Introduction
Composite Man’s Balena is a real-time and historical whale detection indicator for ATAS. Its name is Italian and Spanish for whale — exactly what it hunts.
Every price move is initiated by someone. Behind the candles, the footprints, and the clusters of bid/ask volume, there are individual order decisions — single mouse clicks from traders with serious size. These are the prints that move markets, absorb liquidity, and leave structural traces long after the candle closes. Balena finds them.
Unlike indicators that aggregate candle-level data, Balena operates at the level of the individual cumulative trade — the unit of aggression in ATAS that represents one order sweeping through however many price levels it needs to fill. One entity. One decision. One marker on your chart.
The indicator establishes a chart-wide baseline — either the average trade size or a user-selected percentile — and uses a configurable multiplier and level system to classify qualifying trades into six tiers of significance. The result is a clean, intuitive visual language: circles of growing size for levels one through five, and a diamond for the rarest and largest events at level six.
How Balena Works
The Cumulative Trade
The foundation of Balena is the CumulativeTrade — ATAS’s term for a single aggressive order that has been fully tracked from first fill to last. When a market participant places a large order, it may sweep multiple price levels before fully filling. ATAS records all of these fills as a single CumulativeTrade object, updating its volume as the order sweeps. The final volume represents the complete size of that one order.
This is why Balena uses this data source specifically: it gives you the most accurate answer to the question ‘how large was that single order?’ — not the cumulative volume at a price level across many orders, but the size of one decision made by one participant.
💡 A single CumulativeTrade = one mouse click. One decision. One whale.
The Baseline
To determine what qualifies as ‘large,’ Balena first establishes a baseline from the chart’s historical trade data. You have four options:
- Chart Average: the mean trade size across every cumulative trade in the chart’s history. Simple and self-adjusting, but sensitive to high-volume outliers that skew the mean upward.
- 90th Percentile: the trade size at which 90% of all trades on the chart are smaller. Only the top 10% of trades by size exceed this threshold.
- 95th Percentile: the trade size exceeded by only 5% of all chart trades. A tighter filter that focuses on genuinely exceptional activity.
- 98th Percentile: the top 2% only. Reserved for the largest, rarest events on the chart.
Percentile baselines are more robust than the average because they are not skewed by extreme outliers. A single enormous trade cannot drag the 95th percentile to an unworkable level the way it can inflate the mean.
💡 The 95th Percentile baseline is recommended for most traders and instruments. Start there and adjust based on how frequently you want signals to appear.
The Multiplier
Once the baseline is established, the multiplier scales it to define the Level 1 threshold — the minimum size a trade must reach to appear on the chart at all. A multiplier of 10 on a 95th-percentile baseline of 50 contracts means only trades of 500 contracts or more are displayed.
This two-step approach — baseline then multiplier — gives you precise, intuitive control. The baseline adapts to the instrument and time period. The multiplier lets you dial in your own definition of ‘significant’ from there.
The Six Levels
Above the Level 1 threshold, Balena classifies trades into six tiers using the Level Increment percentage. With a 20% increment:
- Level 1: Baseline × Multiplier × 1.00 up to × 1.20
- Level 2: Baseline × Multiplier × 1.20 up to × 1.40
- Level 3: Baseline × Multiplier × 1.40 up to × 1.60
- Level 4: Baseline × Multiplier × 1.60 up to × 1.80
- Level 5: Baseline × Multiplier × 1.80 up to × 2.00
- Level 6: Baseline × Multiplier × 2.00 and above — open-ended, no upper limit
Level 6 has no ceiling. Any trade of extraordinary size will be captured here regardless of how large it is. These are your true whale events.
Visual Language
Circles — Levels 1 Through 5
Levels 1 through 5 are rendered as filled circles, plotted at the exact price where the aggressor entered. Circle size scales with level using the same increment percentage that defines the level boundaries — so a Level 3 circle is visually meaningfully larger than a Level 1 circle, and the size difference communicates the significance difference intuitively.
The Level 1 Circle Radius setting defines the base size. All subsequent levels scale from this value: Level 2 is radius × (1 + 1 × increment%), Level 3 is radius × (1 + 2 × increment%), and so on.
💡 If circles feel too small or too large relative to your candles, adjust the Level 1 Circle Radius. This single setting scales the entire visual hierarchy proportionally.
Diamonds — Level 6
Level 6 events are rendered as filled diamonds — a visually distinct shape that makes them immediately identifiable even on a busy chart. The diamond size matches the Level 5 circle size, maintaining visual consistency while the shape itself provides the distinction.
When you see a diamond, you are looking at one of the largest aggressive orders in your chart’s history. Treat it accordingly.
Color
Color communicates direction. Teal markers are buys — the aggressor hit the ask. Pink markers are sells — the aggressor hit the bid. Both colors are user-configurable. The default palette matches the Composite Man’s Suite color scheme.
Placement
Every marker is plotted at the exact tick price where the aggressive order first entered the market — not at the candle high or low, not at an approximation. If a buyer swept from 4510.25 to 4512.00, the marker appears at 4510.25. This precision matters for S/R analysis: the marker tells you exactly where the whale decided to act.
Overlapping Markers
When multiple large trades occur at the same price level within the same candle — or across nearby candles at the same tick — their markers will overlap. Rather than attempting to merge or deduplicate them, Balena renders all of them. A cluster of overlapping markers at a price level is itself a signal: multiple large participants were active at that exact price. The visual density communicates what no single marker could.
Historical and Live Data
On Load — Full History
When Balena is added to a chart, it requests the complete cumulative trade history for all loaded bars from ATAS’s data engine. This covers every bar visible on the chart from the oldest loaded candle to the present.
From this history, Balena:
- Calculates the baseline (average or selected percentile) across all historical trades
- Computes the six level thresholds
- Classifies every historical trade and places markers for qualifying ones
- Renders the complete picture immediately, including all historical whale activity
This means Balena is not a live-only indicator. The moment you add it to a chart, you get the full historical context — all the large orders that have already printed, going back as far as your chart’s loaded data extends.
Live Updates
As new trades arrive in real time, Balena updates continuously. Each new cumulative trade is evaluated against the current thresholds and, if qualifying, added to the chart immediately. The running average (if using Chart Average baseline) is updated with each new trade, keeping the thresholds current as the session develops.
When an in-progress order sweeps multiple price levels — its volume growing as fills arrive — Balena updates the marker in real time. If a trade starts below the Level 1 threshold and grows into qualifying territory as the sweep continues, a marker appears as soon as it qualifies. If it crosses into a higher level during the sweep, the marker updates instantly. The final state reflects the complete order size once the sweep is finished.
💡 The baseline and thresholds update with every live trade. This means a very large live order can shift the average slightly, which may cause some near-threshold historical markers to appear or disappear on recalculation. This is correct behaviour — the baseline always reflects the complete chart context.
Settings Reference
Detection
| Setting | Group | Default | Description |
| Baseline | Detection | Chart Average | The reference value that the Multiplier is applied to. Chart Average uses the mean cumulative trade size across all chart history. The percentile options (90th, 95th, 98th) use the trade size at the selected rank, filtering out noise from the lower distribution. Percentile baselines are more robust on instruments with high trade-size variance. |
| Multiplier | Detection | 10 | Scales the baseline to define the Level 1 threshold. Level 1 minimum = Baseline × Multiplier. Trades below this threshold are not displayed at any level. Higher values produce fewer, more selective signals. Lower values capture a wider range of large-order activity. |
| Level Increment (%) | Detection | 20 | The percentage step between adjacent level boundaries. A 20% increment with a 10× multiplier produces thresholds at 10×, 12×, 14×, 16×, 18×, 20×+. Higher increments create fewer, more spread-out levels. Lower increments produce tighter level boundaries with more granular classification. |
Display
| Setting | Group | Default | Description |
| Level 1 Circle Radius | Display | 4 px | The radius in pixels of the Level 1 circle marker. All higher levels scale proportionally from this value using the Level Increment percentage. Level 6 diamond uses the same size as Level 5. Increase this value if markers are too small relative to your candle width; decrease it on dense charts. |
Colors
| Setting | Group | Default | Description |
| Buy Color | Colors | Teal | Color applied to all buy-side markers (aggressor hit the ask) across all six levels. Applies to both circles and diamonds. |
| Sell Color | Colors | Pink | Color applied to all sell-side markers (aggressor hit the bid) across all six levels. Applies to both circles and diamonds. |
Practical Use Cases
Finding Structural Entry and Exit Points
Large aggressive orders rarely appear randomly. When a Level 4, 5, or 6 marker appears at a price level that price subsequently respects — bouncing from it, consolidating around it, or reversing at it — that level has volumetric confirmation. The whale was there. The market responded. That is not coincidence.
Use Balena markers to add context to your existing S/R framework. A support level that coincides with a Level 5 or 6 buy marker from a previous session is a meaningfully stronger level than one identified by price action alone.
Real-Time Order Flow Context
During a live session, watch for Level 5 and 6 events as they print. A diamond appearing on the buy side during a pullback in an uptrend is a potential inflection point — someone with serious size decided this was the price to buy. A Level 6 sell marker at resistance is institutional-grade selling pressure. These are not guarantees, but they are data points that most traders never see.
Confluence with Volumentum and Dominium
Balena integrates naturally into the Composite Man’s workflow:
- Volumentum identifies which price levels have bid/ask imbalance clusters — where the market structure shows sustained one-sided pressure.
- Dominium lets you interrogate any rectangular region in depth, revealing the net order flow structure inside a consolidation, move, or support zone.
- Balena adds the individual order dimension — not just where the pressure was, but when a single participant placed a significant bet and at exactly what price.
When a Balena Level 5 buy marker appears at the same price as a Volumentum bullish imbalance cluster, and Dominium confirms positive cumulative delta in that region, you have three independent layers of order flow evidence pointing in the same direction. That is the edge.
Post-Session Review
After the session closes, scroll back through the chart with Balena visible. The markers give you a chronological record of every significant order that printed during the session — where the whales were active, which direction they leaned, and whether price respected or rejected those levels afterward. Over time, this builds an intuition for how large orders interact with structure that no amount of theoretical reading can replicate.
Calibrating Your Settings
On first load, start with the 95th Percentile baseline and a Multiplier of 5. Observe how many markers appear. If the chart is cluttered, increase the Multiplier. If you see very few markers — or none — reduce the Multiplier or switch to the 90th Percentile. The goal is a chart where markers are meaningful because they are selective, not so rare that they provide no actionable information.
💡 A good calibration produces roughly 5–20 qualifying events per session on liquid futures instruments. Adjust to your instrument and trading style.
Technical Notes
- Balena requests historical cumulative trade data from ATAS after the initial bar calculation pass is complete. The markers will appear shortly after the indicator is added to the chart — not instantaneously, as the historical data request is asynchronous.
- All baseline calculations (average and percentile) are performed across the full set of cumulative trades in the chart’s history, not just qualifying ones. This ensures the baseline accurately reflects the distribution of all trade sizes.
- The sorted volume list used for percentile computation is maintained incrementally — new live trades are inserted via binary search, keeping the list sorted without re-sorting the entire dataset on each update.
- Live trade volume updates (as a sweep extends across price levels) are handled via differential accounting: only the volume increase is applied to the running totals, not the full new volume. This prevents double-counting and keeps the average accurate throughout the sweep.
- The marker-to-bar mapping for historical trades uses a forward-scanning algorithm that takes advantage of the chronological order in which ATAS delivers historical cumulative trades, keeping the mapping process efficient even on large bar counts.
- All marker list operations are protected by a lock object for thread safety in ATAS’s multi-threaded rendering environment.
- Balena does not repaint. Once a bar closes, its markers are permanent. The live bar’s markers update in real time as volume flows in, exactly as any live order flow tool should.
How Balena Differs from Volumentum and Dominium
| Setting | Group | Default | Description |
| Data source | Volumentum | Footprint bid/ask per tick per candle | Dominium |
| Balena data | Balena | Individual cumulative trades — one per aggressive order | |
| What it shows | Volumentum | Which price levels had bid/ask imbalance clusters within each bar | Dominium |
| Balena shows | Balena | Where individual large orders entered the market and at what size | |
| Best for | Volumentum | Real-time imbalance scanning across all bars | Dominium |
| Balena best for | Balena | Identifying whale-level individual order activity historically and live | |
| Interaction | Volumentum | Drag start handle to adjust scan range | Dominium |
| Balena interaction | Balena | Settings panel only — no chart interaction required |
Use all three together for a complete picture: Volumentum as the continuous scanner, Dominium as the zone microscope, and Balena as the individual order tracker. Each answers a different question about the same market activity.