Tape Reconstruction

Desktop SDK - Indicators
1

Hello – Has anyone figured out the coding for tape reconstruction that they don’t mind sharing?

Here’s the old forum thread on this: https://forum.ninjatrader.com/forum/ninjatrader-8/add-on-development/108071-reconstructed-tape

My end goal is to improve upon NT’s standard Order Flow Cumulative Volume Delta with reconstructed tape. Thanks for the help.

2

I’m not sure what you mean by tape reconstruction exactly. Here’s interesting thread on that topic:

https://forum.ninjatrader.com/forum/ninjatrader-8/indicator-development/1335423-time-sales-count

3

Thanks for sharing. Regarding tape reconstruction, see below:

ES T&S Example_12.18.25
ES T&S Example_12.18.25404×1867 28.1 KB

For those trades boxed in yellow with same millisecond timestamp, a reconstructed tape would show them as 25 contracts instead which is very useful for CVD, size filter alerts, etc.

4

I’m not an expert but I’ve always assumed that timestamp is truncated given that ES and NQ use microsecond precision.

5

Yes, agree. We’re limited by the incoming data. Not sure if Rithmic has more granularity, but it’s my understanding NT brokerage accts are limited to CQG now.

Either way, millisecond is plenty to group by timestamp.