Indicator

Fathom Trades

Size leaves a trace. Isolate aggressive orders above your threshold and see exactly where they hit the market.

Merges consecutive same-side trades into a single aggressive order, as long as the price never moves back and no more than 5 ms separate two trades. The current group is published as provisional once it reaches the minimum volume, then as final when it closes: side change, price moving back, a gap over 5 ms, or a trade with no aggressor side. Thresholds and price mode are view parameters: every subscriber to an instrument shares the same computation.

Identifier: big-trades
Objects received: group
Calculation: Recent trades
Historical cost: 1 unit per trade

The same params work in real time, on historical data and in exports. Any you leave out take their default value.

Subscribe message

{
  "t": "subscribe",
  "sub": "big-trades",
  "instrument": "NQ.front",
  "indicator": "big-trades",
  "params": {
    "minimum": 30,
    "maximum": 0,
    "priceMode": "last"
  },
  "mode": "live",
  "from": "live"
}

Parameters

As soon as a parameter differs from its default, the subscription counts as a custom configuration. A display parameter only filters the results sent: changing it is instant. A calculation parameter may require preparing a new calculation (status warming).

Parameter	Type	Role	Default	Allowed values	Unit	Description
`minimum`	integer	Display	`30`	1 to 1,000,000	contracts	Minimum group volume, in contracts.
`maximum`	integer	Display	`0`	0 to 1,000,000	contracts	Maximum group volume, in contracts; 0 = unlimited, otherwise at least `minimum`.
`priceMode`	choice	Display	`last`	`last` · `start` · `average`	—	Price reported in `price`: the group’s last price, first price, or rounded VWAP.

Objects received

Each object keeps the same id from one update to the next. Its data is in the data field. Prices are in ticks: multiply them by the instrument’s tick size (GET /v1/instruments) to get points.

`group` updated continuously

Group of trades; provisional while it keeps growing.

Format of the id: <startNs>:<ordinal>. While it changes, the object is sent with final: false, and each new version fully replaces the previous one. Its last version carries final: true.

Field	Type	Unit	Present	Description
`end`	string	timestamp (ns)	always	`ts_event` of the last trade.
`first`	integer	ticks	always	Price of the first trade.
`last`	integer	ticks	always	Price of the last trade.
`price`	integer	ticks	always	Price per `priceMode`: last price, first price, or VWAP rounded to the tick (ties to even).
`side`	string · `buy` \| `sell`	—	always	Aggressor side of the group.
`start`	string	timestamp (ns)	always	`ts_event` of the first trade.
`trades`	integer	trades	always	Number of trades in the group.
`volume`	integer	contracts	always	Total group volume.
`vwap`	number	ticks	always	Volume-weighted average price, in fractional ticks.

Calculation warm-up

This indicator only depends on recent trades. If nobody is using your parameters yet, you briefly receive a status warming before the snapshot.

Historical data follows the same rules: a query over a past period returns exactly what the real-time stream published.

Example messages

Messages received with the subscription parameters above. Over WebSocket, each message also carries sub and cursor.

In-progress version

{
  "t": "upsert",
  "id": "1790208267461672923:0",
  "final": false,
  "ts": "1790208267461672923",
  "data": {
    "side": "sell",
    "volume": 30,
    "trades": 14,
    "start": "1790208267461672923",
    "end": "1790208267461672923",
    "first": 122991,
    "last": 122979,
    "price": 122979,
    "vwap": 122984.5
  }
}

Final version

{
  "t": "upsert",
  "id": "1790208267461672923:0",
  "final": true,
  "ts": "1790208267468979827",
  "data": {
    "side": "sell",
    "volume": 40,
    "trades": 21,
    "start": "1790208267461672923",
    "end": "1790208267461672923",
    "first": 122991,
    "last": 122976,
    "price": 122976,
    "vwap": 122982.775
  }
}

JSON schemas

To validate or type your data: the JSON schemas of the parameters and of data, also available from GET /v1/indicators. The SDK can generate types from them.

Parameters schema

JSON

{
  "$schema": "https://json-schema.org/draft/2020-12/schema",
  "$id": "https://fathomcharts.com/schemas/big-trades/params.json",
  "type": "object",
  "additionalProperties": false,
  "properties": {
    "minimum": {
      "type": "integer",
      "default": 30,
      "minimum": 1,
      "maximum": 1000000,
      "description": "Minimum group volume, in contracts."
    },
    "maximum": {
      "type": "integer",
      "default": 0,
      "minimum": 0,
      "maximum": 1000000,
      "description": "Maximum group volume, in contracts; 0 = unlimited, otherwise at least `minimum`."
    },
    "priceMode": {
      "type": "string",
      "default": "last",
      "enum": [
        "last",
        "start",
        "average"
      ],
      "description": "Price reported in `price`: the group’s last price, first price, or rounded VWAP."
    }
  }
}

Schema of the data field