Big Trades and Stacked Imbalances are two detection layers built on the same time-and-sales and footprint data. The first marks single executions above a size threshold; the second marks sequences of diagonal clusters that repeat across consecutive price levels. This reference documents the size tiers, the ratio thresholds, the stacking rules and the display filters.
01 Size-tier definition
A big trade is one aggregated print whose size reaches a configured tier. Because aggregation is applied first, a tier is measured against the merged print rather than against each fill that formed it.
- Tier count — up to four tiers can be defined.
- Tier basis — absolute size, or a multiple of the average print size for the session.
- Average window — the lookback used to compute the average print size.
- Side handling — bid-side and ask-side trades can use the same tiers or separate tiers.
A common starting configuration uses tiers at 20, 60 and 150 contracts on a liquid interest-rate contract, with the average window set to the full session.
02 Imbalance ratio thresholds
A diagonal imbalance compares the volume on one side of a price level with the volume on the opposite side of the neighbouring level. The ratio expresses how many times larger the dominant side is.
| Ratio | Ticks compared | Marking |
|---|---|---|
| 200% | 1 | Light shade |
| 300% | 1 | Medium shade |
| 400% | 1 | Strong shade |
| 500% | 2 | Strong shade |
The ratio is computed on each diagnostic of the footprint row at the moment the row is complete. Values below the lowest configured threshold are left unmarked.
03 Consecutive-stack rules
Stacked imbalances are formed when diagonally aligned imbalances appear on consecutive price levels without an interruption. The stacking rule defines how strictly the levels must be consecutive.
- Strict — every intermediate level must carry an imbalance at or above the threshold.
- Tolerant — one level inside the run may fall below the threshold without breaking the stack.
- Directional — the run must remain on one side of the book, either bid-side or ask-side.
- Minimum stack height — the number of levels a run must cover, from 2 to 12.
Raising the minimum height from two to four removes most isolated pairs and leaves the longer runs, which are the ones usually worth reviewing.
04 Minimum print count
Each marked block records how many separate prints contributed to it. Requiring a minimum print count filters out blocks that were formed by very few large fills.
| Detection | Default | Range |
|---|---|---|
| Big trade | 1 | 1 to 50 |
| Single imbalance | 2 | 2 to 25 |
| Stacked imbalance | 3 per level | 3 to 100 |
The count is stored with the block, so a later change to the minimum does not rewrite blocks already drawn on the chart history.
05 Display of detected blocks
Detected blocks are drawn as an overlay on the footprint chart. Big trades appear as a marker in the cluster cell; imbalances appear as a shaded background across the cell pair; stacks appear as a bracket spanning the run of levels.
- Marker shape
- The outline drawn inside the cell for a big trade.
- Shade strength
- The background opacity step applied to an imbalance.
- Bracket width
- The thickness of the line drawn beside a stack.
06 Filtering detected blocks
Once blocks are detected, a filter layer decides which of them remain visible on the chart. Filtering does not change the detection result, so a block that is hidden can be revealed again without recomputing anything.
- By tier — show only blocks at or above a chosen size tier.
- By side — restrict the overlay to bid-side or ask-side blocks.
- By stack height — hide runs shorter than a chosen number of levels.
- By time of day — suppress markers outside a chosen session window.
Related reading: Smart Tape filters, footprint cluster modes and Cluster Search.