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I am thoroughly baffled by your post. First off, as far as Bookmap is concerned, they go above and beyond providing educational videos on how to use the product in every aspect, including DAILY FREE webinars by Bruce covering live markets and how to use the software to enhance one's trading. A;sp there are about a hundered videos on how to use the product and ever facet of it that Bruce has produced over three years.
I am also growing quite tired of some of the people in this community telling me that I or Bookmap are trying to "sell" the product. I do webinars as a thank you to Bookmap for keeping me alive in the trading game and I find joy in helping fellow retail traders get on a level playing field with the big money and algos. At no point am I "selling" anything. I give you the information, explain why I think it is the most powerful software I have ever seen, and then give exact examples on how powerful it is. It is up to you to decide if the information that I present could be helpful to you and your trading. If you dont think it is, then dont suscribe to the product. It's that simple.
As far as the webinars I have done for Futures.io, did you actually watch them or just watch the first five minutes and start spewing your opinon in this forum? At what point did I tell viewers exact rules on how to use to the tools? All I do throughout both of them is tell traders that it is up to them to apply the information and incredible edge that Bookmap provides to what makes sense to them and how they trade. I specifically say many times that you do not want to trade like me or anyone else. To become a sucessful trader, you have to learn to develop your own edges with things that make sense to you.
Spend more time studying the markets and developing an edge then blasting people in a forum that are trying to help traders succeed.
Unless you are using the MBO data provided by the CME and have algos that can interpret the information, then what you think you are seeing in stop runs and icebergs is at best a guess. Again, if you think otherwise then keep doing what you are doing.
They information in the number bars and footprint charts in software vendors like the now defunct Marketdelta is not the the MBO data provided by the CME. You are comparing apples to oranges.
It's not a guess at all. How do you think all your indicators were written? It's absolutely not hard to see on a chart, and your repeatedly calling me a liar is unprofessional at best.
It doesn't matter. You can certainly see it on a footprint chart if you know what you're looking for. You really need to stop insulting people who disagree with you.
Dude, seriously? My first two sentences said how much I appreciated what you had said on your video. You quoted those two sentences in your post. You. Quoted. Them.
All I was asking for was more education for the community. If that's a problem for you, then hey. Not a problem. You do you.
It has nothing to do with me disagreeing with you. It's a fact that the info you are looking at is not MBO data from the CME which is far and beyond the MBP data that every other data provider besides Rithmic is using now.
Show some screen shots of the Sierra footprint data that you are using that you are certain shows stop runs and icebergs and help educate the community if thats the case. Would love to see them.
Show me the quote where i say you are a liar. I said you are misinformed if you think what you are looking at is CME MBO data for the stop/iceberg runs and think you can determine such. Again, show some screenshots and we can determine on the spot and help other traders.
If it helps calm everyone down, I'll weigh in and assert that almost everyone here in this thread is using "icebergs" incorrectly. I'm happy to be proved wrong, the world is a happier place when everyone learns of their own lack of knowledge.
Myth #1: 100% or near 100% accuracy.
I take it that this claim implies either 0% false positive rate or 0% false negative rate, both of which are fictitious claims.
Whether you're using MBO or MBP, it's always guesswork whether there exists any remaining reserve quantity at a level. For CME, whenever a reserve portion of an order gets revealed, that's after-the-fact and there's nothing guaranteeing that there's any remaining reserve portion to that order. MBO provides more information than MBP so you can make a slightly better inference, but it still withholds the aggressor's tag 210 so it is impossible to deduce with 100% certainty the remaining portion of an order until the price level has been fully cleared - which is the special case where you are 100% sure the remaining portion is 0.
In fact if a vendor truthfully claims they've done the hidden order detection properly, they should be advertising the opposite of 100% - very few hidden orders detected at 0% false positive rate, i.e. a high false negative rate. In practice I've seen as few as 29 hidden orders in a single day on an active ticker (like 6E) when calibrated to 0~% false positive detection.
Myth #2: Icebergs are mostly used by big firms, to hide big orders.
Actually no, the opposite. You will find that an overwhelming portion of hidden orders on CME are attributable to net liquidity providers (market makers) with small size rather than net liquidity takers with big size. On CME the most common hidden order displays 1 lot and has a reserve portion of 1 lot... not 10%.
I think this myth creeped into futures lore because the behavior you're describing is more prevalent on Inet-based matching engine architectures (like NASDAQ, Cboe FX, Australia), European MTFs, or interbank ECNs.
Myth #3: The market is going to run away from them, so they use icebergs to avoid that.
The main use case for icebergs on CME has never been to hide your size, but rather to allow market makers to provide liquidity at a more aggressive spread. This has been the case if you look as far back as 2006, and they only recently made changes to reduce the benefit to market makers in Q1 2019.
If you don't believe me, you can run the statistical analysis yourself. Averaging across all of a given size VWAP (which is exposed to price improvement from hidden liquidity), you will actually see less realized slippage than the instantaneous sweep estimate (cumulating the visible book till that given size, which will not take into account hidden liquidity). What this means is that your average slippage is actually smaller trading against an iceberg, so on aggregate the hidden orders are actually tightening the spread for you.
The above analysis contradicts Myth #3. What Myth #3 perpetrates is that the average user of the iceberg uses it to reduce their slippage, which in turn means their counterparty trading into the iceberg will experience increased slippage. This is a simple conservation law - you can't have both parties of a trade reducing their slippage.
So if you've been listening to some vendor advertise that you should follow the same direction as the iceberg, they're wrong. The opposite is more likely to be true even though it may seem unintuitive: the truth is, it's usually better to trade into an iceberg.
Myth #4: artemiso is lying to you, check our example on lead month ES.
It puzzled me for some time why vendors like to display their "iceberg detection capabilities" on ES. For obvious futures tickers, I would expect the iceberg-adjusted risk for the market maker is greater on FESX (Eurex) than ES, so it would be a better place to demonstrate the allegedly adverse effect of trading into an iceberg. Why ES? I'm going to make a bold claim: it's because there's so many trades on ES that they can get away with making nonsense up and disguise the worthlessness of their indicator behind large volume of random noise.
So, I can construct 2 edge cases which serve as a lie detection test.
1) Ask your vendor to compute the backtest average 10 second unrealized profit of buying/selling in the same direction as every detected iceberg on ZN. Why ZN in particular? Historically the iceberg-adjusted risk for the market maker is smaller on ZN than ES, meaning a market maker is more willing to tighten their spread using an iceberg, so it's going to be more obvious that your vendor got the sign wrong.
2) Ask your vendor to demonstrate the iceberg detection on a low trade count, high average trade size, high institutional activity product, which should be an even more ideal environment for demonstrating both the accuracy and usefulness iceberg detection than ES. There's a few perfect candidates for this. Let's try the 6E:XF:EURUSD:M0 (tag 55) FX-Link spread i.e. Globex ID 205799 on June 1, 2020 which had a trade volume of 1,130 and 27 trades.
