NexusFi: Find Your Edge


Home Menu

 





Limit order queue and icebergs


Discussion in Traders Hideout

Updated
      Top Posters
    1. looks_one rhuz with 2 posts (1 thanks)
    2. looks_two bobajob with 2 posts (1 thanks)
    3. looks_3 Jigsaw Trading with 1 posts (5 thanks)
    4. looks_4 Garachen with 1 posts (3 thanks)
      Best Posters
    1. looks_one Jigsaw Trading with 5 thanks per post
    2. looks_two Garachen with 3 thanks per post
    3. looks_3 bobajob with 0.5 thanks per post
    4. looks_4 rhuz with 0.5 thanks per post
    1. trending_up 4,933 views
    2. thumb_up 10 thanks given
    3. group 6 followers
    1. forum 7 posts
    2. attach_file 4 attachments




 
Search this Thread

Limit order queue and icebergs

  #1 (permalink)
 bobajob 
Houston Texas
 
Experience: Intermediate
Platform: NinjaTraer, TWA
Trading: ES, HSI
Posts: 11 since Jan 2013
Thanks Given: 1
Thanks Received: 7

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.

Started this thread Reply With Quote
Thanked by:

Can you help answer these questions
from other members on NexusFi?
The space time continuum and the dynamics of a financial …
Emini and Emicro Index
New Micros: Ultra 10-Year & Ultra T-Bond -- Live Now
Treasury Notes and Bonds
My NT8 Volume Profile Split by Asian/Euro/Open
NinjaTrader
Are there any eval firms that allow you to sink to your …
Traders Hideout
Build trailing stop for micro index(s)
Psychology and Money Management
 
Best Threads (Most Thanked)
in the last 7 days on NexusFi
Get funded firms 2023/2024 - Any recommendations or word …
59 thanks
Funded Trader platforms
36 thanks
NexusFi site changelog and issues/problem reporting
25 thanks
The Program
20 thanks
GFIs1 1 DAX trade per day journal
19 thanks
  #3 (permalink)
 
rhuz's Avatar
 rhuz 
DF, Mexico.
 
Experience: None
Platform: Sierra Chart
Broker: IB/DTN IQ Feed
Trading: Futures and Stocks
Posts: 286 since Apr 2014
Thanks Given: 355
Thanks Received: 399



bobajob View Post
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.

Hi @bobajob.





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

Attached Thumbnails
Limit order queue and icebergs-globexrefgd.pdf  
Follow me on Twitter Visit my NexusFi Trade Journal Reply With Quote
Thanked by:
  #4 (permalink)
 bobajob 
Houston Texas
 
Experience: Intermediate
Platform: NinjaTraer, TWA
Trading: ES, HSI
Posts: 11 since Jan 2013
Thanks Given: 1
Thanks Received: 7

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.

Thanks.

Started this thread Reply With Quote
  #5 (permalink)
 
rhuz's Avatar
 rhuz 
DF, Mexico.
 
Experience: None
Platform: Sierra Chart
Broker: IB/DTN IQ Feed
Trading: Futures and Stocks
Posts: 286 since Apr 2014
Thanks Given: 355
Thanks Received: 399


bobajob View Post
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.

Thanks.

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.

Follow me on Twitter Visit my NexusFi Trade Journal Reply With Quote
  #6 (permalink)
 
Jigsaw Trading's Avatar
 Jigsaw Trading  Jigsaw Trading is an official Site Sponsor
 
Posts: 2,988 since Nov 2010
Thanks Given: 831
Thanks Received: 10,393


rhuz View Post
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.

There's 2 types of iceberg...

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.

If you have any questions about the products or services provided, please send me a Private Message or use the futures.io " Ask Me Anything" thread
Visit my NexusFi Trade Journal Reply With Quote
  #7 (permalink)
 Garachen 
San Francisco, ca
 
Experience: Master
Platform: Custom
Broker: NewEdge/Direct access
Trading: Futures (almost all)
Posts: 8 since May 2013
Thanks Given: 0
Thanks Received: 18


bobajob View Post
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.

Thanks.

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

Reply With Quote
  #8 (permalink)
HFF Trader
Minneapolis Minnesota
 
Posts: 14 since Apr 2014
Thanks Given: 8
Thanks Received: 3


Garachen View Post
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.

Reply With Quote




Last Updated on January 3, 2015


© 2024 NexusFi™, s.a., All Rights Reserved.
Av Ricardo J. Alfaro, Century Tower, Panama City, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada)
All information is for educational use only and is not investment advice. There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
About Us - Contact Us - Site Rules, Acceptable Use, and Terms and Conditions - Privacy Policy - Downloads - Top
no new posts