a 34-lot. Read as two, the largest is a 25-lot. A large-trade filter set at 30 contracts catches the first reading and misses the second.

What platforms say about their replay

Quantower lists replay from tick, minute or day inputs, and it needs history from the data provider. Sierra Chart lists synchronized intraday replay that uses the historical chart data available, and notes that historical market by order data is not available for replay. NinjaTrader lists Market Replay. Check each platform's replay documentation for whether depth is part of the replayed data before you plan a DOM drill. The glossary defines the terms used here.

What to practise with tick replay

Tick replay suits any drill that reads trades. Footprint reading, delta changes around a level and tape speed at the open all work. It does not suit drills that read resting orders, such as watching a bid get pulled or counting the queue at your limit price.

A check you can run

Replay five minutes of a session from tick data and write down the footprint at one price in one bar. Then open the live or saved chart of the same bar and compare the bid and offer counts. If they match, your tick file is complete for that bar. Then open the DOM during the replay. If the ladder shows only the best bid and offer or nothing at all, your replay has no depth.