Iceberg orders on the DOM

A price where resting size is filled, then reappears, again and again. What it looks like on the ladder, and what can and cannot be read from it.

Setting names are shown in English because that is how they appear in the Quantower settings window.

What an iceberg order is

An iceberg (or reserve) order is a large limit order that shows only a small part of its size in the order book. When the visible part is filled, the next part appears at the same price, until the whole order is done.

On a ladder it looks like a price that refuses to empty: trades keep hitting it, the resting size drops, and a moment later the size is back. The book shows a modest number the whole time, while far more than that trades there.

How to spot one by eye

Watch one price at the best bid or offer:

1. Prints keep arriving at that price on the side that hits it.
2. The resting size there shrinks as those prints arrive — so the size is being filled, not pulled.
3. Within a moment the resting size is back near where it was.
4. This repeats, and the total traded at that price grows well past what was ever visible.

Steps 2 and 3 are the hard part by eye: a size that drops and recovers can also be someone cancelling and re-placing an order. Telling a fill from a pull needs the trade tape and the book read together, at the same moment.

How OrderVane DOM marks it

OrderVane DOM reads the book and the trades together, so it can tell whether size left a row through fills or pulls.

• Fills versus pulls. When resting size shrinks, it waits up to DOM fill match window (ms) for a print at that price on the matching side. If one arrives, the decrease counts as a fill; if not, as a pull.
• Refills. An add at a row that has just been filled, within DOM iceberg refill window (ms) (800 by default), counts as a refill.
• The chip turns yellow. Each row's absorption chip (F 10 ↻12) shows the size that left through fills (F) and the net size put back while it was being filled (↻). It turns yellow once the row has refilled at least DOM iceberg min refills times (2 by default).
• The ice line. A line in the ladder header lists the prices with the most of these refill episodes since the window was opened, the top three on each side. It is on by default; switch it from the window menu, ☰ ▸ Panels & rows ▸ Ladder rows ▸ Iceberg. The chip only lasts while it happens; the line remembers where it happened today.

These work on plain Level 2; order-by-order (MBO) data is not required.

What it can and cannot tell you

• It is inferred, not reported. Exchanges do not label iceberg orders in the data. A refill means size came back at a price that was being filled; it may be one hidden order, or several traders re-joining the same price.
• It describes what already happened. A price that refilled held size at that moment. It says nothing about whether it will hold the next time, and it is not a buy or sell signal.
• Speed matters. Very fast markets can fill and refill a price faster than a person can follow; that is the reason to let the ladder count it.

Common questions

Can you see iceberg orders on a normal DOM?

Not directly — the book shows only the visible part. What you can see is the pattern: a price that keeps getting filled and keeps coming back.

Does it need MBO (order-by-order) data?

No. Refills are counted from Level 2 depth and the trade tape. MBO adds other views, such as the number of orders at each price.

What does a yellow chip mean?

That price refilled at least the number of times set in DOM iceberg min refills while it was being filled.

Related

• Quantower DOM Trader and OrderVane DOM — what each one shows, side by side
• Quantower DOM Surface — the built-in order book heatmap
• Absorption — size that traded into a price that did not move, on the chart
• Bid/ask walls — large resting size, and how long it stays
• All docs