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The Reconstructed Tape toolstrip looks like this:
From left to right, the options are
oOpen Jigsaw Chat (see Jigsaw Chat section of this manual)
oLaunch the PriceSquawk Plug-in (See separate on the Jigsaw Members site)
oLaunch Reconstructed Tape Power Meter
oLaunch Settings Window
On launching the Settings window, the following pane will appear:
Always on Top
Set to True to ensure the windows stays on top of all other windows.
Number of rows
Sets the number of rows to output to the display.
Number of seconds a trade should appear on the screen. For example, if set to 60, any trade older than 60 seconds will be removed from the screen.
Set if you want to Reconstruct Trades that are split by the CME/Trading bots. Our recommendation is to have this on. Reconstructing split trades is what differentiates Jigsaw Reconstructed Tape from regular Time & Sales.
Update Interval Prints
Maximum number of prints to display in any 250ms interval. Setting to “0” will push all prints to the screen as they come in. This is to prevent slowdowns in fast markets. A setting of “25” appears to be the sweet spot. Setting too low (e.g. 10) will give you a “jerky” tape that doesn’t flow well. Setting above 25 does not appear visually different but can consume additional processor clock cycles.
If a very large trade prints, you might want to highlight that with different colors. The Block Trade Size allows you to specify the size of a trade that should be colored differently because it is exceptionally large. A value of zero will turn block trade colors off.
The number of contracts or shares to filter by. You can put a “from” and “to” value to filter for a range of trade sizes.
If the “To” value is “0” then it will presume there is no ceiling on the filter and it will not have a maximum limit to the trade size.
The Print mode allows you to decide which ‘side’ to show. The options are:
All Trades – Show all trades. Those that hit the bid and those that hit the offer.
Buy Only – Show only trades that go off at (or above) the inside offer. These would be market buy orders.
Sell Only – Show only trades that go off at (or below) the inside bid. These would be market sell orders.
This image demonstrates a “Buy Only” Tape next to a “Sell Only” tape. Using this format, it is very easy to compare the pace of buying against the pace of selling.
With version 2.5, we introduced the ability to choose the matching algorithm used. The CME splits trades in a very specific way. Because of this splitting, there is no need for people to employ order splitting robots in those markets. The existing algorithm caters for both the CME trade reconstruction and the robot split trade reconstruction. The options are as follows:
Fuzzy – The matching will be as per versions prior to 2.5. This matching will handle both CME trade reconstruction and robot trade reconstruction. This algorithm is the more ‘fuzzy’ of the two and therefore may collect a few additional trades from time to time.
CME Split – This algorithm is for reconstructing the trades split by the CME and other US Markets. In these markets the splitting of immediate orders is redundant as trades are split based on the limit orders they are filled against. We have been in touch with other exchanges (e.g. ICE) and it seems that they follow the CME in terms of trade reporting.