Investor/RT introduces an important new data handling option titled Consolidated Tape in version 13.2 for all users of the DTN IQFeed or DTN.iq data services. The Consolidated Tape option not only provides users the ability to see the tape in a clean, compact, and organized fashion, but also has a variety of very important efficiency and performance advantages. In a nutshell, Consolidated Tape takes large trades that have been broken apart and reconstructs them as they flow into Investor/RT. Using a specific example, a trader may want to buy 88 contracts of ES yet there is no single buyer willing to sell that many contracts at that price. The bid is instead filled by 45 different sellers with small sizes varying from 1 to 3 lots. This transaction flows from the data service and into Investor/RT as 45 small trades. Many traders however are more interested in the fact that there was a single player on one side of this transaction. Consolidated Tape puts these 45 trades back together the instant they flow into Investor/RT and passes them along to charts as a single large trade. These broken trades all burst in at the same instant with the same bid, ask, and trade price (with varying sizes). The presence of the Tick ID provided by DTN on each trades allows this reconstruction for users of DTN IQFeed and DTN.iq. This gives traders a more accurate picture of what big and small traders are doing throughout the many Investor/RT features that take advantage of volume size filtering (VolumeScope®, Volume Breakdown, Profile Indicator, Price and Bar Statistics, and much more). Consolidated Tape also provides another tremendous advantage in performance. Over the course of any given second, 3 consolidated trades may hit each chart instead of 150 raw trades. Over the course of a week, 490k trades may hit each chart instead of 1.5 million trades. A brief study on the ES determined that Consolidated Tape resulted in are reduction in trades of approximately 70%. Most charts using Consolidated Tape will now load in approximate 1/3 the time. Three times as much data may be stored on the database in the same amount of space. Consolidated Tape takes action on live data as well as backfill. When Consolidated Tape is turned on, backfill data will also be reconstructed. The Consolidated Tape option is available in Preferences > General.
An analysis of a 3 week period on ES ending 1/26/2018, the ES had 5.8m raw ticks yet only 1.9m consolidated ticks.