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CME Order Processing for Iceberg Orders
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CME Order Processing for Iceberg Orders

  #1 (permalink)
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CME Order Processing for Iceberg Orders

There used to be a publication posted somewhere on the CME Group website how it processes orders.

I am wondering if a publication exists on how it processes Native Iceberg Orders.

For example,

Say you want to sell 1000 Lots, but your MaxShow is 100 Lots.

Assume you are the only one on the offer.

The DOM will show 100 Lots on the offer, every market buy order will keep decreasing the number of lots on the offer until it reaches 0, then it will refresh and go back to 100. Easy to spot.

HOWEVER

Say you have someone who does a market buy order for 1000 Lots.

The DOM does not go from 100 to 0, then 100 to 0 again, then 100 to 0, then 100 to 0.

It stays at 100 Lots, and then the next tick it moves to the next price on the offer but on the T&S the 1000 lot order is recorded whether it was 10 orders of 100 block trades each or 1000 orders of 1 lot trades each.

What I am saying is that, the way CME processes orders on the Globex is that if there is a buyer that takes out all the Iceberg order at once in one order, it will show up on the T&S but the DOM won't show the refreshes.

This is probably hard to understand and would be easiest if I could show you visually.

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  #3 (permalink)
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adaseb View Post
What I am saying is that, the way CME processes orders on the Globex is that if there is a buyer that takes out all the Iceberg order at once in one order, it will show up on the T&S but the DOM won't show the refreshes.

What would be the takeaway either way? My T&S aggregates same time/price trades so I will see the whole transaction in the DOM, but if it was a 100x10 or a 1000x1 iceberg, does this make much of a difference when it's all said and done, in your opinion?

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josh View Post
What would be the takeaway either way? My T&S aggregates same time/price trades so I will see the whole transaction in the DOM, but if it was a 100x10 or a 1000x1 iceberg, does this make much of a difference when it's all said and done, in your opinion?

Its very important. If you don't see it on the DOM you have no idea of knowing whether it was a market order or a limit order.

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The way i understood Iceberg orders is if you were bidding 1000 lots and only showing 100 at a time, and say there was 50 lots from some other trader placed after your order, it would show 150 lots always until someone took 901 lots of yours, at which point 149 would be left on the bid. When i was a broker this is how we had it explained to us and we explained to clients.

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AndrewG View Post
The way i understood Iceberg orders is if you were bidding 1000 lots and only showing 100 at a time, and say there was 50 lots from some other trader placed after your order, it would show 150 lots always until someone took 901 lots of yours, at which point 149 would be left on the bid. When i was a broker this is how we had it explained to us and we explained to clients.

Are you sure you aren't talking about stocks?

Because if I recall correctly, it doesn't refresh until the entire MaxShow (100 Lots) is entirely filled.

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adaseb View Post
Its very important. If you don't see it on the DOM you have no idea of knowing whether it was a market order or a limit order.

OK- but considering the event you are discussing lasts a microsecond, what would be the point of showing the limit order on the DOM anyway? It would exist for such a small amount of time, you would not see it.

If you see 1000 sell market contracts go through @ a price, then you know there were bids there to trade against, right?

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