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Date/Time: Wed, 18 Jul 2018 14:46:04 +0000



Iceberg order study

Support Request:
[2017-07-07 19:15:19]
User136422 - Posts: 18
Any plans to add an iceberg order alert ?
Iceberg order: when liquidity which are continuosly added to the ask/bid side, in comparaison to the sold market. (so a lot of bid/ask volume hit the market but this volume is consumed by the bid/ask liquidity whic is continuosly added [and since is continuosly added in millisecond y can't see this clearly on the Dom]). Thank you
[2017-07-08 14:57:07]
jsoviero - Posts: 76
+1 for this suggestion. Basically we want to visually see the difference between the market depth and the time and sales. The difference may be "iceberg" or "blackpool" orders that do not show up in the market depth. At times this hidden order flow represents a large percentage of the "smart money" order flow. Thank you in advance for considering this suggestion.
[2017-07-09 01:23:55]
40winks - Posts: 155
+1
[2017-07-09 08:52:01]
User297539 - Posts: 54
+1
[2017-07-09 11:49:41]
User730867 - Posts: 6
+1, maybe add a column on the DOM in order to display iceberg size could be an option. Say someone reloaded 200 contracts on the bid, then is would show somewhere (i.e. a column in the DOM) "+200" meaning that someone reloaded 200 contracts. Maybe you could get inspired by this video

https://www.youtube.com/watch?v=UNPfScbf2t4&t=2s

look at the column +/- on the right.

If you feel inspired, adding a "large lot tracker" would also be a great addition. This shows how much of a current depth is made of one market participant (essentially this is tracking large players on the bid/ask), obivously this is only an estimation. Look at the white line in the DOM of the preivous video.
Date Time Of Last Edit: 2017-07-09 11:53:01
[2017-07-10 06:09:24]
User19165 - Posts: 135
+1

I'd prefer to see any implementation of this to be on a chart. DOM is just too fast for me to keep track of. It would be excellent additional information on a bookmap style chart.
[2017-07-10 21:27:31]
User150371 - Posts: 69
+ 1
[2017-07-12 11:54:08]
nioko54130 - Posts: 75
Hi Traders !

This kind of studies is already available on the QuantMap tools. It's a 3rd part software for sc.

It is calculated by taking the market orders size, the last best bid, the last best offer, the previous best bid, the previous best offer, and the price.

--> a bid iceberg orders is triggered when you have a sold market orders size which is bigger than the current best bid size and than the previous best bid size.

--> a ask iceberg orders is triggered when you have a bought market orders size which is bigger than the current best offer size and the previous best offer size.


Working only for SierraChart

http://quantisme.webnode.fr
http://quantprint.webnode.fr
imagebid iceberg orders on FDAX.PNG / V - Attached On 2017-07-12 11:52:32 UTC - Size: 354.92 KB - 454 views
[2017-07-14 18:12:42]
User136422 - Posts: 18
Hi Traders !

This kind of studies is already available on the QuantMap tools. It's a 3rd part software for sc.

It is calculated by taking the market orders size, the last best bid, the last best offer, the previous best bid, the previous best offer, and the price.

--> a bid iceberg orders is triggered when you have a sold market orders size which is bigger than the current best bid size and than the previous best bid size.

--> a ask iceberg orders is triggered when you have a bought market orders size which is bigger than the current best offer size and the previous best offer size.

Nice Nico,

but i'd like to see this study, this kind of study implemented natively into SierraChart. And it seems i am definitly not the only one. Let's wait SC response. Mainwhile if someonelse is interested ... drop a message, it helps.
[2017-07-21 17:20:32]
User136422 - Posts: 18
Any chance to have SC support an opinion about this ? Is something y are working on ? y plan to work on it in the future ? maybe not ? will be great to hear your opinion.
[2017-07-21 17:28:25]
Sierra Chart Engineering - Posts: 61863
We are not following this thread and do not have time to concentrate on the details.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation

If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
[2017-10-10 00:43:24]
User666 - Posts: 5
+1
[2017-10-10 13:11:37]
User136422 - Posts: 18
Since there are so many request, could you evaluate the possibility to add this kind of study in the future ? imho it will be a great add on to the platform. thanks for your time
[2017-10-10 13:58:44]
User244354 - Posts: 1
i think that this kind of studies is already available on the quantmap (working only for sierrachart)

bye
[2017-10-10 14:01:14]
User541842 - Posts: 19
+1
[2017-10-10 15:18:30]
User666 - Posts: 5
I think Bid/Ask Size replenish study will be a good idea.
[2017-10-10 17:59:49]
norvik - Posts: 45
Recommend attached article for anyone wanted to undestand what is "icebereg order" , detection, influence to market prosess and reaction.
Written by professionals of the industry, very clear.
attachmentprediction of hidden liquidity.pdf - Attached On 2017-10-10 17:59:36 UTC - Size: 5.75 MB - 997 views
[2017-10-10 23:35:12]
User19165 - Posts: 135
^^ Thanks a lot for the paper.

Super useful analysis and would be an asset to the platform. Based on real market generated data must have for day traders.
Date Time Of Last Edit: 2017-10-10 23:37:00
[2017-12-01 12:23:37]
norvik - Posts: 45
"High Frequency Trading
Consider avoiding icebergs this summer

MAY 19, 2017 By: Alexandra Scaggs
Information is a funny thing: More is usually better. But once there’s enough data out ...."
Full article:
https://ftalphaville.ft.com/2017/05/19/2188959/consider-avoiding-icebergs-this-summer/
[2017-12-05 00:02:50]
User322949 - Posts: 172
not useful at all , you guys would have no benefit to make this as it will not help retail traders in any way ,
[2018-07-06 05:51:52]
whats1thingnow - Posts: 119
+1
[2018-07-06 05:58:15]
whats1thingnow - Posts: 119
forgot to mention...

just like jigsaw, simple arrows shown on the swing chart would be amazing whenever there is an iceberg (see screenshot)
imageimage_03.jpg / V - Attached On 2018-07-06 05:55:20 UTC - Size: 26.53 KB - 59 views
[2018-07-06 12:09:39]
User20450 - Posts: 300
jigsaw makes u think thats an iceberg , its just imbal of orders
[2018-07-08 05:36:20]
whats1thingnow - Posts: 119
@User20450, do you know how i can show an imbalance of orders like just jigsaw does on the swing charts?
[2018-07-08 12:41:13]
norvik - Posts: 45
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

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