By Marco BösingWhat Are Big Trades?
Big trades are individual transactions whose volume significantly exceeds the average for the respective instrument. In Nasdaq-100 futures (NQ), the typical threshold is around 25 to 35 contracts, with settings rising to 45, 55, or even 60 on extreme days. In the ES (S&P 500 futures), correspondingly higher thresholds apply. The exact setting is adjusted to current market activity, and this adjustment is itself an important part of the work.
Big trades are relevant because they typically indicate larger market participants. The data is aggregated, meaning it does not necessarily represent a single actor. It can include several participants executing in such quick succession that the data feed groups them together. The issue with trying to isolate individual trades is that our data infrastructure simply cannot keep up with the speed. So we work with aggregated values, and that is perfectly fine.
Detection is accomplished through Time & Sales filters, footprint charts, or specialized order flow software like ATAS or Bookmap, which visually highlight large transactions as colored dots (volume dots) on the chart. Green dots indicate ask trades (market buys), red dots indicate bid trades (market sells).
How Do Big Trades Work?
The big trades indicator essentially does the same thing as a delta volume profile, just in a different presentation. You see where and when someone executed an above-average market order. This allows you to identify aggressive market participants directly on the chart without having to expand a footprint candle.
The thinking behind it is simple: when a big trade appears (say a large market buy on the ask side), someone has aggressively bought with at least the threshold number of contracts. Now the critical question is: did this buyer move price, or not?
If the buyer moved price higher, that is "winning" order flow. It suggests going long. If the buyer could not move price despite trading large, that is "failed" order flow. It suggests going short. Because if someone trading 35 or more contracts cannot push price up, I am certainly not going to push it with my few contracts.
This principle works symmetrically: large sellers who push price down confirm the short. Large sellers who cannot push price down signal that the long is more likely.
Big Trades in Practice
In NQ, I use the big trades indicator as one of my most important tools. Pre-market, I typically work with a threshold of 20 to 25 contracts. At market open, I raise it to 35. On days with extremely high activity, such as after NFP or around FOMC events, I have to push the threshold to 45, 55, or even 60, otherwise the chart gets flooded with prints.
The goal is always the same: I do not want the chart covered in dots. I want to see a print every few minutes, and when things get serious, I see a cluster of prints at a price level. That shows me where the fight is happening, without the picture getting diluted.
A concrete example: NQ is trading at a short-term high. Several green big trade dots appear (buyers). The dots are large, the volume is high. But price does not rise afterward. Immediately after, a red dot appears (seller). This tells me: someone recognized that the buyers failed, and is now aggressively selling. The buyers at high prices are the losers. The short is likely.
Conversely: buyers at low prices who move price higher are the smart buyers. When their big trades shift price, I go long with them. For more detail and chart examples, see our article on spotting big trades.
Common Mistakes with Big Trades
Not adjusting the threshold: Using the same value pre-market as after market open means you either see too little or too much. The threshold must be adapted to current volatility and trading activity. There is no fixed value that always works.
Viewing big trades as a directional signal in isolation: A large buy alone tells you nothing. The decisive question is: did the buyer move price, or not? Only the combination of the big trade and the price reaction produces a tradeable signal.
Ignoring the swiped range: When a big trade pushes price from one level to another (a so-called swipe through the order book), the indicator shows the range through which the participant pushed. This is valuable information because it reveals that a single actor was responsible for that move, which often points to a lack of sustainability.
FAQ
What threshold should I set for big trades in NQ?
As a rule of thumb: 20 to 25 contracts pre-market, 35 contracts after market open. On extreme days (NFP, FOMC, OpEx), the threshold can rise to 45 to 60. The goal is to see only the truly large transactions, not every slightly above-average order. If the chart is covered in prints, the threshold is too low.
What does it mean when big trades fail to move price?
That is a "failed order flow" signal. When someone aggressively buys with 35 or more contracts and price still does not rise, it shows that the opposing side (limit orders or other market sells) is stronger. This suggests the opposite direction. For failed buyers, I look for shorts; for failed sellers, I look for longs.
Do big trades always indicate institutional activity?
Not necessarily. Since the data is aggregated, a big trade can also represent multiple smaller traders who happened to execute in quick succession. Still, volume of this magnitude is unusual and at minimum shows above-average interest at that price level. Whether a single actor or a collective is behind it does not change the trading logic.