Time and sales (the tape)

Time and sales, or the tape, is the chronological list of executed trades on a market, each with its timestamp, price, size and, on an aggressor-tagged feed, whether it lifted the offer or hit the bid. Every footprint, delta and cumulative delta reading is an aggregation of this stream, and its meaning depends entirely on which venue reported it.

Senzoukria · Glossary · Updated September 2026

What one line of the tape contains

The order flow trading guide calls this stream the raw material of everything else. A footprint is the tape sorted by price inside each bar; cumulative delta is the tape's aggressor field summed since the session open; a heatmap comes from a different feed, the resting orders, and answers a different question.

  • A timestamp, at whatever resolution the feed provides; a footprint groups these into bars.
  • A price, on the instrument's tick grid.
  • A size, in contracts for futures or in units and notional for crypto.
  • An aggressor side, on feeds that report it: a trade at the ask is an aggressive buy, a trade at the bid is an aggressive sell. Delta is the ask volume minus the bid volume built from this field, per level and per bar.
  • Sometimes a venue or condition code, which matters when several matching engines feed one symbol.

Whose tape is it

A tape is always a venue's record. On a centralised exchange such as CME, the venue is the exchange, so its tape is the market's tape. Spot foreign exchange has no central book and no consolidated tape, so a retail broker's tape describes that broker's fills and its liquidity providers, not the currency market; the forex order flow guide walks through what each feed type actually reports. On crypto, each exchange publishes its own trade stream, and a footprint on one exchange describes that exchange only.

A related trap is tick-count volume on a quote feed: a count of price updates is not traded size and cannot produce a tape.

In Senzoukria

The software rebuilds every trade with its aggressor side into bid × ask per price, which is the Bid × Ask footprint type and the base for the Delta, Volume and Trades cell types. The speed of the tape is available as Tape Speed in the Tape & flow group, which normalises the trade count by the known elapsed bar duration over a window (default 5 bars); its note states that time bars may use their declared duration, counter bars need an observed duration, and an unknown duration produces a gap rather than an assumed rate. Tape speed EMA gives the smoothed trades per bar. The Big Trades filter on the heatmap page isolates the largest prints of the recent tape as bubbles. The tape itself is delivered by the connected data source, whether Rithmic, a NinjaTrader bridge, Databento or a crypto exchange, and is billed by that provider.

Common mistakes

  • Reading a tape that mixes several venues under one symbol as if it were one book.
  • Assuming a feed reports aggressor side when it only reports last price and size; without the side, delta cannot be computed and the footprint has no bid × ask split.
  • Comparing tape speed across bar types, where a bar's duration is defined differently.
  • Treating quote updates as trades.

This page in other languages

Frequently asked questions

How is the aggressor side determined on the tape?
On exchange feeds that publish it, the aggressor flag is part of the trade message and says whether the incoming order matched against resting asks or resting bids. Where the feed does not publish it, platforms infer it from whether the trade printed at or above the ask or at or below the bid at that moment. The inference is a convention, and two platforms can tag the same print differently, which is one reason delta values differ between tools.
Why does my footprint not match the raw time and sales window?
A footprint aggregates the tape by bar and by price row, so a single row can sum many prints, and a price grouping of several ticks per row sums several prices. If the platform also applies a minimum-volume filter, thin cells are hidden. The underlying prints are the same; the difference is the grouping and the display, which is why the grouping should be stated with any reading.
Can time and sales be read on crypto and forex?
On crypto, yes per exchange: each venue publishes its own executed trades, and Senzoukria reads them for analysis only, without any crypto order routing. On spot forex, no consolidated tape exists, so what a broker calls time and sales is that broker's own fills. Exchange-listed currency futures do have a single central tape, which is the version of the question that can be answered with a footprint.

Keep reading

Strategy researchTest a trading strategy, from observation to challenge rulesDefine an observation, question it with the copilot, write a rule and explore costs, drawdown and fictional challenge limits in an interactive example.Quant · Start hereQuant trading for beginners: from idea to backtestDefine a testable rule, choose suitable data and evaluate later periods after costs.Order flow · HubOrder flow trading: the complete guideThe hub. What order flow is, what it shows — aggression, delta, imbalance, absorption, liquidity — and the tools that read it, each linked to a full guide.