NexusFi: Find Your Edge


Home Menu

 





hidden orders


Discussion in Brokers

Updated
      Top Posters
    1. looks_one SMCJB with 2 posts (3 thanks)
    2. looks_two avirex56 with 2 posts (0 thanks)
    3. looks_3 Hulk with 2 posts (1 thanks)
    4. looks_4 Quick Summary with 1 posts (0 thanks)
    1. trending_up 2,810 views
    2. thumb_up 5 thanks given
    3. group 5 followers
    1. forum 8 posts
    2. attach_file 0 attachments




 
Search this Thread

hidden orders

  #1 (permalink)
 avirex56 
italy paris
 
Experience: Beginner
Platform: ninja
Trading: forex
Posts: 15 since Aug 2010
Thanks Given: 1
Thanks Received: 1

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?

Started this thread Reply With Quote

Can you help answer these questions
from other members on NexusFi?
Ninja Mobile Trader VPS (ninjamobiletrader.com)
Trading Reviews and Vendors
Online prop firm The Funded Trader (TFT) going under?
Traders Hideout
Deepmoney LLM
Elite Quantitative GenAI/LLM
NexusFi Journal Challenge - April 2024
Feedback and Announcements
Are there any eval firms that allow you to sink to your …
Traders Hideout
 
Best Threads (Most Thanked)
in the last 7 days on NexusFi
Get funded firms 2023/2024 - Any recommendations or word …
61 thanks
Funded Trader platforms
44 thanks
NexusFi site changelog and issues/problem reporting
24 thanks
GFIs1 1 DAX trade per day journal
22 thanks
The Program
19 thanks
  #3 (permalink)
 
SMCJB's Avatar
 SMCJB 
Houston TX
Legendary Market Wizard
 
Experience: Advanced
Platform: TT and Stellar
Broker: Advantage Futures
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,041 since Dec 2013
Thanks Given: 4,375
Thanks Received: 10,192


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.

Reply With Quote
Thanked by:
  #4 (permalink)
 
LukeGeniol's Avatar
 LukeGeniol 
Italy (IT) Italy
 
Experience: Advanced
Platform: ATAS, R|Trader, NT8
Broker: Rithmic
Trading: CL, Brent, GC, TF
Frequency: Daily
Duration: Minutes
Posts: 1,499 since Apr 2010
Thanks Given: 408
Thanks Received: 985

Good post @SMCJB, there aren't hidden orders on CME. I read, don't remember where, that the volume of implied orders are not shown, is that true?

Take your Pips, go out and Live.
Luke.
Reply With Quote
  #5 (permalink)
 
SMCJB's Avatar
 SMCJB 
Houston TX
Legendary Market Wizard
 
Experience: Advanced
Platform: TT and Stellar
Broker: Advantage Futures
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,041 since Dec 2013
Thanks Given: 4,375
Thanks Received: 10,192

I don't know @LukeGeniol whether spread-spread volumes show on the T&S but spreads that are a result of implieds would have to be because outright months are involved.

Reply With Quote
Thanked by:
  #6 (permalink)
 avirex56 
italy paris
 
Experience: Beginner
Platform: ninja
Trading: forex
Posts: 15 since Aug 2010
Thanks Given: 1
Thanks Received: 1

Many thanks for the detailed reply.

Started this thread Reply With Quote
  #7 (permalink)
 
Fat Tails's Avatar
 Fat Tails 
Berlin, Europe
Market Wizard
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
Posts: 9,888 since Mar 2010
Thanks Given: 4,242
Thanks Received: 27,102

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.

Suggested reading:

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.

Reply With Quote
Thanked by:
  #8 (permalink)
 
Hulk's Avatar
 Hulk 
Texas, USA
 
Experience: Advanced
Platform: TT, Custom
Trading: Futures, Spreads
Posts: 369 since May 2014
Thanks Given: 731
Thanks Received: 901


avirex56 View Post
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?

Maybe this will help.

https://www.cmegroup.com/confluence/display/EPICSANDBOX/Order+Qualifiers

There are also synthetic iceberg (hidden) orders that are managed by the platform itself as opposed to a native iceberg as explained in the above documentation at the CME website.

Visit my NexusFi Trade Journal Reply With Quote
Thanked by:
  #9 (permalink)
 
Hulk's Avatar
 Hulk 
Texas, USA
 
Experience: Advanced
Platform: TT, Custom
Trading: Futures, Spreads
Posts: 369 since May 2014
Thanks Given: 731
Thanks Received: 901


LukeGeniol View Post
Good post @SMCJB, there aren't hidden orders on CME. I read, don't remember where, that the volume of implied orders are not shown, is that true?

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.

Visit my NexusFi Trade Journal Reply With Quote




Last Updated on May 25, 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