Replay Level 2 and Tape for Pennies a Day

If you trade US equities and review your trades on weekends, you have likely run into the simulator subscription barrier.

Most retail trading simulators bill on a recurring plan. Cheaper tiers replay charts and Time & Sales, but a synchronized Level 2 order book usually sits in the top tier — on TradingSim, for example, Level 2 is part of Premium, at $449 a year billed annually (more month to month).

If you are new and practise in a simulator for hours every day, an all-inclusive subscription can make sense. But if you trade live Monday through Friday and only want to review two to five high-impact setups a month — to understand why your limit order did not fill, whether real liquidity was supporting a breakout, or how an opening drive formed — you are paying a year’s subscription for a few hours of screen time.

Trandence takes a different path: Bring Your Own Data (BYOD). Market Replay runs in your desktop browser on historical market data you buy directly from Databento, pay as you go. There is no replay subscription, and your market data files never touch our servers.

The Economics of Market Replay: Subscription Fatigue vs. Pay-As-You-Go

Trading tools add up. Live charting ($40/mo), a streaming news feed ($100/mo), a trading journal ($30/mo) and a replay simulator on top can cost well over $2,000 a year before you place a single order.

A flat subscription is paid whether or not you use it. If the market goes quiet or you skip reviews for two weeks, that money is gone. Buying data per day instead gives you:

No replay subscription: Market Replay is included in Trandence at no charge during our Beta.
Granular data purchases: Databento bills historical data by size — about $0.40 per GB for MBP-10, on the data size before compression, as shown in the portal’s estimate.
Files you keep: Once you download a day’s data, the file stays on your disk. You can import it again months later without paying twice.

If you study four or five trading sessions a month, your data bill is measured in small change, not in subscription invoices.

Candlesticks vs. Order Book: Why Level 2 Replay Matters

Candlestick charts (OHLCV) aggregate trades into fixed time buckets: 1-minute, 5-minute or daily bars. They show where price went, but discard how it got there.

Level 1 feeds add the current best bid and offer (BBO), but hide the resting depth right behind the inside market.

For meaningful post-trade analysis of intraday momentum you need MBP-10 (Market by Price — 10 levels). It records every trade together with every price and size change across the ten best bid levels and the ten best ask levels.

Deconstructing an Intraday Breakout Failure

Consider an active momentum stock testing a pre-market high at $15.00 shortly after the open:

What a candle chart shows: An aggressive green 1-minute candle drives from $14.70 to $15.02, then leaves a long upper shadow and closes at $14.78. A typical review calls it a “failed breakout” or a “rejection wick”.
What an MBP-10 replay reveals:
- At 09:31:15 ET, an offer of 12,500 shares appears at $15.00 on Nasdaq.
- Time & Sales prints rapid green trades at $15.00 — buyers are lifting the offer.
- Despite 30,000 shares trading at $15.00, the size on the offer barely moves. It looks like an iceberg order quietly refreshing liquidity to absorb the buying.
- Meanwhile, bids resting at $14.98 on NYSE Arca are pulled before they are hit.

The reversal was not a mystery. It was a liquidity wall absorbing aggressive buying, visible in the book and on the tape. Studying both is how day traders learn to tell absorption from genuine momentum continuation.

Understanding Databento Data Costs and File Sizes

Before ordering, it helps to know how Databento measures its usage-based data:

Billed on size before compression: about $0.40 per GB for MBP-10. The portal shows the size and the price before you submit.
Much smaller downloads: exports are compressed with zstd. A day that is billed as roughly 400 MB can arrive as a .csv.zst file of only a few tens of MB — in our examples, about 15 to 40 MB per exchange.
Priced per exchange: each exchange is a separate dataset and a separate charge. In our example, a full session (04:00–20:00 ET) of an active small cap on Nasdaq was estimated at about $0.15. Busier exchanges and busier days cost more.
Several exchanges add up: three exchanges (NYSE Arca, Nasdaq and Cboe EDGX) cost roughly the sum of their single-exchange prices, and NYSE Arca usually carries the most data. Check the portal’s estimate for your symbol and date before you submit.

Exchange Coverage: A Few Exchanges Carry Most of It

A US stock does not trade on a single exchange. Orders are routed across more than a dozen lit exchanges and many alternative trading systems. You do not need all thirteen feeds to get a useful replay.

In our own sample — 16 small-cap momentum stocks over 22 trading days, January to August 2026 — exchange volume split like this:

NYSE Arca Integrated (ARCX.PILLAR): ~41% (29–54% range)
Nasdaq TotalView-ITCH (XNAS.ITCH): ~21% (9–28% range)
Cboe EDGX Depth (EDGX.PITCH): ~18% (10–34% range)
MEMX MEMOIR Depth (MEMX.MEMOIR): ~7% (4–17% range)
Cboe BZX Depth (BATS.PITCH): ~5% (3–10% range)
MIAX Pearl Depth (EPRL.DOM): ~3%
Cboe EDGA Depth (EDGA.PITCH): ~2%
NYSE Integrated (XNYS.PILLAR): ~1.5%
The remaining five exchanges: about 2% combined

What that means in practice

A solid baseline: NYSE Arca and Nasdaq together cover roughly 60% of exchange volume in our sample. Adding Cboe EDGX brings it to about 80%. These shares change over time and differ from stock to stock.
Off-exchange volume: roughly 40% or more of all US stock volume executes off exchange — in dark pools and with wholesalers. Those trades are not on any public order book, so no exchange dataset contains them. Volume in an exchange-based replay will read lower than the consolidated volume your broker shows, and VWAP can differ from it.

Step-by-Step: Exporting and Loading Databento Data

The quick way: Trandence Tick Downloader

Trandence Tick Downloader is a free, open-source app for Windows and macOS. Enter your Databento API key, a ticker and a day: it shows the price of each of the 13 exchanges and downloads the ones you tick straight into a folder — in minutes, with no portal forms and no hours of file preparation. The files are the same ones the portal gives, with the same names, so you can go straight to Step 3.

Prefer the Databento portal? Steps 1 and 2 show how.

Step 1: Request data from Databento

Sign up at databento.com and add a payment method under Billing. The usage-based plan is enough — no monthly subscription is needed.
In the portal, open Data catalog → Databento US Equities → Pricing to see the estimate for your symbol and date.
Click Start request, choose the exchange (for example NYSE Arca or Nasdaq), set Schema to MBP-10 and set the Time range (UTC). For one full session — pre-market, regular hours and after-hours — set the same date as start and end, for example 2026-08-12 → 2026-08-12. Do not pick MBO, MBP-1, BBO, TBBO, trades or OHLCV.
Click Customize download, then in Batch download set Encoding to CSV (DBN and JSON are not supported by Trandence yet), Compression to zstd and Delivery method to Direct download. Leave the advanced options as they are.
Submit the request. Databento prepares the files on its side, which can take up to several hours. The Download center shows the status.

Step 2: Download your files

When the request is ready, download the files from the Download center. Each day comes as a file named like xnas-itch-20260812.mbp-10.csv.zst. The .json files that come with it are not needed by Trandence.

Step 3: Import into Trandence Market Replay

Open Trandence in a current desktop browser.
Open Market Replay from the sidebar and click Import data.
Drop your .csv.zst file in — or several exchange files of the same day at once.
Click Check files. Trandence checks that each file is MBP-10, that it holds one symbol, which trading days it covers, and that no exchange appears twice for the same day; anything else is rejected with an explanation.
Click Import. The files are converted in your browser and saved in its local storage (IndexedDB).

The Market Replay Workspace

Opening a saved day starts the replay:

Timeline and time field: the timeline spans the session from 04:00 to 20:00 ET. Drag it, switch between 0.5×, 1× and 2× speed, or click the time field, type a time such as 09:30 or 10:14:25 and press Enter to jump straight to a setup.
Two candlestick charts: both start at 1 minute and can switch to longer intervals. They mark the day’s key levels — pre-market high and low, the opening range and the previous day’s high — and take any number of EMA, SMA, VWAP and anchored VWAP indicators. Drawings are kept per symbol, so a level you drew on one day is still there on the next.
Market Depth (Level 2): the ten best price levels of every imported exchange, bids on the left and asks on the right. Sizes show in 100-share lots rounded up by default (150 shares shows as 2), or as exact shares via the widget settings.
Time & Sales: trades print newest first, coloured by where they traded against that exchange’s quote — green at or above the ask (buyers lifting the offer), red at or below the bid (sellers hitting the bid), neutral in between, such as midpoint fills.
Adding exchanges later: start with Nasdaq, decide later that you want NYSE Arca too — import the new file and choose Add to the saved replay. The new exchange is merged into the day you already saved.

Requirements and Trade-offs

A local-first design comes with a few constraints:

Browser-bound storage: replays live in your browser’s storage. A day imported in one browser is not available in another browser or on another device until you import it there too.
Clearing site data deletes replays: clearing this site’s data (cookies and site data) in your browser removes your saved replays. Delete older days from the Replay library to free disk space.
Screen size: two charts, a 10-level book and a fast tape need room, so Market Replay works on computers and tablets, not on phones or in windows narrower than 768 pixels.
Beta: Market Replay is in Beta. Features and layouts will keep evolving with your feedback.

Who This Workflow Is (and Isn’t) For

A BYOD workflow trades some convenience for a lot of cost efficiency.

Not the best fit for:

Swing traders: if your edge lives on 4-hour or daily charts, sub-second order book changes add little.
One-click convenience: Databento needs an account, an API key and a choice of exchanges. The free Trandence Tick Downloader turns the download into a few clicks, but it is still a separate step before you replay. If convenience matters most and an annual simulator plan is no concern, an all-inclusive simulator gets you there faster.
Paper trading: Market Replay is built for post-trade review, reading the auction and tape-reading practice. It has no order entry, fill simulation or paper portfolio.

A great fit for:

Small-cap and momentum day traders whose entries and risk depend on spotting bid support, offer absorption and tape acceleration.
Focused weekend reviewers who study a few key setups a week and do not want to pay all year for software they open a few hours a month.
Traders who value privacy: the market data you import stays on your own machine.

For exchange choices and schema details, read the full guide: Getting Market Data From Databento. Or get the files in a few clicks with the free Trandence Tick Downloader.

Disclosure: comparisons with third-party platforms and prices are based on publicly available information as of September 2026. Trandence is not affiliated with, endorsed by or partnered with Databento or TradingSim.