For example: I place an order to buy 5000 @ $10 with only 100 displaying. 100 will fill, the order will dissappear, someone at $9.90 gets filled 2600, after which my 100 shares (to buy 4900) will reappear at $10. So, I'm really not getting fills using these hidden island orders. What am I doing wrong?
reserve orders are when you have more size than you display to the market place. The risk of this type of trade is that you may lose priority to trades entered after you. e.g. you enter a buy 5,000 shares paying $10 - display only 1,000 share at a time. someone else enters an order to buy 5,000 shares paying $10 after you, with no reserve feature. If someone sells 6,000 shares at $10... the order behind you will fill entirely and you will receive 1,000 shares an be showing 1,000 shares of your reserve. "Hidden orders" are literally invisible to the eye but do reside on an ECN. This feature was only offered by ISLD ECN as best I know.
What if someone sells 6,000 shares at $9.99 and you have a reserve order for 5,000 shares to buy at $10 (showing 1,000). and there is another bid at $9.99 for 5,000 shares. What would happen in this case? Who gets the fill of the other 4,000 shares? I.e., is there a discrete amount of time before your order enters the limit book (after your display shares have been taken completely) or should your order repopulate the limit book instantaneously?
You are not doing anything wrong. The SMART Iceberg (a.k.a. Display-Size) orders are simulated. Therefore when we route the 100 shares to Island, they don't know they we hold another 4,900 shares in our packet. Hence, it can easily happen that someone buys below your bid - e.g. when a sell market for more than 100 shares arrives, your 100 shares will trade together w/ someone else's bid before we will have a chance to send in another 100 share bid.
This depends on where your order is, whom is holding the reserve, broker or ECN. How quickly they repost. Who the seller is using. Some "smart" router have a built in pause (1 second or so) to catch those price improvements opportunities. Others just bang out the order at inferior prices. It is all a matter of milliseconds usually. Programming design comes into play. That said, let me just say that most so called "smart" routers do not impress me at all. In the real world, I would wager you will traded through more often than not.