5.2. Large Lot Tracker

Large Lot Tracker Application

Bookmap can display an approximation of the largest single pending order at any price level if that order crosses a certain threshold. In order for the Large Lot Trade to be displayed, it has to be at least 20% of the total order size at the relevant price level and at least 10% of the width of the largest pending orders bar.

Large Lot Tracker is displayed by a vertical white line on the order bars on the COB column. The distance between the vertical line and the base of the bar is an approximation of the size of the largest order.

Large Lot Tracker Interpretation

This feature can be utilized to identify the presence of a dominant market participant(s) at a certain price level.

Large Lot Tracker Settings

Once enabled, the Large Lot Tracker Add-on is activated by clicking the studies panel icon above the chart and checking the Largest Lot Tracker check box. Users can set the thresholds that a single order must pass in order to be displayed as a large lot.

There are two thresholds to pass: the size of the order relative to the total size at the relevant price level (Minimum percentage at price level) and the size of the order relative to largest total size at any of the visible order book levels (Minimum percentage in Order Book).

Large Lot Tracker Limitations

The Large Lot Tracker is not based on exchange transmitted data but rather on an internal algorithm that approximates the largest single order at any price level. Therefore, it is not guaranteed to be 100% accurate. It requires the COBB (current order book bars) to be defined as one of the user’s columns selection.