Recently I am watching videos from MarketDelta, where the filtered footprint is one of the highlights. According to their criteria, for ES, any order around or larger than 200 is a big order. I am curious how reliable this approach can be.
First of all, it seems to me that order size and transaction size (volume for each transaction) are two related but different concepts. Order size is the number of contract when a trader place an order. Transaction size is the number of contracts traded. Because the default for each trading order is that they should be filled partially. When a trader place an order of 100 contracts, the order can be split into small chunks and be filled separately, for example, 40 transactions of 1 contact each, 8 transactions of 5 contacts each, and 1 transaction of 20 contacts. So in the transaction history, we can only see numbers like, 1, 1, 1, 5, 1, 5, 1, 20, 5, 1, 1, ...
If my above understanding is correct, then the only chance we can see large numbers is when both buyer and seller (one has market order and one has limit order) place large (huge) orders. For example, the buyer puts a limit order of 1,000 at price X, and the buyer places a market order of 500 at the same price X. Then we may see the number 500 in the transaction history. But this number could also be anything from 1 to 499, because a portion (big or small) of the 1,000 limit order can be filled by a series of small buying market orders right in front of the 500 order.
Therefore, my conclusion is: when we see a large transaction, it means there are big orders on both buying and selling sides. However, the exact sizes of the orders are not recoverable. On the other side, when we do NOT see large transactions, it does NOT mean that there are no big orders.
Please let me know if I miss some important facts or if there is any logical flaw in my reasoning. Thanks!