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Post From: Iceberg order study

[2018-07-08 12:41:13] Link To Thread - Link To Post [Go To First Post]
norvik_ - Posts: 106
Indeed, iceberg possibly can be detected only by using MBO data from RApiPlus (v10.0.0.0 and higher) or maybe TT feed. This is order with public id 644941446264. 4\|DBO ; AT_ASK\| TIME; 19/43/33\| USEC; 471256\| PRICE; 2760.750000\| SIZE; 1\| ID; 644941446264\| UPDATE; NEW 6\|QUOTE; AT_ASK\| TIME; 19/43/33\| USEC; 471256\| PRICE; 2760.750000\| SIZE; 16\| ORDERS; 13\| UPDATE; SOLO Order 644941446264 has initial size 1 . 7\|LIMIT; 644941446255\| AGRESSIVE; 644941446377 5\|TRADE; BUY\| TIME; 22/00/53\| USEC; 1530906213\| PRICE; 2760.750000\| SIZE; 2 7\|LIMIT; 644941446261\| AGRESSIVE; 644941446377 5\|TRADE; BUY\| TIME; 22/00/53\| USEC; 1530906213\| PRICE; 2760.750000\| SIZE; 1 7\|LIMIT; 644941446264\| AGRESSIVE; 644941446377 5\|TRADE; BUY\| TIME; 22/00/53\| USEC; 1530906213\| PRICE; 2760.750000\| SIZE; 1 Order 644941446264 has initial size 1 and matching event with agressive limit (id 644941446377) exists. 7\|LIMIT; 644941446270\| AGRESSIVE; 644941446377 5\|TRADE; BUY\| TIME; 22/00/53\| USEC; 1530906213\| PRICE; 2760.750000\| SIZE; 1 7\|LIMIT; 644941446274\| AGRESSIVE; 644941446377 5\|TRADE; BUY\| TIME; 22/00/53\| USEC; 1530906213\| PRICE; 2760.750000\| SIZE; 8 7\|LIMIT; 644941446292\| AGRESSIVE; 644941446377 5\|TRADE; BUY\| TIME; 22/00/53\| USEC; 1530906213\| PRICE; 2760.750000\| SIZE; 1 7\|LIMIT; 644941446296\| AGRESSIVE; 644941446377 5\|TRADE; BUY\| TIME; 22/00/53\| USEC; 1530906213\| PRICE; 2760.750000\| SIZE; 1 7\|LIMIT; 644941446306\| AGRESSIVE; 644941446377 5\|TRADE; BUY\| TIME; 22/00/53\| USEC; 1530906213\| PRICE; 2760.750000\| SIZE; 1 7\|LIMIT; 644941446311\| AGRESSIVE; 644941446377 5\|TRADE; BUY\| TIME; 22/00/53\| USEC; 1530906213\| PRICE; 2760.750000\| SIZE; 2 4\|DBO ; AT_ASK\| TIME; 19/43/33\| USEC; 597669\| PRICE; 2760.750000\| SIZE; 2\| ID; 644941446255\| UPDATE; DELETE 4\|DBO ; AT_ASK\| TIME; 19/43/33\| USEC; 597669\| PRICE; 2760.750000\| SIZE; 1\| ID; 644941446261\| UPDATE; DELETE 4\|DBO ; AT_ASK\| TIME; 19/43/33\| USEC; 597669\| PRICE; 2760.750000\| SIZE; 1\| ID; 644941446270\| UPDATE; DELETE 4\|DBO ; AT_ASK\| TIME; 19/43/33\| USEC; 597669\| PRICE; 2760.750000\| SIZE; 8\| ID; 644941446274\| UPDATE; DELETE 4\|DBO ; AT_ASK\| TIME; 19/43/33\| USEC; 597669\| PRICE; 2760.750000\| SIZE; 1\| ID; 644941446296\| UPDATE; DELETE 4\|DBO ; AT_ASK\| TIME; 19/43/33\| USEC; 597669\| PRICE; 2760.750000\| SIZE; 1\| ID; 644941446306\| UPDATE; DELETE 4\|DBO ; AT_ASK\| TIME; 19/43/33\| USEC; 597669\| PRICE; 2760.750000\| SIZE; 1\| ID; 644941446098\| UPDATE; DELETE 4\|DBO ; AT_ASK\| TIME; 19/43/33\| USEC; 597669\| PRICE; 2760.750000\| SIZE; 1\| ID; 644941445887\| UPDATE; DELETE 4\|DBO ; AT_ASK\| TIME; 19/43/33\| USEC; 597669\| PRICE; 2760.750000\| SIZE; 1\| ID; 644941446264\| UPDATE; MODIFY In above message order 644941446264 has "MODIFY" flag, not "DELETE". 4\|DBO ; AT_ASK\| TIME; 19/43/33\| USEC; 597669\| PRICE; 2760.750000\| SIZE; 1\| ID; 644941446292\| UPDATE; MODIFY 4\|DBO ; AT_ASK\| TIME; 19/43/33\| USEC; 597669\| PRICE; 2760.750000\| SIZE; 1\| ID; 644941446311\| UPDATE; MODIFY 6\|QUOTE; AT_ASK\| TIME; 19/43/33\| USEC; 597669\| PRICE; 2760.750000\| SIZE; 105\| ORDERS; 38\| UPDATE; BEGIN 6\|QUOTE; AT_ASK\| TIME; 19/43/33\| USEC; 597669\| PRICE; 2760.750000\| SIZE; 104\| ORDERS; 37\| UPDATE; CONTINUE 6\|QUOTE; AT_ASK\| TIME; 19/43/33\| USEC; 597669\| PRICE; 2760.750000\| SIZE; 103\| ORDERS; 36\| UPDATE; CONTINUE 6\|QUOTE; AT_ASK\| TIME; 19/43/33\| USEC; 597669\| PRICE; 2760.750000\| SIZE; 95\| ORDERS; 35\| UPDATE; CONTINUE 6\|QUOTE; AT_ASK\| TIME; 19/43/33\| USEC; 597669\| PRICE; 2760.750000\| SIZE; 94\| ORDERS; 34\| UPDATE; CONTINUE 6\|QUOTE; AT_ASK\| TIME; 19/43/33\| USEC; 597669\| PRICE; 2760.750000\| SIZE; 93\| ORDERS; 33\| UPDATE; CONTINUE 6\|QUOTE; AT_ASK\| TIME; 19/43/33\| USEC; 597669\| PRICE; 2760.750000\| SIZE; 92\| ORDERS; 32\| UPDATE; CONTINUE 6\|QUOTE; AT_ASK\| TIME; 19/43/33\| USEC; 597669\| PRICE; 2760.750000\| SIZE; 91\| ORDERS; 31\| UPDATE; CONTINUE 6\|QUOTE; AT_ASK\| TIME; 19/43/33\| USEC; 597669\| PRICE; 2760.750000\| SIZE; 89\| ORDERS; 31\| UPDATE; END 4\|DBO ; AT_ASK\| TIME; 19/43/33\| USEC; 598005\| PRICE; 2760.750000\| SIZE; 1\| ID; 644941446264\| UPDATE; DELETE 6\|QUOTE; AT_ASK\| TIME; 19/43/33\| USEC; 598005\| PRICE; 2760.750000\| SIZE; 58\| ORDERS; 22\| UPDATE; SOLO After matching this order has same size now it's deleted. Have no any ideas how such info may be used by retail traders . But in MBO stream there are tons of another one, more interesting, IMXO. Also, above mention (and data) may be incorrect, handling MDP3 data with MBO subscibtion is very hard and non trivial task. Date Time Of Last Edit: 2018-07-08 23:17:51