# Deep Trades: the four markers that classify large activity in the book, and what each one really says - Source: https://orderflowfutures.com/en/blog/deepcharts-deep-trades-four-markers - Site: OrderFlowFutures (https://orderflowfutures.com) - Author: Tom, Trader & founder of OrderFlowFutures (https://orderflowfutures.com/a-propos#auteur) - Published: 2026-10-24 - Updated: 2026-10-25 - Reuse: free to quote and cite, with attribution to OrderFlowFutures and a link to the source URL. > Deep Trades (DeepCharts) classifies large activity from MBO data: hollow circle, filled circle, square, diamond. What each marker and its tooltip really say. A 228-contract print scrolls through the Time & Sales. On aggregated data, that is all you will ever know: 228, at the bid or at the ask, at such a time. Was it one 228-lot order, or 228 one-lot orders fired by an algorithm in half a second? Did it hit an empty book, or a 300-lot limit that was waiting for it? The number is identical in both cases, and the read is the opposite. **Deep Trades**, the indicator DeepCharts introduced in version 15.6 on top of MBO data, was built to answer exactly those two questions, and it answers them with four shapes on the chart. This article says what each of the four shapes means, what their tooltips contain, how to read them on a footprint, and why the size of a trade is never enough to give you the direction. **Deep Trades classifies large executions from order-by-order (MBO) data into four markers: the hollow circle for a large trade made of small quantities, the filled circle for a large trade made of large individual quantities, the square when a large resting order gets hit, and the diamond when a large aggressive order hits a large resting order directly, the case DeepCharts calls the most significant. It requires a feed with MBO (Rithmic, or dxFeed Level 2) and cannot rebuild history. A marker tells you who hit hard and against what; the price reaction right after tells you whether it was initiation or absorption.** --- ## 1. What Deep Trades is, and what it is not Checked on 24 October 2026 on the DeepCharts help center. Two indicators carry a similar name, and the mix-up is common: | | Big Trades | Deep Trades | |---|---|---| | Former name | Deep Trades, before version 15.6 | new in 15.6 | | Data | aggregated trades from a regular feed | MBO, order by order | | What it shows | bubbles proportional to trade size | four markers that classify the trade's structure | | Feed required | any futures feed | Rithmic Level 1 or 2, dxFeed Level 2 with DOM Type on MBO | Big Trades answers "how much". Deep Trades answers "made of what, and against what". If your feed has no MBO, Deep Trades stays empty whatever the settings: that is not a configuration problem, and the [Big Trades](/tutoriels/big-trades) tutorial is the one you need. Deep Trades' settings, tab by tab, are in the [Deep Trades tutorial](/tutoriels/deep-trades); here we talk about reading. --- ## 2. Why aggregated data cannot do this job A regular feed delivers trades: a quantity, a price, a side. MBO data (*Market By Order*) delivers the orders themselves: every resting order has an identifier, a size, a position in the queue, and every execution says which aggressive order consumed which resting order. It is the same raw material that [iceberg detection](/blog/how-to-detect-iceberg-orders) and the reading of a [stop hunt](/blog/stop-hunt-liquidity-sweep-order-flow) rely on. With that material, Deep Trades can tell apart four situations a Time & Sales lumps together: - a large volume made of **many small aggressive orders**, typical of algorithmic execution or a burst of stops; - a large volume made of **a few large aggressive orders**, someone who wants their size now; - an execution that **hits a large resting order**, the limit that was waiting at that price; - a large aggressive order that **hits a large resting order directly**, both sides large at the same price and the same instant. That fourth situation is the one an order flow trader cares about most, and it is the one the indicator reserves its "battle" colors for. --- ## 3. The four markers, one by one The screenshots below come from a DeepChart footprint fed by dxFeed, in default colors: green for executions at the ask (aggressive buying), purple for executions at the bid (aggressive selling). The number inside the marker is the trade size the indicator retained, and the tooltip, on hover, gives its composition. ### The hollow circle: Big Trade DeepCharts defines it this way: it prints "when a large trade is composed of smaller individual quantities combined together". The tooltip is titled **Big Trade** and gives three numbers. ![Big Trade tooltip on a green circle: Qty 228, Avg 1, Max 150.](/uploads/blog/dt-02-big-trade.jpg) On the screenshot: **Qty 228, Avg 1, Max 150**. Two hundred and twenty-eight contracts in total, an average individual quantity of 1, and the largest piece at 150. In other words, one large piece and dozens of single lots, grouped by the indicator into one event because they arrived together, at the same price. That profile, many small pieces with an average close to 1, is the signature of a sliced execution, whether it comes from an algorithm slicing a parent order or from a cluster of stops firing in a chain. ### The filled circle: Big Order It prints "when a large trade is composed of big individual quantities". The tooltip is titled **Big Order**. ![Big Order tooltip on a green circle: Qty 200 of 1.](/uploads/blog/dt-03-big-order.jpg) On the screenshot: **Qty 200 of 1**. The help page does not document these fields; the reading consistent with the marker's definition is two hundred contracts, in a single order. A participant sent 200 lots to market in one go. That is neither a slicing algorithm nor stops: it is a decision, made by someone willing to pay the spread to get their size right now. ### The square: Big Resting Order It prints "when a big resting order on the passive side is hit". The tooltip is titled **Big Resting Order** and gives a single number. ![Big Resting Order tooltip on a green square: Qty 300.](/uploads/blog/dt-04-big-resting-order.jpg) On the screenshot: **Qty 300**. A 300-contract limit was waiting at that price, and it has just been executed, at least in part. The square says nothing about the aggressor, it speaks about the defense: someone had placed 300 lots there, and the market came to get them. Color follows the side of the execution: a green square is a sell limit hit by buyers, a purple square a buy limit hit by sellers. ### The diamond: Big Order vs Big Resting Order It prints "when a large aggressive trade hits directly on a large resting passive order". It is the marker DeepCharts calls the most significant, and the only one that takes the *Ask color battle* and *Bid color battle* settings. The tooltip is titled **Big Order vs Big Resting Order** and gives both sides. ![Two diamonds with their tooltip: on the left, purple, Aggr. Qty 71 of 3 against Rest. Qty 100; on the right, green, Aggr. Qty 207 of 12 against Rest. Qty 300.](/uploads/blog/dt-05-losanges-battle.jpg) Two examples on the screenshot. On the left, in purple: **Aggr. Qty 71 of 3, Rest. Qty 100**. Seventy-one contracts sold at market in three orders, against a 100-lot buy limit. On the right, in green: **Aggr. Qty 207 of 12, Rest. Qty 300**. Two hundred and seven contracts bought at market in twelve orders, against a 300-lot sell limit. In both cases the top line describes the attack and the bottom line the defense, and that is the whole point: you know both sides were large at the same price, and in what proportion. --- ## 4. Reading the markers on the footprint A marker on its own says nothing. What matters is where it lands in the candle, on which side, and what price does right after. Here is the read on the screenshot that opens this article. ![Three bearish candles then one large green candle: a filled purple circle at 659 at the bottom of the second, a purple diamond at 553 at the bottom of the third.](/uploads/blog/dt-01-cercle-losange-footprint.jpg) Three bearish candles in a row. At the bottom of the second, a filled purple circle marked **659** on a level where the footprint shows 894 at the bid against 193 at the ask: a large market sell, in large quantities, at the low of the move. At the bottom of the third, a purple diamond marked **553**: another large sell, but this one hit a large resting buy order directly. Then the next candle is a large green one. The sequence reads like this: large sellers pushed into the low, the last one met a large buyer who was waiting for it, and price turned the other way. The diamond materialized the absorption as it was happening; the green candle confirmed it. It is exactly the mechanism described in the [Punch to the Wall pattern](/blog/punch-to-the-wall-order-flow-pattern), seen from the order-by-order flow instead of volume alone. Three reading rules follow: 1. **The side says who hit, not where price goes.** A purple circle is aggressive selling. If price keeps falling behind it, it was initiation; if it stalls and climbs back, it was absorption. Shape and color do not decide, the next candle does. 2. **The diamond is the most informative because it names both sides.** Compare the two lines of the tooltip: 71 against 100, the attack did not exhaust the defense; 207 against 300, no more so. An attack larger than the defense, followed by price going through, is a fed breakout; an attack smaller than the defense, followed by price stalling, is a defense that holds. 3. **Clusters matter more than single prints.** Several squares and diamonds on the same side, over two or three levels, at the end of a move, weigh more than an isolated circle in the middle of a trend. The indicator's opacity gradient, faint for trades that barely clear the threshold, strong for the largest, exists precisely to make those clusters stand out at a glance. And one warning that applies to all of order flow: [lots of volume for little price is the market's normal state](/blog/effort-vs-result-order-flow), not a signal. A 553 diamond only becomes information because it lands at the bottom of three bearish candles, against a large buyer, and a green candle follows it. --- ## 5. The settings that change the read Every tab is detailed in the [Deep Trades tutorial](/tutoriels/deep-trades). Three settings bear directly on what you see: - **Filter Mode.** In *Manual*, the size threshold is set by hand, sixty by default. In *Automatic*, DeepCharts adjusts it to the instrument's recent liquidity, and *Automatic Intensity* (Low, Medium, Strong) tightens or loosens the filter. On a liquid instrument, NQ, ES, FDAX, start in Automatic Medium; on a quiet instrument, a manual threshold gives a more stable result. - **The "battle" colors.** Give the diamonds a shade clearly different from the circles and squares. It is the marker that carries the most information, it has to be visible from across the room. - **Days to Load.** Ten by default, but limited to the days already collected: MBO data cannot be downloaded retroactively, it accumulates in real time while DeepChart is running. On a fresh install the indicator is empty on day one, and that is normal. The sound alerts, separate for bid and ask, follow the same threshold as the filter: if they ring constantly, raise the threshold rather than muting the alert. --- ## 6. What Deep Trades does not tell you **It does not tell you who.** MBO data identifies orders, not participants. A 200-lot order is a 200-lot order: fund, market maker, funded trader with too much leverage, the indicator does not tell them apart and no tool does. **It does not tell you whether the defense held.** The square and the diamond mark that a large resting order was hit, not that it was fully consumed nor that it reloaded. To know whether the level holds, you need the DOM or the heatmap, and the next candle. **It does not replace the footprint.** Deep Trades isolates a handful of events per session. Everything that happens between them, diffuse absorption, imbalances, delta, stays in the footprint and the delta. The indicator is a highlighter, not a complete read. **It does not exist without MBO.** Rithmic Level 1 or 2, or dxFeed Level 2 with DOM Type set to MBO in Feed Settings. dxFeed Level 1 is not supported. The data feed is a subscription separate from the DeepChart license; the steps to connect it are in [connecting dxFeed](/tutoriels/connexion-dxfeed-propfirm). --- ## 7. Activating Deep Trades Deep Trades is a DeepChart indicator: it needs a platform license and a feed with MBO. The [DeepCharts](/deepcharts) pillar details every tool and every plan, and the [Deep Trades](/deepcharts/deep-trades) sheet summarizes the indicator. **[Activate DeepCharts →](/go/deepcharts?p=deepchart&from=blog-deep-trades)**: promo code **OFF** comes already filled in: an extra 10% off every plan, monthly or yearly, on top of whatever discount DeepCharts is running. Not using the link? Enter **OFF** at the Payment step. Details and per-plan math: [DeepCharts promo code](/deepcharts-code-promo). This is a partner link and it keeps this site running. The reservations in this article, the mandatory MBO feed, the absence of history and the fact that a marker never gives you the direction on its own, are here because they are true, not because they help sell. --- ## Frequently asked questions **What is the DeepCharts Deep Trades indicator?** A DeepChart indicator, introduced in version 15.6, that classifies large executions from MBO (order-by-order) data into four markers on the chart: hollow circle, filled circle, square and diamond. Each marker says what the trade was made of and what it was executed against. **What do the four Deep Trades markers mean?** The hollow circle (Big Trade) is a large trade made of small individual quantities. The filled circle (Big Order) is a large trade made of large individual quantities. The square (Big Resting Order) marks a large resting order that got hit. The diamond (Big Order vs Big Resting Order) marks a large aggressive order hitting a large resting order directly, the case DeepCharts considers the most significant. **What is the difference between Deep Trades and Big Trades?** Since version 15.6, the former Deep Trades is called Big Trades: it plots bubbles proportional to trade size, from aggregated data, without MBO. Today's Deep Trades is a separate indicator that requires MBO data and classifies the structure of trades instead of merely measuring them. **Does Deep Trades work without MBO data?** No. It needs Rithmic Level 1 or 2, or dxFeed Level 2 with DOM Type on MBO. dxFeed Level 1 is not supported. Without MBO the indicator stays empty whatever the settings. **Why does Deep Trades show nothing on past days?** Because MBO data cannot be downloaded retroactively: it only exists if it was collected in real time while DeepChart was running. Days to Load only displays the days already collected on your machine. **Is a diamond a buy or a sell signal?** Neither. It says that a large aggressive order and a large resting order met at that price, and in what proportion. It is the price reaction right after, it goes through or it stalls, that says whether the attack won or the defense held.