That's right. Are you sure that you don't lose priority between each refresh? If that's the case, I may try some new things this week...
Yes. I've stuck orders in between some biggies at night, 3000 - 5000 lots. Usually in 100 -200 lot cylces.
Last question related to icebergs: If at bid/ask there is only a displayed size of an iceberg( no other orders ) and a marketable order comes in for more than the displayed size, does it "goes through"and hit the second bid/ask before the new displayed size is refreshed? Thanks a lot.
From my discussions with the exchanges, this varies from platform to platform. Some operate FIFO rules whereby each new clip goes to the back of the queue...whilst others operate different prioritisation rules. I can only suggest that you contact the exchanges relevant to you directly to clarify their particular modus operandi. AFAIK none of the platforms I have enquired about would permit this to happen. The matching engines will not trade through an iceberg.
Thanks Scooby. I've seen this "trading through" happening but it was probably an iceberg algo instead of a naitive order. I remember I could see the size disappearing and being replaced while it's impossible with a native iceberg IMO.
I've read though this thread but still a bit confused when it comes specifically to the ES on the CME. Lets say you have 5000 contracts to sell at a specific price and you used an iceberg. Your iceberg is for 100 contracts. So lets say the ES is quoting 1180.00 on the offer for a size of 300 contracts. Your offer is up first. Someone buys 100 contracts. I am assuming the size on the offer will not change. It will still show 300 contracts to offer, of which you still have 4900 contracts to sell. Now some guy buys 200 contracts. What happens now? Do you have 4700 contracts and the offer still shows 300? Or do you have 4900 contracts and the offer shows 100. I would appreciate any input on this...
each time your order for 100 is filled, another order of 100 is appended to the order book at 1180 until your total of 5000 is depleted. in your example, the first 100 traded were yours. as soon as that order was filled, another order of yours would go on the book at 1180, so the available quantity would still show 300. if 200 then traded, the quantity available would drop to 100 as those 200 were not yours. the next 100 to trade would be yours and if no one else put in offers at 1180, all subsequent orders would be yours, each with a quantity of 100.