Support Board
Date/Time: Sun, 24 Nov 2024 18:28:08 +0000
Post From: Large Volume Trade Indicators - Passive vs Aggressive Orders
| [2024-01-21 11:36:29] |
| User431178 - Posts: 541 |
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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).
The study is showing completed transactions, in other words the matching of aggressor order to passive order, the number shown by the indicator is the size of the transaction which (in general) is the size of the aggressor order. 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. Ignoring the fact that the market order might be filled against multiple limit orders (therefore separate transactions), the large volume trade of 200 came entirely from the LARGE SELLER who got filled at the bid price. 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. No, because if multiple individual traders sold into the bid, that would constitute multiple trades (transactions) and not a single large trade. While these scenarios present distinct possibilities, the large volume trade indicator will visualize both the 1.) and 2.) situations in the same way. It definitely won't, per the previous point. |