Different Types of Input Data for Indicators

Different Types of Input Data for Indicators

Types of Input Data for Indicators 

When you open any indicator's settings and go to Data Settings, you'll see a field called Input Data. This controls where the indicator gets its information from. Choosing the right type can make a big difference in what your indicator catches, and what it misses.

There are three main options: Volume, Order, and Aggregate.


1.Volume Type (Basic)

Volume is the simplest option. It reads the raw transaction data directly from the exchange — every buy and sell as it happens.

Here's the catch: exchanges record each individual fill separately. So if one buyer purchases 30 contracts, but those contracts come from three different sellers (10 each), the exchange logs it as three separate 10-contract trades — not one 30-contract trade.

This matters a lot if you're using something like a Big Trades indicator. If your minimum threshold is set to 30 contracts, that 30-contract trade will be completely invisible — because the indicator only sees three small 10-contract fills.

Bottom line: Volume is raw Transaction data on the exchange, but it can miss large trades that were filled across multiple passive orders.

2.Order Type(Smarter Grouping with MBO Data)

The Order type goes a step further. It requires a special data feed called MBO (Market by Order), which provides extra detail about each transaction — including something called an aggressor ID.

Think of the aggressor ID as a fingerprint for the trader placing the market order. Even if a large institution splits a 500-contract order into 100 smaller 5-contract orders to stay under the radar, every one of those smaller orders will share the same aggressor ID. The Order type uses this to recognize that they all came from the same trader and counts them as one large trade.

You can actually see this extra detail yourself by opening the Advanced Time & Sales window and enabling the List column — it shows which passive orders were consumed by each aggressor, giving you a much clearer picture of what's really happening.


The List column displays the top two largest passive orders that were consumed by an aggressor mean it give us some more detailed view of the transaction by also providing information about the passive side of the transaction and Aggressor ID of all transaction. For example, in the image below, we can see a highlighted row showing a 54-contract aggressive order. The two largest passive orders it consumed were 48 and 4 contracts, which are shown in the List column.



Important: Aggressor IDs are only available on live market data. If you reload a chart from the historical data server, those IDs won't be there, and the Order type will behave just like Volume. For this reason, Order mode is designed for live trading — not historical analysis.

3.Aggregate Type(The Most Advanced Detection)


Even the Order type has a weakness. Sophisticated institutions know that traders watch aggressor IDs, so they take it a step further: instead of splitting one order across multiple smaller orders from the same account, they execute from dozens of completely different accounts. Now every transaction has a different aggressor ID, and the Order type can't connect the dots.

This is where our Aggregate type comes in. Built by the DeepCharts team, it uses a proprietary algorithm that doesn't rely on aggressor IDs at all. Instead, it analyzes the behavior of the tape itself — things like the speed of incoming transactions, the clustering of volume, and other behavioral signals that reveal when a large coordinated order is being executed.

The logic: even if 500 contracts are placed from 50 different accounts, they all need to get filled as close together as possible to minimize slippage. That urgency leaves a signature on the tape — and Aggregate is designed to find it.

Bottom line: Aggregate gives you the deepest level of detection, catching activity that both Volume and Order would miss entirely.































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