Why your tape and another platform's tape do not match

Why your tape and another platform's tape do not match comes down to how each platform presents the same exchange trades. The tape, or time and sales, is the list of trades in the order the exchange reported them, each with a time, a price and a size. This note takes one invented minute of ES and shows it on three tapes that disagree, then compares them with the trade bubbles in Liquivue. The note on time and sales explained with a real sequence of prints covers how to read a single tape.

One aggressive order, five fills

All numbers below are invented. The market is the E-mini S&P 500 future, ES. At 10:00:14.250 New York time a trader sends a market buy for 30 contracts. The best offer is 5,040.25 with two resting orders of 4 and 2 contracts. The next offer is 5,040.50 with three resting orders of 10, 9 and 5 contracts.

The order trades against all five resting orders. The exchange reports a fill for each one.

A platform can show this order in three ways.

1. An unaggregated tape prints all five fills, with sizes of 4, 2, 10, 9 and 5.
2. A tape grouped by price prints 6 at 5,040.25 and 24 at 5,040.50.
3. A tape grouped by order prints one trade of 30 at 5,040.50, the last price it reached.

The same order is five prints on the first tape, two on the second and one on the third. A size filter of 20 contracts hides the whole order on the first tape and shows it on the third. The note on why the tape prints the same price many times in a row explains where those repeated prints come from.

The whole minute on three tapes

From 10:00:00 to 10:01:00 ES traded 412 contracts in this example. Here is how three platforms report the minute.

The first two rows hold the same 412 contracts. Only the number of prints and the largest print change.

The third row is 16 contracts lighter. Those 16 contracts came from a calendar spread trade, which the exchange reports as a trade in each leg contract. The leg print has no aggressor in the outright book, so some platforms leave it off the tape. The note on spread trades and implied prices on the tape works through a leg print.

Other reasons the tapes differ

• Session times. A platform that starts the session at 18:00 and one that starts at 9:30 give different totals for the day, even when every minute matches.
• Timestamps. One platform may show the exchange time and another the time the trade reached your computer. The same trade can then show two times a few milliseconds apart.
• Feed. Each data provider decides how it packs trades into messages. Two feeds can carry the same trades and group them differently before the platform reads them.
• Conflation. A conflated feed sends a summary at set intervals and drops the updates in between. A full tick feed sends every trade.

How to find which reason applies

Compare total volume first, then print counts. Use one contract, one minute and the same clock on both platforms.

1. Volume matches and print counts differ. The cause is aggregation. Check each platform's tape setting.
2. Volume differs by a round block. Look for spread leg trades in that minute.
3. Volume differs across the whole day but matches minute by minute. The session start times differ.

Comparing a tape with Liquivue trade bubbles

Liquivue draws each trade as a bubble on the liquidity heatmap. The bubble sits at the trade's price and time. In the example, the 30 lot buy leaves bubbles at 5,040.25 and 5,040.50 in the same instant. The offer bands at both prices end when the order takes them out. The Liquivue CVD line rises by 30, and the volume profile adds 6 contracts at 5,040.25 and 24 at 5,040.50.

This site has not verified whether Liquivue joins fills by order or by price when it draws a bubble. To check, find one large print on the other platform's tape and count the bubbles at that time in Liquivue. This site has also not found a standalone time and sales window in Liquivue. Futures data reaches Liquivue through your own Rithmic or NinjaTrader connection. If your other platform uses a different feed, the feed is one more reason the two can differ. Liquivue costs €20 a month after a 7-day trial, and the trial covers enough sessions to run this comparison five times.

Tapes on other platforms

Quantower includes time and sales in its free version and lists historical time and sales in its workspace. Bookmap has time and sales beside its heatmap. Jigsaw daytradr has a reconstructed tape, which joins fills that belong to one order. NinjaTrader has time and sales built in. The glossary defines the aggressor side and the other tape terms used here.

A check you can run

Pick one busy minute after the open. Write down the print count, the total volume and the largest print on each platform you use. If the volumes match, change the tape setting on one platform until the print counts match too, and write that setting down.