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?
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.
Interesting wiki. The company behind Bookmap (DevExperts) built the original TOS platform, so it is not the typical snake oil vendor.
Iceberg orders used to be pretty straight forward. But times have changed and I don't think the new and improved algos are as easy to track. https://library.tradingtechnologies.com/trade/tto-iceberg-order.html
Correct me if I'm, wrong...but I didn't think icebergs exist in ES? At least as a native cme order type.
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.
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?