Big trade bubbles tagged by what happened in the book: W hit a resting wall, C consumed the book, P the book was pulled.
In plain English
What it shows
- Bubbles for the largest aggressive orders (an aggressive order takes the price on the other side instead of waiting). A letter says what the order book did: W hit a resting wall, C consumed several levels, P the book was pulled.
- Buyers and sellers have separate colours.
How traders use it
- See where large orders landed and how the book reacted.
- Filter by size to keep only the biggest.
What it does not tell you
- Fills are joined into one order by timing and price, so the tags are estimates.
- A big order does not mean price will follow it.
Overview
Big Trades (L2) marks the largest aggressive orders, like Big Trades, and adds a letter from the order book: W when the order hit a resting wall, C when it consumed levels of the book, P when the book was pulled ahead of it.
Buyers and sellers are coloured separately.
How it works
Fills on the same side within a short burst (150 ms gap, up to 4 ticks of price walk) are joined into one order. Automatic mode picks the size threshold from recorded trades; Manual uses your own band. The book state around each order decides its tag.
How to use it
- Use it to see whether big orders met resting size or ran into an empty book.
- Some traders watch W tags near walls on the heatmap.
- Hover a bubble for its size.
These are ways some traders read it, for learning. They are not trade signals.
Settings
| Setting | Default |
|---|---|
| Data | |
| Aggregate fills into one orderConsecutive same-side prints in a short burst count as ONE order. | On |
| Burst gap (ms)Largest pause between two fills of one order. | 150 |
| Price walk (ticks)A sweep through up to this many ticks counts as one order. | 4 |
| Also count fills at one price over (s)Adds up same-side fills at the same price over this many seconds, so a big order filled by many small ones shows. 0 = off. | 0 |
| Filter | |
| FilterOptions: Automatic, Manual | Automatic |
| IntensityAbout 40 / 25 / 15 / 8 markers per session. Very low = more markers.Options: Very low, Low, Medium, Strong | Medium |
| Min size (contracts) | 0 |
| Max size (0 = no limit)Run two copies with different bands. | 0 |
| Plot | |
| MarkerOptions: Circle, Square, Diamond, Text only | Circle |
Show all 16 settings
| Setting | Default |
|---|---|
| Size scale (SD)Higher = markers grow more slowly with impact. | 1 |
| Fill opacity | 0.7 |
| Buyers (hit the ask) | #03c988 |
| Sellers (hit the bid) | #f23645 |
| Show size | Off |
| Show fills count | Off |
| Show W / C / P tagsW = the order hit a resting wall that held. C = the resting size was consumed. P = the resting size was pulled. | On |
Notes and limits
- Pro: needs the full order book (Data feed L2).
- Needs the full order book (Data feed L2), which is part of Pro. Works on NQ, ES, YM, RTY, CL and GC futures (micros use their mini's book) and on crypto order books.
- Joining fills into one order and the tags are estimates from timing, price and book changes.
Education only. Not financial advice. Indicators mark what happened on the chart; they do not predict what price will do. Trading futures, forex, crypto and other markets carries a high level of risk and may not be suitable for everyone.