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BackFill


BackFill is a simple process of loading historical data into your chart so that Auction Dashboard™ can present the data, and also run studies against it.

When you BackFill a portion of your chart, you will see bars and session profiles over that area in the same way as the realtime section of your chart. It allows you to create composites over prior sessions; view session profiles and overlays of prior sessions; see True Auction™ History, Confluent Price Levels, and other markup from that data; and more: you can probe the data to look for anything you may desire, like large traders. It can give you powerful insight in preparing for trading at any point in time.

BackFill therefore is extremely useful and can be a very powerful way to gain advantages in your market.

Please notice: we do not hold out that BackFill is guaranteed to be 100% tick accurate. However despite the limitations that we'll explain, it is still extremely valuable, and very accurate: you will be able to use it seamlessly and effectively. The limitations can be explained this way: the accuracy of the reconstructed historical data simply depends on the way it is stored. When you ask Auction Dashboard™ to run a bid/ask BackFill, then it requests tick-by-tick Ask, Bid, and Trade data from NinjaTrader®. The data that is fetched may come from files that are limited to a 1-second accuracy. Therefore, the accuracy of the BackFill can be limited to a 1-second resolution. Auction Dashboard™ has no restrictions, and if your data is in fact time stamped below a 1-second resolution, then it will be reconstructed down to the accuracy with which is it stored.

Auction Dashboard™ in fact has two ways to perform a BackFill: TPO, or Bid/Ask.

TPO

The TPO BackFill does not load data; and in fact, a TPO BackFill is constructed from a composite overlay of the total volume in each bar on your chart. A literal TPO would be a time overlay of each bar, at price. In fact AD does some reconstruction work to distribute the volume price by price; and our TPO BackFill will yield value areas and points of control that come close to an actual Volume profile. Yet still, when looking at the actual volume on a given price in a given bar, and, the actual buying vs. selling on any price, the TPO must always be taken as the estimate that it is.

Many common indicator studies use methods similar to what we've mentioned above to estimate the volume and buying vs. selling on each price. However, simplistic estimation routines disguised with terms like "median distributions", which constitute part of a vast amount of standard studies that use OHLC candles to do their work must be understood by the order flow trader to be purely estimated; and they cannot be substituted where critical tick data would be expected by the trader. In a study like that (again, almost any indicator that hints at some type of buying vs. selling has used a "magic snake oil" algorithm to estimate buying and selling) the averaging and error components reduce towards statistical noise on an order related to the length of the study — which is a complicated way of saying in computer science terms that the error "falls towards zero" if the length of the study "rises towards infinity". Unfortunately, rarely do studies aggregate the tens or hundreds of thousands of data points needed to in fact reduce the error to statistical insignificance; and worse, on longer studies, the trader may use longer time periods, which increases the error component!

Despite what we've said, TPO data is extremely useful, and since no data is loaded, it runs quickly and you can BackFill large portions of your chart this way. Freely create overlay profiles, and composites over arbitrary bars on your chart to see volume profiles, value areas, points of control, and pockets with TPO data. Understand that some strategies will not run against TPO data, since there is no bid/ask data there, and the strategy may require that data to run. Remember also that the data within each price on each bar must be taken as purely estimated: to AD, the primary value is in the composites and session profiles.

Bid/Ask

The second type of BackFill is what we call bid/ask BackFill. This will request NinjaTrader® to load the tick-by-tick bid, ask, and trade data, and reconstruct the sequence of events with the accuracy that your data is stored with. Because this loads bid and ask data, this data will appear to AD in essentially the same way that realtime data does. Strictly speaking it may not match the accuracy of live data, but it still comes very close, and the accuracy of your studies will be very high.

You can use bid/ask BackFill to locate large traders, delta imbalances, all of the other things you can do with a TPO BackFill; plus as mentioned, strategies like True Auction™ History will run against the bid/ask data; so it will appear in most ways the same as real time data on your chart.

Performing a BackFill

Performing a BackFill is very simple. In fact, AD begins a five-prior session TPO BackFill automatically for you when the chart loads. This gives you prior session profiles and data to work with for composites. You can increase the length of the BackFilled data, or replace it with a bid/ask BackFill by starting a new BackFill from the BackFill window, found in the main menu.


Make your selection: which type of BackFill to perform. And, select how many prior sessions of data to reconstruct. A setting of zero reconstructs the current session only. Checking "Reconstruct all sessions on the chart" will do just that. Be aware that if you attempt this with a Bid/Ask BackFill, it can become memory intensive, and your hardware must be up to the task. This option can typically be selected with a TPO BackFill to yield many prior sessions to compose overlays on; yet still, if you have a long chart open, your machine must be up to the task.

BackFill runs in the background, so you can continue to work while it runs. You will see status messages reporting progress.

Notice that if you perform a TPO BackFill, and then perform a Bid/Ask BackFill over some or all of the same sessions on the chart, AD will replace the TPO data with the Bid/Ask data.

Please see tips on "Finding Long Term Levels" in the User Guide for more information about how to strategically use BackFill data.