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PowerLanguage code for iceberg trading???


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PowerLanguage code for iceberg trading???

  #1 (permalink)
 
Sinatra Fan's Avatar
 Sinatra Fan 
Orlando FL
 
Experience: Intermediate
Platform: MultiCharts, Ninja
Trading: Emini ES
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Does anyone know were I might be able to find strat code for iceberg entries? Please let me know, Thanks

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  #2 (permalink)
artisanpro
montreal, qc, canada
 
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Your question puzzles me. I don't think that there is an easy strategy to deal with icebergs. I am open minded but skeptical.

1. Assumptions: you trade stocks and iceberg entries refers to buy and sell orders that aren't public knowledge
2. My understanding of iceberg entries is that they are kind of discretionary and also unknown by no one else then whomever is doing the buying/selling.
3. For discussion purposes I will assume a trader intends to buy 100,000 shares but is not in a hurry. So, the trader enters a bid for 10,000 shares lower than the best bid at current price i.e. as seen on a Level 1 trading data feed. The bid for 10,000 shares can be seen on a Level 2 or Market Book trading data feed.
4. If you have a Level 1 trading data feed, the 10,000 shares is unknown but not what I would consider an iceberg since a Level 2 or Market Book trading data feed knows about it.
5. The real iceberg is what a Level 2 or Market Book trading data feed doesn't see or know: the intention of the trader is to buy 100,000 shares at the rate of 10,000 shares at a time. So, when the trader's bid for 10,000 shares is filled, the trader resubmits another bid for 10,000 shares. And this goes on until 100,000 shares are bought.
6. Anyhow, I think that the minimum information required for such strategy is to have for each bid price, the buyer with the volume bid, etc.
7. Given that bids are added, deleted and modified frequently, and given that a savvy trader / trading house know how to cover their intentions and trades. I think it would require a very sophisticated algo to be successful.

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Sinatra Fan's Avatar
 Sinatra Fan 
Orlando FL
 
Experience: Intermediate
Platform: MultiCharts, Ninja
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so, I'm interested in the ES/MES symbol(s). An so, I'm looking for a generic/existing code that may be able to be used in conjunction with an existing signal. Hypothetically, if I wanted to go long 300 contracts of ES, I may want to do it, a max of 20 contracts at a time, but get to the eventual fill of 300. I don't want to move the market with my order per se, nor do I want to be picked off by market makers, etc. So, I prefer to mask my orders with an iceberg algo, hence my original post.

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artisanpro
montreal, qc, canada
 
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Hum, I better understand what you are looking for but I have never come across code that looks at the Level 2 DOM (depth of market) before initiating a trade. I suspect that if you can access the data i.e. how many contracts for each bid / ask levels near the current price you could code an entry strategy that would achieve your objective. I am quite sure that this would be an iterative process to get the code right. Best of luck and keep us posted.

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Adolpho911's Avatar
 Adolpho911 
Amsterdam + Netherland
 
Experience: Advanced
Platform: EdgeProX!!
Broker: Edgeclear and Rithmic. (Nordnet 1 year more for Norwegian stocks)
Trading: ES, NQ, GC, CL (Maybe Dax if I bother to get euro data, probably dont need more.) futures only
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Maybe I ask about something completely different, and I am pretty sure I am.

Maybe it could be a new topic.
I have EdgeproX which uses a multichart engine and I would think that I can use indicators from here.

For the helpful guy. Bookmap has an app/amendment or whatever
(cost more than platform each month, so they probably did a lot of work to make this)
which shows you AFTER trade if it was an iceberg order triggered or stop order. This you need MBO data to see, which I think, only Rithmic has. However, the way it works,
(to either my knowledge, as I heard someone in Bookmap explained how it works, or it might be a logical guess regarding how it works.)
is that, as you say I don't think even your broker can see stops which are orders which(I think) not become a "real" order until triggered, which I also assume regarding Iceberg(but triggered by your order showing no longer are"full" but like in your example the 10k order showing, now are at 9k and it "fills" up. And via MBO data, it reads if the order where a stop or an iceberg order, as these seem to have a special code from resting orders. It is kind of useful information, when(or more correct) where there was a stop run or a big iceberg. When these have a certain size you know it is "smart" money, both doing stop runs (usually) and also have big iceberg orders. Even if you are in "smart" money(condition institutions is big enough to get the volume behind stop runs and big Icebergs. They are however not always right, so most of the tactics regarding using this indicator, is what happens when the price comes back to the area. (Check Scott Puccini and Bookmap on youtube or Bookmaps site)

Regarding your original question, I remember I have this setting when I make an order with my Norwegian broker. So I would think that your broker needs to be able to issue this kind of order.

But I would really like a SI indicator on EPX...

Adolpho911
"Faith does not always let you fix the tuition fee; she delivers the educational wallop and sets her own bill" Jesse Livermore
"I am not curious when I know everything" Adolpho911
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Last Updated on July 4, 2021


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