Trade summary (how one aggressive order is reported)
A trade summary is the exchange's report of one match event: an aggressive order trading against one or more resting orders, published with the traded quantity per price level, the number of resting orders involved and the aggressor side. Whether a platform then shows one print, one print per price or one print per resting order decides what 'trade size' means on its tape.
Senzoukria · Glossary · Updated September 2026
Definition
On CME Globex, a match event is published as a trade summary. At the summary level it gives, for each price at which the aggressor traded, the quantity and the number of participating orders; a field marks the aggressor side as buy or sell when there is one. Order-level detail can list the individual fills. Client systems that only need price, quantity and number of orders can work at the summary level.
Worked example: one order, three possible tapes
A buy market order for 25 contracts fills 5 from order A and 10 from order B at 5,000.25, then 10 from order C at 5,000.50.
| Representation | Prints shown | Largest print |
|---|---|---|
| Per resting order | 5, 10 @ 5,000.25 and 10 @ 5,000.50 | 10 |
| Per price level | 15 @ 5,000.25 and 10 @ 5,000.50 | 15 |
| Per aggressor order | 25 at an average of 5,000.35 | 25 |
Why it matters
- Big-trade filters: a threshold of 20 contracts catches this order in one representation and misses it in the other two.
- Trade counts: the same event counts as 1, 2 or 3 trades.
- Average trade size and trades-per-level statistics change with the representation.
- Volume and delta do not change: 25 contracts of buy aggression either way.
In Senzoukria
The footprint's volume and delta per price do not depend on how prints are split, but anything counted per trade does. The Big Trades overlay therefore aggregates before it filters: consecutive prints at the same price and aggressor side within a 100 ms window, by default, are merged into one aggregate, and an aggregate made of many small prints (10 or more by default) is drawn hollow so that fifty 1-lots are not confused with one 50-lot block. In the worked example, the 15 contracts at 5,000.25 would be one aggregate and the 10 at 5,000.50 another, because they are at different prices.
Common mistakes
- Comparing trade counts or big-trade lists between platforms that split prints differently.
- Reading one aggressive order as several participants because it printed at several prices.
Related
In the same section
- Conflation
- Trade tagging
- Traded levels
- Trade date
- Trades footprint
- Trade copier
- Trading edge
- Trade classification
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Frequently asked questions
- Does splitting prints change the delta?
- No. Delta sums buy and sell aggressor volume, which is the same however the event is split into prints. Only statistics based on the number or size of individual prints change.
- Why does another platform show bigger trades than mine?
- It may aggregate prints per aggressor order or over a time window, while yours shows them per price or per resting order. The underlying volume is the same; the unit of a trade differs.