The videos at different websites from vendors are showing hidden orders and iceberg orders in the chart. Where can I get information about hidden orders. Is this Information part of the CME data feed or a calculation of a vendor?
What do you mean by hidden orders? Just because you only see 10 lots on a bid and then a total of 200 lots trade at that price, doesn't mean there was hidden volume there. Systems react to prices, quicker than your eyes can see.
For example Globex disseminates prices that includes both outright orders and 1st order implieds. When you send an order though, Globex first checks for outright matching orders, then 1st order implied matching orders AND THEN ALSO 2nd order implied matching orders - despite the fact that they don't disseminate 2nd order implied prices. Is that a hidden order or just a quirk of the matching engine that many people don't understand? If you look closely though at all the trades you should be able to identify when this happens though, by looking at spread trades that occur at the exact the same time.
Icebergs should be identifiable though. Consider an iceberg bid for a total of 10 lots but with a shown quantity of just 1, and then somebody enters a sell order at the same price for 15 lots. Initially the order book will show a bid for 1 lot, it will then show a trade for 10 lots, and then an offer for the remaining 5 lots. Since trade size is greater than the resting order quantity you can deduce that the resting order was the tip of an iceberg. To make this determination though you would need to be able to see the both time and sales, and the order book depth at the time every single trade. You also need the real time and sales and not the aggregated T&S that many people get. Note that you would also need to be looking at spreads, to make sure that the additional volume isn't a spread being triggered.
I don't think most other orders would be identifiable though because they are triggered orders, rather than resting hidden orders.
Maybe I'm wrong on this, but I'd think this is the domain of HFT. This is not something you can eyeball, and would be surprised if any data vendor is correctly identifying these trades, I don't see anyway that an indicator could do it.
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I think it is part of your homework to understand the different order types at trading venues. Particularly for stocks, you also need to explore issues like order routing and national best bid or offer.
Some stock exchanges pay large customers for orderflow or have special order types which are put on top of the order queue. High frequency trading in stocks is a rigged game, and even hedge fund managers failed to understand specific order types and then complained about it.
Barry Johnson: Algortihmic Trading and DMA (educational)
Scott Patterson: Dark Pools (easy read)
Michael Lewis: Flash Boys (easy read)
Haim Bodek: The problem of HFT (the kindle edition is cheap, the book is no fun to read)
For futures exchanges the order types are typically rather simple. However, you won't see stop orders as they are not sitting in the visible part of the order book. Also complex order types such as iceberg orders can be simulated by the broker.
Implieds are executed as individual futures legs. The volume for a particular futures contract includes all volume resulting from implied trades. These trades are differentiated by specific markers. This is how charting platforms know when NOT to consider the last trade price on a futures leg that results from an implied trade for charting purposes (the OHLC etc will not be updated as a result of an implied trade) but the daily volume displayed in most charting platforms included implieds.