Large prints on the tape and what they mean

A large print on the tape is a trade much bigger than the usual trade size in that market. The tape, also called time and sales, is the list of trades in the order the exchange reported them. Each row has a time, a price, a size and an aggressor side. This note reads large prints in one invented sequence in the E-mini S&P 500 future, ES, and then reads the same trades in Liquivue. The note on time and sales explained covers the columns of the tape.

What counts as a large print

No exchange labels a trade as large. The trader picks a threshold, and the platform highlights or filters prints at or above it. The threshold depends on the market. In ES, many prints are 1 to 5 contracts, so a threshold of 50 picks out a small share of prints. In the Micro E-mini, MES, each contract is one tenth the size of ES, so 50 contracts is a smaller position.

You can set the threshold from your own data. Take an hour of prints, sort them by size, and find the size where the biggest 1 percent begins. Write that number down so you can compare one session with the next.

The example sequence

Here are twelve ES prints over 3 seconds. All numbers are invented for the example. ES moves in ticks of 0.25 points.

With a 100-contract filter, the tape shows one large print, the 150-lot at 5,061.00. In this example, the four prints at 10:42:03.20 come from one buy order that cleared the offers at four prices. They add up to 180 contracts, more than the 150-lot. The filter hides all four, because each print is under 100.

What a large print records

Every print has two sides of equal size. At 10:42:02.40 a buy order crossed the spread and matched 150 contracts of sell orders resting on the offer at 5,061.00. The aggressor is the side whose order crossed the spread, so the tape marks the buyer. The sellers sold the same 150 contracts.

So the print records two facts. Sellers had at least 150 contracts resting at 5,061.00. One buy order took all 150 at once.

What a large print cannot tell you

The tape has no account names. A 150-lot buy could open a position, close a short, hedge another market or fill one leg of a spread. The tape row is the same in each case. This note does not test whether price moves after large prints, and one print holds no information about the next trade.

Why the threshold and grouping change the count

Two settings change how many large prints the same twelve trades produce.

1. The threshold sets the cut. At 100 contracts, one print qualifies. At 50, three qualify, the 150, 60 and 52 lots. At 20, five qualify.
2. Grouping merges prints that share a timestamp and aggressor. With grouping on, the four prints at 10:42:03.20 become one 180-lot, and a 100-contract filter then shows two large prints.

Write both settings beside any count you keep.

The same trades in Liquivue

Liquivue draws each trade as a bubble on its liquidity heatmap, and a bubble grows with the contracts traded. In this example the 150-lot is the largest bubble, at 5,061.00 at 10:42:02, on the same row as the offer band. The four prints at 10:42:03 form a short diagonal of bubbles from 5,061.25 to 5,062.00, and the bands at those prices end as their orders fill.

Liquivue has no verified standalone time and sales window, so you read size from the bubbles, not from a scrolling list. The heatmap shows the resting size before and after each print, which a tape row does not hold. Suppose the band at 5,061.00 showed 400 contracts before the 150-lot and 250 after. Then 150 contracts traded and 250 still rested on the offer.

The Liquivue CVD study adds the signed size. Buyers took 339 contracts in these twelve prints and sellers took 7, so CVD rises by 332. Liquivue also has sweep markers. A sweep is an order like the 180-lot buy at 10:42:03 that clears several prices at once. Read the marker settings to see what size a sweep needs before Liquivue marks it.

Large prints on other platforms

Bookmap lists a Time & Sales window and volume bubbles on desktop. Quantower includes Time & Sales in its free tier. ATAS lists Smart Tape, and Jigsaw lists Depth & Sales and a Reconstructed Tape. These windows list prints in order, so they suit a trader who wants to read each row. Check the size filter settings in each one before you compare counts.

If you want large prints drawn against resting liquidity for futures in a browser, Liquivue costs €20 a month and Bookmap Global costs US$49 a month, with market data extra on both. The cost audit lists the conditions on each price.

A check you can run

Note one hour of ES prints on your platform. Count the prints at or above 50 contracts. Then turn grouping on, if your platform has it, and count again. If the second count differs from the first by more than a third, record the grouping setting beside every large print you log.