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This page explains how BigTape ranks prints, how it finds Dark Levels, Sweeps, Block Bursts and Same-Price groups, and how ratings and Gamma Levels are computed. Every rule belongs to a numbered method version, and every change is recorded in the change log at the end.
Dollar value. Every print is measured by its dollar value, which is its price times its number of shares. A print of 1,613,000 shares at $131.40 is $212M.
Per ticker. Ranks compare a print only with trades in the same ticker. Ranks are all-time for this ticker, since 2016, or since its first covered day if later. The #1 Print is the ticker's largest trade by dollar value in that history. Top 10 and Top 100 are its 10 and 100 largest. A print outside the all-time top 100 has no rank number.
Rare Print. A print bigger than 99.9% of the ticker's trades since 2016, with a $50,000 minimum.
Tiers. A print that qualifies for more than one tier takes the highest. The order is #1 Print, Top 10, Top 100, then Rare Print.
Market Top 10. Today's ten largest single trades by dollar value across every covered stock and ETF. It is the only ranking that compares tickers with each other, and a print's place on it is written as "Market Top 10 · #N today".
As of a moment. Ranks are computed as of the moment shown. Later prints, cancellations, corrections and Late Reports can change them, so a print's details show both its rank when printed and its rank now. In replay, ranks are as of the replay clock.
Labels and rank. Labels such as Extended Hours, Late Report, Ghost Print, Recurring Block, Open Auction and Close Auction describe a print. They do not change how it is ranked.
Exclusions. Canceled trades are removed from ranks and kept on the chart, crossed out. Some reported trade types are excluded from ranks and shown faded, labeled Excluded. The list of excluded types for Method v1 is published in this section before real market data is shown.
Dark Levels. BigTape adds up Dark dollar volume in narrow price bands over the ticker's whole history since 2016. Band width is set as a share of price, so a $20 stock and a $900 stock are measured alike. The bands with the most Dark dollars become Dark Levels. Ranks are all-time for this ticker, since 2016: #1 is the heaviest, ranks go to 100, and smaller levels show without a rank. Of the levels whose price lies in the price range in view, the chart draws the top 5 by all-time rank, or the number the person picks (Off, Show 3, Show 5, Show 10 or Show 20). Levels use only trades up to the moment shown, and in replay only trades up to the replay clock.
Revisits. A Revisit is marked when price trades inside a Dark Level's band after being away from it. The chart marks the first Revisit to each ranked level in a session.
Level Breaks. A Level Break is marked when price moves clearly through a Dark Level ranked #1 to #20 on volume well above usual for that time of day. The mark shows no direction. The candles show which way price moved.
Sweeps. Trades carrying the intermarket sweep flag that land on two or more venues within 5 milliseconds of each other form one Sweep. Its dollar value is the total of its parts, and its mark takes the tier of its largest part.
Block Bursts. Several large Dark prints within a narrow price band and a short time window form one Block Burst. Its label gives the dollar total and the number of prints.
Same-Price ×N. At least three Dark prints at one exact price, with a $1 million minimum, form one Same-Price group. N is the number of prints. The bar runs from the first print to the last.
Thresholds still being set. Some values are still being tested on sample data. They are the Dark Level band width, how long price must be away before a return counts as a Revisit, how far past a level and on how much volume a move counts as a Level Break, and the size, price and time limits for Block Bursts. Their final values are published in this section, as part of a method version, before these marks appear on real market data.
Ratings and Gamma Levels are in testing. They appear with a Preview label and are not part of any plan today.
Strength (1–99). Uses daily closing prices. It combines a stock's price changes over the last 3, 6, 9 and 12 months, giving the most recent 3 months extra weight, then ranks the result against all covered stocks from 1 to 99. 99 is highest.
Earnings Score. Uses reported quarterly earnings and sales. It scores year-over-year growth, whether growth is speeding up, the three-year growth rate and how steady growth has been. It is not a forecast.
Quality Score. Uses reported financial results. It scores profit margins, return on equity and sales growth, and how steady they have been. It is not a forecast.
Group Rank. Uses daily prices of the stocks in each industry group. It scores each group by its members' recent price change and ranks the groups. 1 is highest.
Update times. BigTape rebuilds all ratings each night after the close. Each rating shows its date, such as “As of Oct 2 close”. A value shown during the day is a preview and may differ from the end-of-day value.
Gamma Levels. Use open interest from the previous trading day, and option prices and implied volatility during the day. BigTape estimates each option contract's gamma with a standard option-pricing model, weights it by the contract's open interest and size, and adds the results across strikes. The flip is the price where the model's total gamma switches between positive and negative, found by repeating the calculation across a range of prices. The call wall and put wall are the strikes with the most estimated call gamma and put gamma.
Gamma assumptions. The model assumes a fixed position for the dealers on the other side of open contracts. Real positions are not public, so this assumption can be wrong. Open interest is reported once a day, so the levels reflect positions as of the previous trading day. Every Gamma Level carries the label Estimate.
Every rank, mark, level and rating is computed under a numbered method version, shown as Method v1, Method v2 and so on. A print's details name the method version used. When a rule or threshold changes, the version number goes up, and the change log below records what changed and when. Each study names the method version it used.
Change log