Block trades and why they appear on the tape

Block trades are large futures trades that appear on the tape even though they never traded on the order book. The tape, also called time and sales, lists every trade the exchange reports, in order. A block trade is a trade that two parties negotiate privately and then report to the exchange. The exchange publishes it with the other trades, so it shows up on the tape, in volume and on many charts. This note follows one invented block through an ES session in Liquivue and shows what it does to delta and volume. The note on large prints on the tape covers large trades that did match on the book.

How a block trade differs from a normal print

A normal print happens when an incoming order crosses the spread and matches an order resting in the book. The incoming order is the aggressor. The tape marks the trade as a buy if the aggressor bought at the offer, and as a sell if the aggressor sold at the bid.

A block trade skips the book. CME sets a minimum size for each contract that allows block trading. The two parties agree a size and a price, and then one of them reports the trade to the exchange within a time limit. CME then publishes it to the market data feed. Three facts follow from that:

• No resting order filled, so the book looks the same before and after the block.
• Neither side crossed a spread, so the block has no aggressor.
• The price was agreed earlier, so it can sit outside the current bid and offer when it prints.

The example block

All numbers below are invented for the example. The market is the E-mini S&P 500 future, ES, which moves in ticks of 0.25 points. Most prints this morning are 1 to 5 contracts.

At 10:15:30 the market is 5,066.00 bid and 5,066.25 offered. The tape then shows this sequence.

The block printed six ticks below the bid. The prints before and after it trade at the same 5,066.00 bid and 5,066.25 offer. The book at 5,064.50 showed 220 contracts resting on the bid before the block, and it still shows 220 after it.

How the block changes delta

Delta is buy volume minus sell volume, where each trade takes the side of its aggressor. Cumulative delta, or CVD, adds delta from the start of the session. Suppose session CVD reads +1,800 just before 10:15:30. Platforms can treat the block in three ways.

The second rule turns one off-book trade into a 2,500-contract swing. The CVD line on that chart drops in one step, and no aggressive seller sold anything on the book. If two traders compare CVD from two platforms, a block alone can put them 2,500 contracts apart.

How the block changes the volume profile

A volume profile adds volume at each price. Suppose the session profile shows 3,100 contracts at 5,064.50 and 4,900 at 5,066.00, the point of control. If the platform adds the block, 5,064.50 rises to 5,600 and becomes the new point of control. If the platform skips it, the profile stays as it was. The note on developing profiles and why the POC moves shows other ways a POC shifts during a session.

What a block trade cannot tell you

The tape row has no names and no reason. A block can be a fund rolling a position, a hedge against another market, or one leg of a larger deal. The two parties agreed the price before the block printed, so the price says little about the book at 10:15:30. This note does not test whether price moves toward block prices.

Reading the block in Liquivue

Liquivue draws each trade it receives as a bubble on its futures heatmap, sized by the contracts traded. The heatmap colours each price row by the size resting there. Reading the two together tells a block apart from a matched print. On a normal large print, the band at the print price shrinks by the size that traded. On a block, the band stays the same.

In this example, look at the 5,064.50 row at 10:15:30. If Liquivue draws a bubble there, the band behind it still reads 220 contracts before and after. A matched trade of 2,500 contracts would have cleared that band and the rows above it. This site has not verified whether Liquivue receives blocks from Rithmic as normal trades, or whether Liquivue CVD counts them. Run the check at the end of this note on a day when your feed reports a block, and write down what Liquivue CVD and the Liquivue volume profile did.

Liquivue has no verified standalone time and sales window, so you read prints from the bubbles. If you want a scrolling list of every print, other platforms list one.

Blocks on other platforms

Bookmap lists a Time & Sales window on desktop. Quantower includes Time & Sales in its free tier, and ATAS lists Smart Tape. Each platform sets its own rules for trades without an aggressor, so read the delta settings in each one before you compare charts. The cost audit lists Liquivue at €20 a month and Bookmap Global at US$49 a month, with market data extra on both.

A check you can run

Find one print on your chart that sits two or more ticks outside the bid and offer at its timestamp. Note the resting size at that price just before and just after the print. If the size did not change, write down how your platform moved CVD on that print. Repeat this for three prints. The three CVD changes show which rule your platform uses.