Support Board
Date/Time: Sun, 24 Nov 2024 16:01:19 +0000
Large Volume Trade Indicators - Passive vs Aggressive Orders
View Count: 1087
| [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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| [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. |
| [2024-01-21 20:30:52] |
| User951086 - Posts: 23 |
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No, because if multiple individual traders sold into the bid, that would constitute multiple trades (transactions) and not a single large trade.
@User431178, the aforementioned issue can be resolved by enabling the "Combine Trades into Original Summary Trade" setting. Therefore, there still remains uncertainty regarding whether the individual trader was on the BUY SIDE or the SELL side. I would greatly appreciate it if SC could provide clarification on this matter because I do not want to speculate about this tool. |
| [2024-01-21 21:45:12] |
| User431178 - Posts: 541 |
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the aforementioned issue can be resolved by enabling the "Combine Trades into Original Summary Trade" setting. That is not right, that setting combines trades that are part of a single market order but trade against multiple limit orders. It is categorically not combining multiple aggressor orders from different traders. There is no speculation or uncertainty, if you see a large volume sell trade it is sell aggression, the passive order size does not factor into it. If you don't get the answer from the Sierra team, you can easily find the answer yourself on the CME website, for example. |
| [2024-01-21 22:24:28] |
| Sierra_Chart Engineering - Posts: 17156 |
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We agree with post #4. Also refer to this setting: Chart Settings: Combine Trades into Original Summary Trade (Data Feed and Exchange Specific) (Chart >> Chart Settings >> Chart Data >> Chart Data menu) Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2024-01-21 22:25:19
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| [2024-02-11 15:43:36] |
| masedi - Posts: 40 |
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Hi Team, I read the "Large Trade Volume Indicator" documentation and the setting: "Combine Trades into Original Summary Trade" but it is still confusing to me which setting produces which outcome. Particularly the following statement in the documentation is not clear to me: Chart Settings: Combine Trades into Original Summary Trade (Data Feed and Exchange Specific) (Chart >> Chart Settings >> Chart Data >> Chart Data menu) When this setting is enabled, then individual trades which are part of a larger summary trade are combined into a summary trade as reported by the exchange. What does it mean that individual trades that are part of a SUMMARY trade and COMBINED into a SUMMARY trade?? Can someone explain this in layman terms? =========================== My goal is to see the INDIVIDUAL large trade that was executed at different levels due to eating up all the limit orders at each level. To achieve this should the setting be ENABLED or DISABLED? |
| [2024-02-11 15:55:40] |
| cmet - Posts: 551 |
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Issues like this would be solved by having this study (or a new one just like it) based on the Time and Sales data/tools instead of exchange reporting. Plotting TAS data using timestamps and combining records (Same Time and Type specifically) is the closest you're going to get to actual real time executed trade sizes. It removes the obfuscation caused by firms taking advantage of exchange reporting and hiding large size (fire hosing 1 lots for instance). Since the data is already easily constructed in the SC TAS, is there a way to get that information to plot in a similar way to LTVI? |
| [2024-02-12 17:59:24] |
| John - SC Support - Posts: 36238 |
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My goal is to see the INDIVIDUAL large trade that was executed at different levels due to eating up all the limit orders at each level.
To achieve this should the setting be ENABLED or DISABLED? The answer to this question is that you want to have the option for "Combine Trades into Original Summary Trade" set to "Yes". For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2024-02-12 19:29:50] |
| User61168 - Posts: 403 |
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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? +1 for wanting to know the exact split between buy side volume and sell side volume at a chosen price level.
Date Time Of Last Edit: 2024-02-12 19:44:07
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| [2024-05-16 17:16:11] |
| User312901 - Posts: 13 |
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So reading through all this, is the case so that we don't have a way to detect separately: - When a large individual limit order is completely filled by market orders - When a large individual market order is matched to resting limit orders ? |
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