Change the narration: Sajid: "I am going to the store."

Direct Speech/ Reporting speech  Vs Indirect speech / Reported  speech

Present indefinite      - Past indefinite 
Present continuous-  - Past continuous 
Present Perfect           -Past perfect 
Past indefinite            -Past Perfect 
Past continuous         - Past perfect continuous
Past perfect                - Past Perfect 
Future Indefinite        - Use of modal 

 যেহেতু quoted অংশটুকু present continuous  সুতরাং এর Reported  speech টি হবে past continuous structure অনুসরণ করবে। 

সঠিক বাক্যটি হবে: Sajid told to me that he was going to the store.