Consolidated tape

What the tape records

The tape is the list of matches: price, size, timestamp and, when the venue publishes it, the side that initiated the trade. It is called consolidated when that list covers the whole market rather than one broker's or one venue's share of it. On a centralised exchange the distinction disappears, because the exchange is the only place where the instrument trades, so its own time-and-sales stream is by definition the market's record.

The word matters for order flow because every downstream tool is a function of the tape it is fed. A footprint groups executed volume by price and aggressor side; cumulative delta accumulates that classification over time. Change the tape, change the picture. A footprint built from one venue's fills describes that venue, nothing wider.

• CME futures such as ES, NQ, CL or GC: one central book, one published tape, aggressor side available on suitable feeds.
• Centralised crypto exchanges: each exchange publishes a complete record of its own matches, but no record spans exchanges.
• Spot FX: banks, ECNs, prime brokers and retail brokers match or internalise trades separately; nothing aggregates them into a common stream.

Why the distinction changes what a chart can claim

• Volume at a price on a futures footprint is exchange-published volume. The same cell on a retail FX feed is that provider's fills, or sometimes only quote updates, which are not traded size.
• The absence of a liquidity band on a decentralised market is not evidence that liquidity is absent elsewhere; the feed simply never saw it.
• Comparing delta between two providers only makes sense when both read the same tape with the same aggressor convention.
• A partial record with gaps is a partial record. It is never filled in as zero.

In Senzoukria

The desktop reads markets that have a complete venue record: CME futures through a Rithmic Direct connection, a local NinjaTrader or Quantower bridge, or Databento CME data, and crypto pairs from Binance Spot, Binance USD-M Perp and Bybit order-book history. Each of those is one venue's full tape, which is why the footprint, the cumulative delta indicators and the heatmap can be read at face value on them.

There is no spot FX source in the Broker Connections page, and the software does not construct a market-wide currency record from broker quotes. Currency exposure with a tape means exchange-listed currency futures on the same Rithmic or Databento path. Market data on every path is billed by the provider or exchange, not by the software subscription.

Common mistakes

• Assuming a 'forex footprint' reads a currency tape. It reads one broker's feed.
• Treating exchange volume and broker-reported volume as the same unit.
• Stitching two venues' trades into one chart and reading the result as a single market.
• Reading quote updates as executions because they arrive on the same stream.