The CME (and other exchanges) provide data regarding who the aggressor was (buyer or seller) when a trade is executed. An "Aggressor" or "Aggressing Order" by definition is an incoming order matching with one or more orders resting on the order book. The Aggressor pulls liquidity out of the order book by triggering a match event removing resting quantity and potentially effecting the price level from the order book.
The Aggressor is identified in each order match during the continuous trading period.
Please visit the CME Website for more details about Trade Summary Order Level Detail.
The Aggressor flag is a new parameter added to the:
- Volume Study (using bids and asks)
- Volume Profile Study
- TFlow chart
- Time & Sales
- QSS, QSS 2.0, Monitors etc.
For example, the dialog for the Volume study set to Bids/Asks displays the “Use Aggressor Flag” parameter. If checked then the volume used are only those trades with the aggressor flag.
Below is the Time and Sales display for Heating Oil (HOE) detailing time, price, Aggressor Flag (the two columns displaying B, C, or blank) and volume. Some trades do not have the Aggressor Flag.
The Aggressor Flag is a parameter in the RTD formulas for Excel.
=RTD("cqg.rtd",,"StudyData","VolBid(EP,Threshold:=0,VolType:=auto,UseAggressorFlag:=1)", "Bar", "", "Close","1","0",,,,,"T")