Iceberg (Hidden Size) Orders

Discussion in 'Order Execution' started by ScoobyStoo, Aug 20, 2009.

  1. Hi all,

    I have a quick and simple question which I hope one of you learned folk will be able to help me with.

    What is the footprint in the order book of part of an iceberg order being filled? To clarify, I'm talking specifically here about orders which are entered into an exchange's order book as 'iceberg' orders, not any proprietary order splitting algos running on the buy or sell side which submit separate orders.

    I'll explain with an example...

    Someone submits an iceberg order at a price of $50 with a total quantity of 100 lots and disclosed quantity of 10 lots. They are the only person posting at this price and therefore the order book states $50 - 100.

    Now my question is, if someone comes along and fills those 10 displayed lots does...

    (a) the volume displayed in the order book momentarily drop to $50 - 0 before the exchange reposts the disclosed liquidity whereupon it returns to $50 - 10. (i.e. the order book data stream reflects a transaction taking place)


    (b) the volume displayed in the order book remains unchanged at $50 - 10 because the reposting takes place invisibly behind the scenes. (i.e. the order book data stream does not reflect a transaction taking place)

    I've had a hunt around the interweb and found a useful document on the Euronext site

    This implies that case (a) is true and the order book will reflect transactions taking place against iceberg orders. However, I just thought I'd run it past those of you here with more knowledge on the matter to see if I have interpretted this correctly and if it's the case across the board.

    If it differs between platforms, then specifically I am interested in the major electronic futures platforms such as Globex, ICE, Euronext etc.

    Many thanks in advance
  2. Based on my personal experience, I am reasonably certain that the answer is a) for Liffe and Eurex interest rate contracts (STIRs and bond futures). I am also somewhat certain that it's the case for CME and CBOT rates contracts as well, but not positive. I have no first-hand knowledge of what happens for other contracts.
  3. I do not see how Euronext document implies that order book should reflect this transaction.

    The transaction will be reflected in Time And Sales. Since full order qty sits in the order book all the time, I do not see why it should change.

    Bid/offer is the same, it would only move the order to the end of the queue once displayed part is executed. And I think this operation does not mean (or involve) removal of the bid/offer and then posting it again in the OB.

    PS: Detecting icebergs… interesting idea! ;-)
  4. I'm sure that it's going to be the same for all instruments on a platform. It's a feature of the platform, not the instrument. I'll email the exchanges and see if they give me an straight answer. 100 bucks says they don't. ;o)

    Will reread the document. Maybe I've misconstrued moving the position of the order in the queue for reposting.

    P.S. 99.9% of the people here on ET would be amazed by what you can see when you have an unfiltered tick feed and 10 years of software development experience at your disposal. ;o)
  5. Have emailed the relevant organisations regarding the Globex, Eurex, Euronext and ICE platforms. Hopefully they will clarify the matter.

    Will let you know what they say (if they do indeed say anything).
  6. We were just talking about it in a STIR chatroom... One of the Masters (not I) pointed out that icebergs are not implemented by the exchange, but rather by whatever front end you're using. If that's the case, the answer should be a no-brainer...
  7. Doesn't sound like he knows what he's talking about. It is well documented that some of the futures exchanges support iceberg orders natively on their platforms.
  8. That may very well be the case for some exchanges, but, as I keep mentioning, people in the room, including yours truly, only do STIR and bond futures on a couple of exchanges (mostly STIR futures on LIFFE). LIFFE doesn't do icebergs.
  9. Indeed this is true, the LIFFE Connect platform doesn't support native iceberg orders but Euronext Paris still uses the NSC platform which does support icebergs.

    Anyway, it's not important. As I stated in the original post, I'm only talking here about native iceberg orders, not proprietary order splitting algos. By definition these algos will generate a footprint in the OB for each clip as it is posted.
  10. You're right... Apologize for not paying attention to the question "spec".
    #10     Aug 21, 2009