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Times and sales reconstruction

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    Times and sales reconstruction

    “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 do so, but my belief is they do a pretty good job, having read the tape for a number of years.”

    does NT times and sales reconstruct the trades?

    Background:


    https://www.elitetrader.com/et/threa...estion.315861/

    #2
    I am not familiar with a supported data feed that provides this service nor does any NinjaTrader window attempt to 'reconstruct' this information. I am not familiar with what the quote is referring to and the link to the other forums doesn't provide much more insight as to what this actually is. Do you have any other resources, or could you contact the original poster of this information for further clarification? They mention Jigsaw (a third party add-on developer) provides this, so perhaps it's possible via custom NinjaScript.
    Patrick G.NinjaTrader Customer Service

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