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So what did he mean? In a nutshell your beliefs create your illusionary reality. Your beliefs are yours because you wanted them at some point (you created them or accepted them) in your life and you still have them. Therefore you playout your beliefs with the market and get to experience...

@jjw My understanding is that CME provides a tag to be able to reconstruct the trades back to the aggressor but for trades that go through multiple levels they only provide the tag PER LEVEL, which is not very useful. CTS and Sierra Chart feed allow this. For example market is bid 5,10,60...

Reconstructed T&S I found a company called Beacon Commodity Trading www.beaconcommoditytrading.com who have an excellent trade reconstruction product. They are in the process of updating their website but you can get this indicator and some others on there now. They have their own trade...

@bigsnack it can't be just down to just millisecond time stamping if that is what you are inferring. I've see many occasions a day where time and sale aggregation occurs from identical millisecond time stamps and not from others with an identical stamp (see the 04:00.54.9160 time stamp in the...

Hi, Since data feeds report trades on the Time & Sales with the filled resting orders rather than the trade initiator (since 2009) a number of companies have sprung up over the years to reconstruct the trades back together. Rightly so none claim to do it 100% correctly as it is impossible to...