Big Order

Big Order is an advanced, smart version of the classic Big Trade indicator.

It detects and aggregates fragmented large aggressive orders from Time & Sales. Unlike a standard Big Trade indicator that shows large individual prints as they appear, the VolFix algorithm identifies cases where one aggressive order from a large player is split into multiple smaller executions at different price levels.

The core idea is that a large market order sweeps limit orders from the order book across multiple price levels. When such an order is split by the execution algorithm, VolFix detects the related executions, reassembles the fragments into the original single aggressive order, and displays it on the chart as one consolidated block.

Each Big Order is displayed with its actual total volume and average execution price.

By reconstructing fragmented large orders, Big Order helps traders more accurately identify real institutional and large-player activity that would otherwise be hidden among many smaller prints in the Time & Sales tape.

This functionality is available for CME Group exchanges, including CME, CBOT, NYMEX, and COMEX, as well as FORTS.

To switch to Big Order aggregation in Time & Sales, select Merge by Order.