Support Board
Date/Time: Sat, 15 Aug 2026 06:09:02 +0000
Post From: Is there a way to detect iceberg orders using Sierra Chart DOM?
| [2026-07-03 15:11:28] |
| User725581 - Posts: 5 |
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Iceberg orders (hidden liquidity) directly within the DOM could be handled by CTS T4 routing, which is supported by Sierra. With recent updates to Teton order routing on iLink 3, iceberg orders could be detected/executed/calculated by comparing market order sizes against bid/ask depth. The functionality could simply use the logic to analyze Time and Sales data against market depth liquidity to visually flag concealed orders and display them next to the visible resting liquidity as an optional field of the DOM "Customize Trade DOM Columns". Signals: * Absorption: The most reliable signal is when aggressive market orders repeatedly hit a specific price level, generating high cumulative volume, but the price fails to move. This indicates a hidden reserve is absorbing the aggressive flow, often refreshing displayed size to maintain the illusion of thin liquidity. * Refreshing Displayed Size: On the DOM, a small displayed limit order (e.g., 50 contracts) that consistently reappears or "refreshes" after being filled, despite continuous trading volume far exceeding the visible amount, signals an active iceberg order. * Disparity in Volume vs. Price Movement: A noticeable disparity where significant volume prints occur at a level with minimal visible resting orders suggests institutional accumulation or distribution. If price moves rapidly through a level with little resistance, it may indicate that hidden liquidity was already consumed or that the visible book was a "liquidity vacuum." |