Reading 5: Deep Trades and Big Trades, the big-lot activity

In the stream of executions, not everything carries the same weight. A 200-contract block on ES is a player who moves the market, not a retail trader. Big Trades isolates those blocks on aggregated data; Deep Trades, on MBO data, also says what they ran into on the other side. This reading teaches you to see a cluster rather than a bubble, and to tell an initiation from an absorption.

Read a cluster, not a bubble

An isolated bubble says nothing: a large execution can be an initiation (price follows) as much as an absorption (price stalls). It is the cluster, and its position, that speak.

• A cluster of buying bubbles at a low, against a heatmap band, and price does not break through: large buyers are absorbing the decline. It is an institutional entry, live.
• A cluster of buying bubbles at a high, and price stops making progress: the big players are buying at the top and getting filled by passive orders. With a high Δ % in Deep Stats, it is the absorption of reading 2.