Regular prints and Sweeps: two shapes

Every print on the chart is one of two kinds. A regular print is one trade, reported once. A Sweep is one order that took shares from several venues within a few thousandths of a second. The shape tells you which: a circle for a regular print, a diamond for a Sweep.

Four types, two shapes

Kind and venue combine into four print types: Lit regular, Dark regular, Lit Sweep and Dark Sweep. Shape follows the kind and color follows the venue, so a Lit Sweep and a Dark Sweep share the diamond and differ only in color. Size and number still give the rank, the same way for all four.

The chart's Prints switches work the same way. Lit and Dark show or hide a venue, Regular and Sweep a kind, and a print shows when both of its switches are on. Turn off Regular and only Sweeps remain, Lit and Dark.

Regular prints

A regular print is any print that is not a Sweep. Most big prints are regular: a single block traded on one venue, the exchange auction that sets the opening or closing price, or a negotiated trade reported off-exchange. They all draw as circles, in the Lit or Dark color.

Some prints carry a fact that the tooltip spells out in words, while the mark stays an ordinary one. A Recurring Block is a large off-exchange trade that keeps repeating at nearly the same dollar size. Its tooltip names it, and its mark is an ordinary Dark circle. The print card says how many prints make up the series.

Sweeps

Market rules allow a special kind of order that can take shares from several venues at once. Each trade it creates carries a flag that says so.

BigTape groups flagged trades that land on two or more venues within 5 milliseconds into one Sweep. Five milliseconds is five thousandths of a second. The flag can also appear on a trade at a single venue, which is why BigTape asks for at least two.

Venues report their parts separately. Without grouping, one Sweep would look like several unrelated trades. Say a Sweep takes $3.10M on one venue, $2.60M on a second, $2.00M on a third and $1.50M on a fourth, all within 5 milliseconds. BigTape shows one diamond for $9.20M.

A Sweep's label gives the spread and the total, for example “Sweep across 4 venues within 5 ms, $9.20M total.” On the chart, a Sweep is a diamond, blue when it was reported Lit and pink when it was reported Dark. Its size comes from the rank of its largest part.

A Sweep tells you one order filled across venues at once. It does not tell you which side, or why.

Order Clusters are ranked

A Order Cluster is two or more Dark prints of $100,000 or more in one ticker, on one day, at the same exact price. Picture seven large Dark prints at $412.10, adding up to $840 million. BigTape ranks that total against the ticker’s own Order Clusters since 2016, the way it ranks a print, and can alert you when one forms.

On the chart it draws as a thin dashed line at its price, from its first trade to its last, with a small dot for each trade; the largest in view carry a label with their rank among the ticker’s clusters. Only large prints count toward an Order Cluster, so a run of small trades never sets one off.

An Order Cluster says the trades happened close together. It does not say they were connected, who traded them or why.