Bookmap’s Stop-Iceberg Tracker with MBO Data
See Stops and Iceberg Transactions with Precision in Bookmap’s Stop-Iceberg Tracker
CME Market-by-Order (MBO) data is a rather new development and has many advantages. Bookmap has created new tools that leverage these advantages and offer traders a level of market transparency previously unseen. This offers traders a huge edge which will be explained in this article.
A Brief Introduction to Market-by-Order Data
Market-by-Order data is a new data type disseminated from the Chicago Mercantile Exchange (CME) for Futures markets. It differs greatly from the older traditional Market-by-Price data. Here’s a brief explanation from CME website
“Market by Order (MBO) describes an order-based data feed that provides the ability to view individual queue position, full depth of book and the size of individual orders at each price level. Market by Price (MBP) is the price-based data format that remains available and delivered in the same data feed. MBP restricts updates to a maximum of 10 price levels and consolidates all the quantity into a single update for each price level, which includes total quantity and number of orders. Individual queue position and order sizes cannot be determined with a high degree of accuracy.”
Advantages of MBO Data
Right off the bat, we can see three major improvements with MBO data.
- Full depth of book data; it is not limited to a maximum of 10 price levels.
- Transparency into the size of orders at each price level.
- Details of the orders’ position in the queue at each price level, including your own limit orders
MBO data offers a great step forward in market transparency for CME Futures traders. Bookmap has developed innovative tools to give even more transparency into MBO market data. Let’s take a closer look below.
MBO Advantages with Bookmap
Bookmap offers a MBO Bundle addon available from the Bookmap Marketplace.
Please note Rithmic Futures data feed and CME data is required in order to use the addon bundle. The MBO Bundle addon includes:
- Stop-Iceberg Tracker (S-I Tracker)
- Liquidity Tracker Pro
- Customized Advanced Time and Sales (CATS)
Bookmap’s MBO Bundle addon derives much deeper market transparency from MBO data than it was originally designed to achieve. This is due to Bookmap’s proprietary handling of unique MBO orderIDs and the timestamp arrival of the orders within the queue.
Intro to Bookmap’s Stop-Iceberg Tracker
Included in Bookmap’s MBO Bundle is the Stop-Iceberg Tracker. In this article, we will cover only Bookmap’s Stop-Iceberg Tracker (S-I Tracker). The S-I Tracker precisely displays the transactions of Stop Orders and Native CME Iceberg Orders with precision. Let’s take a look below at the indicator output (Fig1) and User Interface for Settings (Fig 2).
Fig 1 – Bookmap’s Stop-Iceberg Tracker outputted in the Subchart and Widget panel. The Iceberg Tracker is blue and the Stop Tracker is red. Note that Stop Orders and Iceberg can be displayed together or separately in the Subchart and Widget panels. Here they are displayed together.
Fig 2 – Bookmap’s Stop-Iceberg Tracker Settings User Interface
Bookmap’s Stop-Iceberg Tracker has the following Settings Options seen in Fig 2.
- Color settings – choose a specific color or reset to default values.
- Min Size filtering – check the box and input a value. Any number at or above the inputted minimum value will only be displayed in the output. Recall to click ‘Apply’ in order to activate the filtering.
- Max Size filtering – check the box and input a value. Any number at or below the inputted maximum value will be displayed in the output only. Recall to click Apply in order to activate the filtering.
- Accumulate settings
- SUM – each value is outputted and added to the previous cumulative output. For example, suppose the output currently reads as zero. If 10 buy stops transact, then the output would be 10. If another buy stop order of 7 transacts, then the output would be 17. Suppose a sell stop order of 5 transacts, then the overall cumulative summation would then be 12.
- EXPONENTIAL – each value is outputted in a cumulative fashion just as in the SUM setting. However, the output value begins to decay 50% (half-life) based on the selected time parameter. For example, suppose the last cumulative output was 12 and the 1 min time parameter was selected. If no other transactions occur, then after 1 minute the value of 12 will decay 50% and the output will be 6. If another minute passes without any new transactions, the output value would be 3. For practical uses of the EXPONENTIAL setting, please read about the Synchronizing setting below.
- RESET – each value is outputted in cumulative fashion just as in the SUM setting. However, the cumulative output resets to zero based on the selected time Parameter. For practical uses of the RESET setting, please read about the Synchronizing setting below.
- Symmetric Axis option – when this box is checked, the y-axis value is centered vertically in the subchart at zero. If the Symmetric option is selected for both Stops and Icebergs, then the y-axis values for only zero will be the same. However, all other outputted y-axis values will differ between Stops and Icebergs with varying vertical scaling.
- Synchronize all axes – when this option is selected, then both the zero lines and y-axes vertical scaling values will all be synchronized and equal for all outputs. This setting can be beneficial when comparing exactly the same amounts of transactions of Stops and Iceberg orders. Synchronizing all axes works very well with the Accumulate settings of EXPONENTIAL and RESET. Many times there may be many more Stop transactions than Icebergs, or vice versa. However, the EXPONENTIAL and RESET settings will allow users to directly compare the transactions since the values decay or reset back to zero based on the inputted time Parameter.
- Remove – if you want to remove the Stop-Iceberg Tracker addon, then click this button.
- Auto enable – The indicator automatically enables at Bookmap startup.
- Auto load – The indicator automatically loads at Bookmap startup.
Stop Orders Tracker Explained
Bookmap’s S-I Tracker identifies Stop Orders once they transact. Stop Orders still remain unlisted when watching the order book in real time, however once they are triggered and transact, the Stop Orders type can be accurately determined with with Bookmap’s Stop-Iceberg Tracker.
When Stop Orders trigger, they become aggressive market orders and transact at the current market price, just like any other market order. In Bookmap’s S-I Tracker, a Buy Stop Order transaction is counted as a positive value, and a sell Stop Order transaction is a negative value. Let’s take a closer look at a simple example in Fig 3 to understand the exact mechanics of how the Stop Tracker operates.
Fig 3 – The Stop Tracker identifies the transacted market buy orders (green dots) as triggered Buy Stop Orders and plots the output in the subchart (red line). The Settings displays the output with the SUM Accumulation; each value is added to the previous cumulative whole.
In Fig 3 we can see how the aggressive market buy order transactions (green dots) sweep the order book four price levels higher. This is a Stop Run. Buy Stop Orders are triggered sequentially and all the liquidity at each successive price level transacts. The S-I Tracker clearly identifies the triggered Stop Orders and plots the results in the Subchart. Before the Stop Run occured the Stop Tracker output value was 7936. After the Stop Run, the value was 8253. Therefore precisely 317 Buy Stop Orders transacted.
Stop Orders and Stop Runs on Higher Time Frames
Let’s take a look at an example of Stop Order transactions on a higher timeframe example.
Fig 4 – Higher time frame Stop Tracker example, using the SUM accumulation setting. The Stop Tracker identifies the transacted market sell orders (red dots) as triggered Buy Stop Orders and plots the output in the subchart (red line).
In Fig 4, price spiked below a consolidation structural range at 2443. The Stop Tracker reading before the spike was -461 and afterwards it was -916. Therefore 455 Stop Orders transacted below the 2443 price level. The Settings display the output with the SUM Accumulation; each new value is added to the previous value and plotted over time.
This was a significant Stop Run on a higher time frame chart. After the Stop Run, price returned back into the consolidated range. At this point, the order flow changed and buyers began entering the market. The result was a large move to the upside. Identifying the Stop Run gave strong insight and confluence to the possibility of a price reversal taking place.
It is important to note the S-I Tracker does not generate buy and sell signals; it is to be used in confluence with other order flow activity. The S-I Tracker outputs objective data about the types of orders and specific players in the market. This important information offers a significant level of transparency that can be used to gain a powerful edge together with many various strategies and trading methodologies.
Iceberg Orders Tracker Explained
The S-I Tracker also identifies Native CME Iceberg Order transactions. No more guesswork is required since CME MBO data assigns iceberg order transactions with unique OrderIDs. Note the Bookmap Global+ version already includes synthetic iceberg detection. Synthetic icerbergs differ from native CME iceberg orders (see the definition here). Synthetic Iceberg Detection is based on microstructural events and false positives can occur. The S-I Tracker displays Native CME Iceberg with precision based on the MBO data.
Iceberg Orders still remain hidden when watching the order book in real time, However, once the exposed portions of the Native Iceberg transact, then the S-I Tracker can display them. This offers traders a distinct advantage by exposing larger player’s positions using iceberg orders..
In the S-I Tracker output, a positive value represents any filled native iceberg order portion on the bid (positioned long), a negative value is any filled native iceberg portion on the ask (positioned short). The exposed tip of the Iceberg order functions like passive limit orders. Visit our Wiki page to learn more on Iceberg Orders.
Fig 5 displays the S-I Tracker Iceberg Order output.The green dot is an aggressive market buy order transacting into an unseen Iceberg Order on the best offer. In the subchart window pane, the blue line is the Iceberg Tracker output. Before the transaction the value was -16211 and afterwards it was -16305. Thus 94 short iceberg orders transacted and the blue line dropped -94 points.
Iceberg Orders on Higher Time Frames
Let’s take a look at the same higher time frame chart example used above for the Stop Tracker, but we’ll display only the Iceberg Orders outputs instead.
Fig 6 – Higher time frame Iceberg Tracker example, using the SUM accumulation setting. The Iceberg Tracker identifies market sell orders (red dots) transacting into Iceberg Orders and plots the positive output in the subchart (blue line).
In Fig 6, the Iceberg Tracker blue line spiked significantly higher as price transacted into the 2450 price level. Several hundreds of Buy Iceberg Orders transacted on the Bid, yet price continued to consolidate between a range of 2460 and 2443 for roughly 25 minutes. Then price traded through the 2443 level and the Iceberg Tracker spiked again, signifying more Buy Iceberg Orders.
Larger players were accumulating a long position using Iceberg Orders at 2450 and just below 2443. All of this significant order flow activity would remain unseen without the use of Bookmap’s S-I Tracker. After the Iceberg Orders filled, price returned back into the consolidated range, and the order flow shifted as buyers began entering the market. The result was a large move to the upside. Identifying the larger player’s position gave strong confluence to the possibility of a price reversal once the order flow shifted. It’s even possible to see larger player’s Sell Iceberg activity and profit taking as price rips higher.
Combining Stops and Icebergs Outputs
Now let’s plot both the Stops and Icebergs within the same chart example. We’ll look at this chart example with the different output settings of SUM, EXPONENTIAL, and RESET.
In Fig 7, we can now get additional insight with both the Stops and Icebergs displayed; we can see the relationship between the two. Both Stops and Icebergs spiked precisely at the same time. Larger player’s Iceberg Orders were taking the other side of the trade and absorbed the Stop Runs in two distinct areas. Gaining insight to this information is only obtainable with Bookmap’s S-I Tracker. This dual confluence lends to heightened probability of a reversal, once the order flow begins to shift to the buy side.
Up to this point we have been accessing only the SUM accumulation setting. Let’s also take a look at the EXPONENTIAL and RESET settings below in Fig 8 and Fig 9.
Direct comparison between icebergs and stops transactions can be easily visualized with the S-I Tracker Accumulate EXPONENTIAL setting. Specific data spikes will reset back toward zero due to the half-life exponential decay over time. The Y-axes are symmetrically synchronized, which allows for a one-to-one output comparison between stops and icebergs.
Fig 9 – The RESET Setting displays initial spikes in both Stops and Icebergs and resets back to zero based on the user specified time parameter input.In this example, the RESET occurs after 1 minute.
The S-I Tracker accumulate RESET setting clearly displays specific data spikes which then reset immediately back to zero based on the inputted time parameter. Note both the synchronized and symmetrical vertical alignment of the Y-axes. This allows traders to directly compare outputs between stops and icebergs.
Let’s take a look at more examples with various market instruments and settings to better understand the edges gained from the S-I Tracker display of Stops and Iceberg Orders.
Fig 9 – TheS&P e-mini with EXPONENTIAL Setting displays initial spikes in both Stops and Icebergs and resets to the half-life decay rate based on a 1 minute time parameter.
Fig 10 – Crude oil range bound insights with the S-I Tracker can be incredibly helpful; this allows traders to understand the context between Stops and Iceberg orders at range extremes. The Accumulate RESET setting is used here; the outputs reset to zero within the 1 minute parameter.
Fig 11 – Gold with an initial V-bottom Stop Run and return back to high liquidity on the offer. Look at the relationship of Stop Orders and Icebergs to gain insight into the downside price movement.
The advantages of Market-by-Order data from the CME are undeniable. Now traders have transparency into market activity like never before. Bookmap’s Stop-Iceberg Tracker allows an even deeper level of transparency due to Bookmap’s proprietary handling of unique MBO orderIDs and the timestamp arrival of the orders within the queue.
Although MBO data is incredible and Bookmap’s S-I Tracker offers unbelievable market transparency, traders still need to apply proper money and risk management techniques. When used together with solid trading methodologies, the S-I Tracker becomes an incredibly powerful tool. Now within the market structure, it is possible to see precisely where other traders’ stops are triggered and transactions of larger player’s iceberg orders. This offers a distinct advantage.