What Is the Big Trades Indicator and How to Use It

What Is It

When an order hits the market, it is matched against resting limit orders. This can cause a large trade to appear small. Most venues provide ways of reconstructing the trade into its original quantity.

A big trade indicator simply reconstructs orders into their original quantity.

Below we have a market sell of 4 contracts occur.

Raw Tape

Reconstructed Tape (Big Trades)

The big trade indicator is an overlay for charts that takes this reconstruction logic and displays these trades with circles. The larger the circle - the bigger the trade. Below is a chart showing us all big trades but this can be overwhelming and hard to read.

Here we implement a filter of ‘60’ - only show trades greater than 60 contracts.

How to use it

The idea is that large trades are more likely to be smart money. Where are these trades occuring

• Clusters = repeated participation at a level
• Large trades with no price movement = absorption
• Large trades that move price = initiative

Try Big Trades on a footprint chart in the docs.

How It's Constructed

Different platforms use different methods of trade construction.

Platforms like Sierra Charts and MarketByOrder use match events. For example the CME publishes a several match events that span several prices. We take all the values from the several events and add them together.

Other methods of aggregation like combining events with the same time is inaccurate.