No worries. BTW I wasn't being shitty with you, sorry if it came across that way. There's far too much mud slinging on this site already and I have no interest in participating in any of that purile nonsense. For info I have spoken to the guys at the CME and ICE. Looks like things differ between their platforms. Globex: Each clip is posted as a new order (therefore hits on the iceberg show up in the OB data stream) ICE: Each clip is posted transparently (therefore hits on the iceberg do not show up in the OB data stream) Now that's info worth knowing if you trade their energy contracts or the Russell.
For the CME the iceberg sits at the exchange. If you want 100 and are displaying 10 and are the only person on the bid, a couple of things can happen. lets say someone sells 9. only 1 lot of your order will be displayed. until the full 10 is filled, it will not put any more size in the market. Lets say someone sells 50. The traded quantity will show 50, and it will still show you bid for a 10 lot. Your fill will actually come back as one 50 lot. Pretty weird because you were only showing 10. My knowledge of this only applies to the CME.
That's interesting. The fill report makes sense because you are the person posting the iceberg, you know the true depth of the order and only you get to see the report. However, when you get hit for 50 does the tape print a single transaction for 50 lots or 5 transactions of 10 lots?
Not sure. Never really mattered to me to find out. I would guess a 50 lot though with no evidence to back it up.
I think min mike pretty much got it but I'll reiterate for what its worth... In cme markets, let's say your order is sell 100, display 10 at x price. If you are the only order at that price, and someone comes along and buys any quantity between 10 and 90, the offer will remain at 10. Ie it does not go back to 0 and then refill, just stays at 10. If someone for instance comes along and buys 30, time and sales will read 3 prints of 10 lots. Now you have 70 left to do. Now, let's say 2 other orders enter the offer on top of yours. Now there are three seperate parties offering at that price: your 70 you have left which you are only displaying 10 and the other 2 orders. Now you will lose your timestamp priority after you get your next 10 lot fill and depending on the nature of the market (fifo, pro rata) you will either get partial fills on your next 60 or you will have to wait until the other 2 orders get filled completely before you begin to get any more of your 60 lot. In really liquid markets and in certain times of the day the above isn't a huge deal but it can be the difference between a fill and a market getting away from you in markets where there's a lot of allocation algorithms posting flashing orders and in certain slower or inactive times of day.
i had a conversation with our account exec at the cme on this a few months ago and based upon what i understood him to say, given the example above, the entire 100 will get filled before any of the other 2 orders get filled. i could have misunderstood but i do not think so as we discussed the fairness or unfairness of this feature.
That was my initial reaction but as anyone can place an iceberg order anyone can get the same benefit - so it is not unfair.
Assuming FIFO contracts: After disclosed qty is filled the next one up goes to the back of the line, that's if any sneak in between. Usually this is only a factor for very large icebergs and/or slow markets.