What is an Iceberg order?

An IceBerg order is a big order that is not displayed in the DOM. It is split into smaller orders by an automated program so as to hide the actual amount of the order. When major market participants, such as institutional investors, want to buy or sell large amounts of securities for their portfolios, they can split large orders into smaller pieces so that the audience sees only a small part of the order at a time, just like the “tip of the iceberg" is the only visible part of a huge mass of ice. By hiding its volume, an iceberg order reduces price movement caused by a significant change in supply and demand.

How is it implemented? In layman's terms, the data of level 1 are tracked and compared (i.e., the stream of bids and asks in a DOM and the stream of transactions in a tape). The value of a bid before the trades is compared to the size of those trades, and the result is compared to the value of the bid after the trades.

For example, there was a bid for 100 lots; 50 lots were traded on the bid, but the bid still has 70 lots.This means that 20 lots were traded according to the iceberg algorithm.

In the initial stages of development, the ATAS platform featured a so-called Icebergs indicator (a column in the tape of prints and a graphical indicator). It was an experimental indicator; the algorithm did not comply with the iceberg order principles. After a certain number of tests, this indicator has been proven ineffective; therefore, it was completely removed from the platform so as not to mislead our customers.

If you have an idea for an iceberg order determination algorithm for the DOM, please post a public or private thread in our forum in the “Ideas” section.

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