Do Iceberg order detection algos work?

Discussion in 'Trading Software' started by heispark, Oct 2, 2019.

  1. heispark

    heispark

    Bookmap has a feature to detect Iceberg orders. Is this a toy for fun or real working tool? https://bookmap.com/wiki/Iceberg_Orders_Tracker
    I know institutions use very sophisticated Iceberg strategies which make detection difficult. Is it possible to detect Iceberg orders and take advantage of them from retail side? And are there any decent tools for this purpose in the market?
     
  2. gaussian

    gaussian

    I don't know if I'd even call it an algorithm. Any time you're looking at the DOM and you see a small amount of limit orders get absorbed and more appear (especially from the same market maker) you are most likely dealing with an iceberg at that limit price.
     
    heispark and qlai like this.
  3. ensemble

    ensemble

    Interesting wiki. The company behind Bookmap (DevExperts) built the original TOS platform, so it is not the typical snake oil vendor.
     
    heispark likes this.
  4. qlai

    qlai

    dxFeed and heispark like this.
  5. heispark

    heispark

    I think you mean stocks trading using level2. I am futures (/ES exclusively) trader.......
     
  6. 2rosy

    2rosy

    9+ years ago they did
     
  7. IAS_LLC

    IAS_LLC

    Correct me if I'm, wrong...but I didn't think icebergs exist in ES? At least as a native cme order type.
     
  8. maxinger

    maxinger

    The more things we check, the more confused we will be & the more $$$ we will lose.

    It doesn't mean when we follow iceberg order,chances of success will be high.

    It doesn't mean when we don't follow iceberg order,chances of success will be low.

    So just stay focus on the chart.
     
    Last edited: Oct 3, 2019
    HawaiianIceberg likes this.
  9. traider

    traider

    I agree with you my friend, it is not difficult to create a pure execution algo based on microstructure and these don't need to use iceberg feature to execute at a good price.
    Do you do any microstructure research? What libraries do u use/ language?
     
  10. qlai

    qlai

    No, I am a developer in the industry.
     
    #10     Oct 3, 2019