Support Board
Date/Time: Sun, 24 Nov 2024 19:02:02 +0000
Post From: Large Volume Trade Indicators - Passive vs Aggressive Orders
| [2024-01-20 23:20:54] |
| User951086 - Posts: 23 |
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I'm trying to understand how to distinguish whether the large volume trade indicator number primarily came from resting limit orders (passive) or from aggressive market orders (active). Even after going through the documentation multiple times, the distinction is still unclear to me. I would greatly appreciate it if someone from the SC team could provide a clearer explanation. Let me illustrate with an example: Consider a scenario where the large volume trade indicator study shows 200 contracts filled at $4816, and the footprint data reveals 200 contracts filled at the BID. This implies that an individual trader successfully filled 200 contracts at $4816. However, determining whether it was a BUY fill or SELL fill isn't straightforward, as there are two possible scenarios: 1.) The LARGE trader (XYZ) placed a SELL market order for 200 contracts when the Best Bid Price on the market was $4816. Consequently, we can infer that the large volume trade of 200 mostly came from the LARGE SELLER who got filled at the bid price. 2.) On the other hand, it could be that the LARGE trader (XYZ) has a BUY resting order in the market for 200 contracts at $4816. In this case, multiple individual traders sold to that LARGE trader (XYZ) at $4816. Therefore, we can conclude that the large volume trade of 200 primarily came from the LARGE BUYER who had a resting BID order. While these scenarios present distinct possibilities, the large volume trade indicator will visualize both the 1.) and 2.) situations in the same way. What I'm really interested in is whether the 'LARGE TRADE INDICATOR' can clarify whether that individual trader was on the BUY SIDE or the SELL side?. Could someone please explain how I can determine that? Is it possible to discern this information within the large volume trade indicator itself, or would I need to incorporate an additional study? Date Time Of Last Edit: 2024-01-20 23:28:08
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