Glossary · B
What is Big trade?
A large print on the tape. One real large order often prints as many small fills, so large prints and large orders are not the same thing.
In context
In our own testing, simple "big trade" detection from raw prints was unreliable: most of the prints it flagged were not genuinely large orders at all, precisely because real orders print as many small fills and unrelated small fills can look like one. Grouping prints improved the picture. But even correctly identified big trades were not, on their own, a signal that predicted direction after costs.
Learn it in depth
- Chapter 10: Liquidity, the Order Book and the Tape
- Chapter 12: Honest Research: Testing Ideas Without Fooling Yourself
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