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Your findings are aligned with the check I made as I also didn't see iceberg on FGBL. The fact that you see icebergs on the close eliminates the option that it doesn't work at all.
As I stated, the same algo that detect icebergs is implemented on different platforms. Also, Bookmap isn't aware of the exchange parameter or which instrument you trade so it works the same on different exchanges and different instruments of the same platform.
While using the same provider, if you see differences in iceberg between exchanges or instruments, it could be related to the implementation of that market data provider. It's possible that something is different about the way specific exchanges send their data or how the instrument usually trades (e.g. small trades and large sizes on BBO).
Did you manage to see icebergs with same provider on other instruments traded on other exchanges? if yes, then it is not related to Bookmap. If you can't see icebergs, please let us know and well run Bookmap in the same setup on our side and dig further into it. Also, please update your Bookmap to the latest beta 5.0 build, through Help>>Update>>Check for Updates.
I see icebergs for FGBL now, though in earlier releases of 5 there were none.
As far as I am aware DTN IQ is the market leading data vendor,I assume as a supported Datafeed if there are issues using Bookmap with this data then it should be picked up by developers.
To gain a better understanding of Bookmaps implementation of Icebergs do you have any worked numeric examples with T&S and order book numbers available to see the calculation at work.
I would be very surprised if the Estoxx and Bobl is fundamentally different to other Eurex Markets but looking at worked examples may be the only way to clear up this anomaly.
If you wish to examine the implementation of the iceberg detection, you don't need the code, you simply can use Bookmap. Just pause the heat map (by clicking on the hand) and zoom-in, now drag it forward slowly and compare the traded volume to best bid / ask size.
I've also attached a numerical example: https://docs.google.com/spreadsheets/d/1W0U5pRMQBWNhQghAF8s_jkjatnCKmUHXOP_GiB4lCqU/pubhtml
We use the same iceberg detection algorithm for all instruments, and it's unlikely that any recent update could break it. But we will perform another test with DTN to be sure.
hi there @Bookmap is it possible to just see the current quotes and/or historic. If no function...is there a possibility to request quotes upto x levels displayed with history/no history.
Quotes counter (CQC or SQC) counts only the levels that are inside of the reported range (in your example 10 levels). this is because other levels are not being reported by the exchange.
In your request, do you mean the possibility to count less levels (in your example, less than 10)? If yes, what would be the benefit?
Sometime soon the CME will give the exact spot in queue, maybe a number somewhere after this is available giving the exact number rather than an estimate. Could be turned on or off.
Thank you for this information! Yes, it's preferable than the estimated value. According to CME, it will be available on March 26. But we will need to wait until market data providers that Bookmap supports will make the changes. If we get a schedule for this update from any of them, we will let you know.
hi @Bookmap you are correct. user defined ability to count less. Well am deep into OF. I see a definite relationship into Quotes /Limit Orders / Market Order - and a few nuances of how these are being handled which have a immediate affect on price. currently only quotes delta is dynamic..which is great. however having quotes static-add/del or dynamic on user defined levels is what am looking for. currently quotes displayed is only doing static adds.
this is just a request....as it helps me in my study/observation in the markets. also understand that its just my need and probably not being asked by others.