Big Trades: configuring the indicator and running Big Trades Analysis

Big Trades plots large aggressive market orders on the chart as circles sized by volume, and can extend those levels into horizontal zones. It is the former Deep Trades, renamed in version 15.6, and it runs without MBO data. This tutorial covers Data Settings, Plot Settings, Zones Settings and the Big Trades Analysis procedure that computes automatic thresholds for each symbol.

Step by step

1. 01

   Tell Big Trades and Deep Trades apart

   Since version 15.6, the indicator formerly called Deep Trades has been renamed Big Trades. The Deep Trades name now belongs to a different indicator built on MBO (order by order) data, with its own tabs. Big Trades works from the aggregated trades of a regular feed: if your feed has no MBO, this is the one you want. Check the settings window title, it should read Big Trades.

   Screenshot to come

   A 15 minute ES chart with Big Trades: numbered circles on the candles and horizontal zones.

2. 02

   Set the source and history (Data Settings)

   Open the indicator settings on the Data Settings tab. Chart area places the indicator on the chart (Horizontal by default). Days to load sets how many days of large trades are loaded, ten in the screenshot: the more you load, the heavier the chart is to recalculate. Input data picks the type of order flow data used, Aggregate trades by default, which groups the fills of a single aggressive order instead of counting them as small pieces.

   

3. 03

   Set the threshold by hand (Filter mode Manual)

   In Manual mode, Manual Filter Min. is the minimum trade size that gets plotted: at 30, only trades of 30 contracts or more appear. Manual Filter Max. caps the size from above, left at 0 in the screenshot. The right threshold depends entirely on the instrument: a filter tuned for ES lets almost nothing through on MNQ and floods the chart on a more liquid contract. Raise it until only a handful of bubbles remain per session.

4. 04

   Style the bubbles (Plot Settings)

   Under General, Marker sets the shape (Circle), Hollow fill draws outlines with no fill, handy over a busy footprint, and Show text prints the trade size inside the bubble. Under Size, Standard Dev. spreads sizes between Minimum size and Maximum size: keep the default, as DeepCharts recommends. Under Color, the minimum and maximum opacities make the largest trades stand out, Ask color marks aggressive buyers and Bid color aggressive sellers. Text Settings only matter once Show text is on.

   

5. 05

   Turn large trades into zones (Zones Settings)

   Switch Enable on so each qualifying large trade extends a horizontal zone to the right. Biggest only limits zones to the largest trades. Shadow mode handles trades printed in the wick, Body mode those printed in the candle body: All keeps everything, Reverse only keeps the side fighting the candle (buyers on a bearish candle, sellers on a bullish one), Trend only keeps the side moving with it, None draws nothing. Number of bars sets the zone length.

   

6. 06

   Switch to Automatic mode

   Rather than hunting for the right threshold, go back to Data Settings, set Filter mode to Automatic and pick an Automatic Intensity: Low, Medium or Strong. These three levels play the role of the Min and Max filters, but are computed by the platform for the displayed symbol. Click Save. Until the analysis in the next step has run, Automatic mode has no optimized threshold to apply.

   

7. 07

   Run Big Trades Analysis

   In the DeepChart menu bar, open Options, then Tool, then Big Trades Analysis, and run it. The algorithm computes thresholds from each symbol's price behavior and volatility, then saves them: no need to rerun it every time you launch the platform, once a week or once a month is enough. If the bubbles do not change straight away, reload or restart the chart.

   

Settings, tab by tab