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Is there any place where I can find out more about the specifics of order handling in the CME futures markets?
Eg - if there is an iceberg order and I join the cue by limit do I get filled in between the iceberg refreshing or do I have to wait till all is completed on the iceberg. My intuition would suggest the first, but since the iceberg will be algorithmic (by the exchange I assume) it may be too quick to jump the queue.
Any info would be interesting on this subject - as I find this kind of thing pretty important and not widely discussed.
according to those images the iceberg has to be filled before your order. The iceberg is set in the cue as a normal limit order just that we will only see a small portion of it.
References.
- CME Globex reference guide.
- The CME Group Risk Management Handbook. OHN W. LABUSZEWSKI JOHN E. NYHOFF RICHARD CO PAUL E. PETERSON
Thanks Rhuz - I managed to find the same CME reference.
The way I read that quote is that you would indeed get your order 'between' the iceberg - as it puts the next 'displayed amount' at the end of the queue in the book. That's at least how I read it. Which would make iceberg orders incredibly useful for protection of an order going against you.
It's an interesting topic, i hope it won't be one of those dead end roads.
In live trading i have been filled in the middle of the iceberg as you well say. Now i'm confused.
Maybe @DionysusToast could help us a little bit more.
Exchange iceberg - as above
Platform iceberg - where your platform is basically doing the refreshing
I know of no way of knowing which is which.
What I do know is that non displayed iceberg qty is at the back of the queue and it doesn't jump to the front when it gets displayed.
In terms of jumping in the middle of an iceberg. Sure, if they are keeping the displayed qty low - say 3-400 on the ES, then you can jump in. If it's on the higher side, say 7-800, then I tend to hit into the other side and give up a tick as I think getting filled is unlikely.
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Your reading is correct. The non-displayed portion of the iceberg. So if the display size is 1 and the total iceberg and you join the 1 with your 1 lot then the other 99 are behind you.
I've actually found taking out icebergs that are mispriced to be more useful than trying to join them
Do you have stats on those mispriced icebergs? I don't disagree though, the challenge is to determine when it's 'mispriced'-can be done manually by 'feel' but not easy to code rules for it.